Category: Total Return

2022 Country fund performance vs S&P-500

2022 Total Return for the S&P-500 (both market-cap-weighted and equal-weight) and a selection of developed international and emerging market country funds.


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Symbol Security High Low Total Rtn
EWZ iShares MSCI Brazil Index Fund +40.79% -5.52% +12.35 %
EWU iShares MSCI United Kingdom Index +4.89% -21.21% -4.38 %
EWA iShares MSCI Australia Index Fund +8.26% -18.60% -5.86 %
EWH iShares MSCI Hong Kong Index Fund +6.30% -29.52% -6.82 %
INDA iShares MSCI India +5.80% -15.41% -8.94 %
EWS iShares MSCI Singapore Index +5.24% -22.32% -9.79 %
RSP Invesco S&P 500 Equal Weight +0.89% -20.69% -11.62 %
EWQ iShares MSCI France +2.26% -29.86% -11.99 %
EWC iShares MSCI Canada Index Fund +5.80% -20.44% -12.95 %
EWJ iShares MSCI Japan Index Fund +1.54% -26.95% -17.72 %
SPY SPDR S&P 500 Index +0.58% -24.06% -18.17 %
EWG iShares MSCI Germany Index +2.23% -38.58% -22.20 %
MCHI iShares MSCI China Index +3.84% -42.99% -22.76 %
EWY iShares MSCI South Korea Index Fund +2.44% -39.18% -26.60 %
EWT iShares MSCI Taiwan Index Fund +1.74% -37.82% -28.84 %

Does an ETF track its underlying index by its price?

Does the ETF market price track the ETF's underlying index?

No.    You must calculate the Total Return and use that resulting data series for accurate backtesting signals.

ETFs as you may be aware are designed to track an index.  In order to have the ETF track the index in terms of a backtest, you need to re-vinvest the dividends and distributions paid.   An 'index' of course doesn't make distributions since it is not an actual investment product.  So the 'index price' actively builds the dividends back into the calculation of the index value (price).   But ETFs don't do this, they must pay out distributions by SEC law.   

Thus, only the CALCULATED total return data series can represent the INDEX PRICE (the ETF PRICE does not).   If you just used the ETF price, you will get inaccurate signals.  You can observe the difference between the price return and total return with our Total Return vs Price Return tool.


Total Return And Footnotes

Total return is a concept that is surprisingly misunderstood.  We get emails asking why does our moving average not match Yahoo or Tradestation?

Most Internet data sources and brokerage software platforms don't track total return -- yet total return is how all index returns are stated.  In 2010, the SPDR S&P 500 index fund (SPY) was not +12.8%, it was up 15.1%.  Vanguards investment grade bond fund (VCIT) was not +5.1% in 2010, it was +10.0% (and had some nice tactical swings throughout the year).  The difference was distributions (which come in 2 forms:  dividends and capital gains distributions).  

One common thing we see is for various people to compare their performance to the price-only +12.8% and then footnote it saying 'dividends excluded'?  To us, this is just as bad as mutual funds that claim the expense ratio is 1.2% and then footnote it saying you will be charged a 3% redemption fee if you sell the fund in first 5 years.  There are no hidden fees with ETFs -- no sales loads, no purchase or redemption fees, no 12-b-1 fees.  The 'A-class' 'B-class' 'C-Class' 'H-Class' 'I-class' mutual fund system is non-sensical in the ETF world --- there is only a single class of an ETF.     

Here is another one: the Vanguard 60-40 stock-bond balanced fund returned +20.1% for the 10 years ended June 30th, 2011 [1]

[1] excludes dividends

Well, a large part of owning a bond in the first place is the coupon.  As it turns out, that index fund (VBINX) was +59.7%  INCLUDING dividends.  So it is entirely disingenuous to compare to a number that is one-third of the actual index return.



While this is all obvious to some -- it is clearly still not understood by many.

We created a free Comparison Tool to make it easy to view this concept as we feel the only REAL way to truly understand something fully is to interact with it through an application -- rather than just read about in a paper or on a blog. 

Try a few out.  Be aware that even if its not a large dividend payer, any capital gains distribution will also affect the return.

Bond ETFs:

  • IEF
  • TIP
  • HYG
  • LQD


  • AMJ
  • RWX
  • XLU
  • PPH