Hi,
I just had a question about the treatment of cash payouts in the price data included in asset allocation alphathon: Do all the indices—bank, treasury note, high yield bond—include cash payouts (dividends or coupon payments), or are all of these pure price indices without the cash payouts, or do some of them include cash payouts and others don’t?
Majid
Hi Majid,
The assets in which you can invest in the competition are building blocks. Building blocks are Alphien’s augmented data series that account for cash payouts or other punctual discontinuities like contrat rolls.
For this Alphathon specifically, the three assets are two ETF series which are adjusted for any dividend payments and the US 10y treasury exposure is taken through futures, which are rolled and adjusted for you. You can work directly on these series; no need for extra processing. Please also note there is no need to take FX difference into consideration as this will be handled independently. For the sake of the competition, all series can be directly mixed together within the same portfolio.
Please let me know if you have other questions.
Thanks,
Hervé
Ok got it. But just to be clear: so when you say indices are adjusted for dividends, you mean the dividends are included in the index value, meaning that the cumulative return I get using index values would be the total return (price + cash payout), in contrast to just the price return, right?
Hey Majid,
Yes this is what I mean; they are total return.
Alright, thanks!