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I look at the monthly returns for SPX here: Morningstar

            January     February    March   April     May   June 
    2019    7.87        2.97        1.79    3.93    -6.58   6.89

Now, given the following data from AlphaVantage for April:

2019-04-30  
1. open          2848.6299
2. high          2949.5200
3. low           2848.6299
4. close         2945.8301
5. volume   69,604,840,000

I calculate for Rate of Return:

RoR = ((2945.8301-2848.6299)/2,848.63) * 100 = 3.41%

This is different from the 3.93% we get from Morningstar.

Apparently they use Total Returns or Trailing Total Returns, I am not sure.

To calculate that, I think I would need the interest, capital gains, dividends and distributions.

Is there a way for me to calculate this return using data from AlphaVantage? Or should I go a different way?

Thank you

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  • Does Morningstar include dividend reinvestment? – RonJohn Jul 19 '19 at 15:32
  • I have no idea. I just know that ycharts has the same data: ycharts.com/indicators/sp_500_monthly_return – Hajopa Jul 19 '19 at 15:34
  • Of course, YCharts might just be copying MS, or vice versa, or they might both be copying some other company's numbers. – RonJohn Jul 19 '19 at 15:36
  • OK, so you would think that those nunbers take the dividends into account and that could explain the difference with the RoR? – Hajopa Jul 19 '19 at 15:56
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    Apparently ycharts do not include dividends "Notes: S&P 500 monthly return not including dividends." – Hajopa Jul 19 '19 at 16:19
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According to Morningstar, the monthly returns for SPX were: 

        January     February    March   April    May    June 
2019    7.87        2.97        1.79    3.93    -6.58   6.89

The problem is that you either have bad data from AlphaVantage or your data query from AlphaVantage was incorrect.

Monthly return is not calculated from the opening price of this month but from the closing price from the last day of the previous month.

When I used the closing price of the previous month, I got the identical numbers as Morningstar:

 Jun 28          2,941.76     6.89%

 May 31          2,752.06    -6.58%

 Apr 30          2,945.83     3.93%

 Mar 29          2,834.40     1.79%

 Feb 28          2,784.49     2.97%

 Jan 31          2,704.10     7.87%

 Dec 31          2,506.85
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  • Thank you, that's it! I if calculate the RoR between the closing value of 2019-03-29 (2,834.40) and the closing value of 2019-04-30 (2,945.83) that works: (2,945.83-2,834.40)/2,834.40 – Hajopa Jul 19 '19 at 17:51

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