Total shareholder return (share price return)
When using Datastream the datatype RI (return index) includes the re-investment of dividends. The total return can be calculated from the change in the return index over the chosen time period. The basic fomula is:
Retit = ( RIit – RIit-1 ) / RIit-1 (multiply by 100 for percentage return)
The percentage return can be calculated using a Datastream formula.
For example, PCH#( X(RI), 1M )
- percentage change (PCH#) of
- the series return index (X(RI))
- over 1 month (1M) (you can have 1D for one day, 1Y for one year etc.)
This gets the return for a company when X is an equity series, for an index when X is a index series, and for a group of companies when X is a list.
If you want the percentage change in price, that is without re-investment of dividends, you can use P rather than RI, PCH#( X(P), 1M ), or PCH#( X(PI), 1M ) for an index.
The screenshot below illustrates calculating daily returns for the FTSE100 using Datastream
The columns B-K are all daily data (therefore daily returns) – Excel file DSftse1100rtn.xlsx without Datastream macros
- FTSE100(PI) – The FTSE100 Index (Price Index)
- formula ((PIt-PIt-1)/PIt-1)*100 – Percentage price return calculated in Excel from the PI figures
- PCH#(FTSE100(PI),1D) – Percentage price return calculated using Datastream expression
- DPL#(PCH#(FTSE100(PI),1D),4) – Percentage price return to 4 decimal places (using Datastream expression)
- FTSE100(RI) – The FTSE100 Total Return Index (Total Return Index)
- formula ((RIt-RIt-1)/RIt-1)*100 – Percentage total return calculated in Excel from the RI figures
- PCH#(FTSE100(RI),1D) – Percentage total return calculated using Datastream expression
- DPL#(PCH#(FTSE100(RI),1D),4) – Percentage total return to 4 decimal places (using Datastream)
The daily returns do not show the difference between the price return and the total return very clearly. If you compare the yearly return for 2010 the price return is 8.9981 and the total return 12.6248. See also Returns for 2012 (posted Jan 2012).
Getting the returns for a group of companies (equities), or a group of indices, by using a Datastream list X where FSTE100 appears in the formulas above – for example DPL#(PCH#(X(RI),1M),4) will give you the monthly return to four decimal places for each company, or index, in your list. When Datastream processes the list request it assigns X to each item in the list. The list can be a pre-defined Datastream constituent list, e.g. LFTSE100, or a user-defined list.
- TOB or Datastream for FTSE100 returns
- Returns for 2012 (posted January 2012).
- Market Return (posted April 2014)