I've just learned that (apparently) the term "performance-based index" or "performance index" is used to describe an index that sort of includes dividends.

So (based on this web page anyway):


"A performance-based index is a stock index that adds the amount of all dividend payments, capital gains and other cash disbursements to the net stock price. "

I had never heard this notion before.

Can anyone answer my two questions,

(Question A) Is the S&P 500 such a 'performance-based index' (using the definition above)

(Question B) Is the DOW such a 'performance-based index' (using the definition above)


  • Technically, for mathematics, the plural of index is indices and for catalogues, it's indexes. However, usage is often interchangeable. Indexes is more of a North American thing. Sep 25, 2020 at 14:40
  • "indices" and "indexes" are commonly used by the index providers themselves.
    – Flux
    Sep 25, 2020 at 14:44
  • As an example, a library's catalogue is a list of books arranged by title, author, etc. These days, it's electronic. You do know what a library is, eh? ;->) Sep 25, 2020 at 14:57
  • "For the language obsessed, the plural of index (in the stock market sense) is index" – I don't think so! Where are you getting that information from? Sep 25, 2020 at 16:33
  • @TannerSwett it's fair to say there are some of us with a high value of their own opinion :tootthy grin: BTW I have removed to avoid clutter, cheers :)
    – Fattie
    Sep 25, 2020 at 17:00

2 Answers 2


S&P publishes at least three S&P 500 indices:

  • Price Return S&P 500 index — this is the one you see on TV and financial news. Common symbol: SPX.
  • Total Return S&P 500 index
  • Net Total Return S&P 500 index

Similarly for the Dow Jones Industrial Average (DJIA). The Price Return DJIA is the one you see on financial news.

According to S&P U.S. Indices Methodology and Dow Jones Averages Methodology:

S&P Dow Jones Indices calculates multiple return types which vary based on the treatment of regular cash dividends. The classification of regular cash dividends is determined by S&P Dow Jones Indices.

  • Price Return (PR) versions are calculated without adjustments for regular cash dividends.
  • Gross Total Return (TR) versions reinvest regular cash dividends at the close on the ex-date without consideration for withholding taxes.
  • Net Total Return (NTR) versions, if available, reinvest regular cash dividends at the close on the ex-date after the deduction of applicable withholding taxes.

Based on the definition you have given in the question, Total Return and Net Total Return indices can be considered "performance-based indices".

Other details

  • NTR indices account for withholding taxes only, not any other kind of tax, so NTR indices are probably less relevant for Americans looking at the S&P 500 and DJIA. According to Equity Indices Policies & Practices Methodology:

    Withholding Tax. This is the amount withheld by the company making a dividend payment, to be paid to the taxation authorities. In the context of S&P DJI’s branded indices, this refers to the tax that non-residents are subject to, when the country in which the company paying the dividends is incorporated is not where the shareholder resides. In most countries, domestic shareholders are not required to pay this tax. [...]

  • The formulas used to calculate the TR and NTR indices are explained in Index Mathematics Methodology.

  • In addition to the plain PR, TR, and NTR indices, S&P also publishes Hedged, Daily Hedged and 10% Tax NTR versions of the S&P 500. Calculation details are in the Index Mathematics Methodology PDF.

  • What an amazing answer. This must not be the internet. :O
    – Fattie
    Sep 25, 2020 at 14:01

When a stock goes ex-dividend, its share price is reduced by the amount of the dividend, creating an equal and opposing capital loss. Ignoring taxation, if received in a non sheltered account, in order for that dividend to become a gain, the stock must rise by the amount of the dividend.

IOW, if you buy XYZ at $100 at the close and it goes ex-dividend tomorrow morning for $1, share price will be $99 in the morning before trading resumes and you will receive your $1 on the payable date. To break even on the stock, it must rise to $100 and then you have a $1 profit.

Now imagine that you have a large index where each quarter, every dividend paying component does this. The index is artificially dropping because its components are dropping on the ex-div date. The price of the index does not account for the dividends received.

To compensate for this, a total return or performance index is created, reflecting the dividends that investors are pocketing. Here's an explanation for the DJIA.

  • Thanks, Bob, regarding the "ordinary" S&P 500 index - so, "the one you see on TV and financial news": so that's the "price return" index. In fact then, does that indeed drop a bit on dividend-payout-days (just as indeed the price of a dividend paying stock will drop on the charts on dividend-paying-days) ... ? (I appreciate I could "glance at an S&P chart" to investigate this, but I'm checking if my base understanding is sound to begin with, anyway. :O ) Thx
    – Fattie
    Sep 25, 2020 at 15:12
  • @Fattie - Regarding dividends, I don't know how each index calculates its daily price so I couldn't tell you if they are all done in a similar fashion or not. Anecdotally, I would assume that if there's a total return variation for an index then it's price weighted, but I dunno. Perhaps someone who knows more about this will offer clarification. Sep 25, 2020 at 15:20

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