I need to use various data sources to cover all of my data, and I am concerned by the discrepancies in total returns. Data vendors were helpful, but their simple documentation did not help resolve why there can be differences for some months for some ISINs but not for other months. If you are familiar with these issues, please comment on the example data points below.
I am calculating calendar-month returns (in Swedish Kronen) via
- TOT_RETURN_INDEX_GROSS_DVDS from Bloomberg (taking the ratio of consecutive month-end values),
- RI of ThomsonReuters Datastream (again, a ratio),
- FG_TOTAL_RETURNC of FactSet (directly),
- Month End Return of Morningstar (directly),
I would love to see consistent returns, comparable to what MSCI bases their total return indices on. Which vendor corresponds to this?
I think all vendors promised to assume all reinvestments of dividends and capital distribution for this data (though for funds fees and costs might still change things). Meanwhile for
H&M stock (HENNES & MAURITZ B) in April 2000, I see
- Bloomberg: -.0027076
- ThomsonReuters: -.0023833
- FactSet: -.00238335
- Morningstar: .0104167
For an SEB Sverige fund, a difference shows up in June 2000: .0304632 from Bloomberg and .0494242 from Morningstar.
And the fact that sometimes Morningstar produces lower numbers, sometimes higher numbers, and for equities, not stocks, does not suggest a definitional issue about reinvesting or paying dividends, e.g.
For Ericssson stock (ERICSSON (LM) B):
Nov 2000: BB: -.1390977; TR DS: -.1390979; FS: -.13909775; MS: -.0912699
Sept 2001:BB: -.2431374; TR DS: -.2431377; FS: -.2431372; MS: -.2873786;
Oct 2001: BB: .1968915; TR DS: .1968912; FS: .1968913; MS: .2588556.