How do I find data on total returns for stocks, bonds, and indexes?
1) Use the Bloomberg in the Business Library. Find your stock, bond or index, and use the TRA (Total Return Analysis) or COMP (Comparative Return Analysis) commands to display information. The Bloomberg code for the TSX total return index is 0000AR < INDEX >. The code for the TSE300 total return index is 0000IR < INDEX > prior to May 2002. The Bloomberg code for the S&P 500 total return is SPXT < INDEX >
The Excel add-in can also capture the return. For common equities the needed field is RETURN_COM_EQY.
The Bloomberg code IRR can also be useful providing historical return reports for various categories, i.e. equity indexes, bond indexes, industry groups etc.
2) Use: WRDS (restricted fo faculty, graduate students and staff), and choose CRSP.
3) For historical returns see the book Stocks, bonds, bills and inflation ... yearbook.
4) Use the Datastream in the Business Library. Find your stock, bond or index, and use the RI (Total Return) datatype to display information.
5) For Canadian companies on the Toronto Stock Exchange use the CFMRC database. Look under Daily or Monthly Data for a company.
6) For the simple closing value try Factiva - Look at the top of the screen for Companies/Markets and choose Quotes. Change the Instrument to Common Market Indexes. Two years of daily pricing or five years of monthly are available.
7) Statistics Canada - Look for Table: 10-10-0125-01 for the Toronto Stock Exchange Composite and sub-indexes.
If you require further assistance, please feel free to contact us.