For a long while now something has smelled fishy in my extensive backtesting of Bloomberg-sourced data, and today I have finally tracked it down:

If you check out my amateurishly maintained, hand collected data pulled off from Bloomberg you will see that I keep separate track of Price time series as well as Total Return Index (“Trice” for short) time series. The idea is that, of course, if you are holding the underlying stocks, you get the total return, which is higher than the raw price return so long as the dividend yield is >= zero (thus, for example, explaining away large price drops with negligible total return drops, such as when SIA posted a huge special dividend).

But of course, that’s not what you see in the chart above. We see negative dividend yields of up to -4% in a day, with corresponding upward adjustments later. Then, at ...