Dividends and Performance results
Author: TheInvis
Creation Date: 8/18/2008 1:56 PM
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TheInvis

#1
I read the User Guide on Dividend treatment and it's not clear to me how dividends are handled in the Performance Report.

Based on what I read, they are NOT included in the "Trades" section of the report (even though one could argue that they should retro-activley be applied to the profit/loss of the origiating trade). Rather, the Win/Loss trade report is based on raw profit per paired position[open/close].

I assume that Dividends are included in the Summary results, if you choose to have WLP consider dividends. Or, do you have to ajust the topline performance by adding the dividends to the total yourself? (If the latter is the case, please

ALSO: Is there a way to reference ex-div-dates via WLP to add "dividend skimming" to a strategy?
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Cone

#2
This is discussed in the User Guide, Backtest Settings options, where you can select if you want to apply dividends or not to Portfolio Sim Mode. It's pretty simple - dividends affect the profit curve.

ALSO:
See the example for FundamentalDataItems, substitute "dividend" for "assets".