Just curious about the total return index for stock such as S&P 500 TR, is the index typically adjusted for tax on dividend when accounting for calculation on the total return index?
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2$\begingroup$ I would assume they are not as the taxation would depend on which country you are based. $\endgroup$– phdstudentJul 28, 2019 at 13:33
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$\begingroup$ @phdstudent Thanks for the help. $\endgroup$– user506602Jul 28, 2019 at 13:36
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$\begingroup$ You must carefully read the documentation for the TR index. Some MSCI indexes for ex. deduct dividend withholding tax in countries where such a withholding is law. $\endgroup$– nbbo2Jul 28, 2019 at 16:12
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$\begingroup$ @noob2 Thanks for the suggestion. $\endgroup$– user506602Jul 28, 2019 at 16:16
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In the U.S., the convention is not to consider taxes in total return stock indices such as the S&P 500.
The reason why this is traditionally done this way is that much of the buy-side are various kinds of pension funds who don't need to think about taxes.
Someone who does need to think about taxes just has more moving parts to worry about.
answered Jul 28, 2019 at 16:47