Global Historical FAQ
Global Historical Stocks FAQs
Splits and dividends can be important to normalize historical data by transforming actual traded prices into effective prices. There are two generally accepted methods for dividend adjustments, which we term Absolute and Proportional; XigniteGlobalHistorical supports both adjustment methods. When requesting historical data, XigniteGlobalHistorical lets you determine with which method (if any) to adjust historical prices that preceded a split and/or dividend to be consistent with post-split and/or post-dividend prices.
Goals
We designed split and dividend adjustment methods to meet the following goals:
-
Calculate total returns - Total returns require adjusting prices based on splits and the percentage of the price that a dividend represents.
- Manage cash accounting - Cash accounting requires adjusting prices based on splits and the actual dividend amount.
Terminology
We use these terms when describing split and dividend adjustments:
| Term | Definition |
| Adjusted Price | A price that reflects splits and/or dividends. |
| Dividend Adjustment Factor | The ratio by which to adjust a price to reflect a dividend. |
| Split Factor | The ratio by which to adjust a price to reflect a split. |
Split Adjustments
Split adjustments are performed by applying a Split Factor, which is the ratio of old shares for each new share received. Historical split-adjusted prices are calculated by multiplying the actual historical price by the Split Factor. For example, a 2-for-1 stock split is represented by a Split Factor of 0.5, which means the split-adjusted historical price before the split is 50% of the historical market price. Similarly, a 1-for-4 reverse stock split is represented by a Split Factor of 4, which means the split-adjusted historical price before the split is 4 times the historical market price.
Example 1: 2-for-1 stock split on Day 4
| Day | Closing price | Split factor | Split-adjusted price |
| 1 | $12.00 | $12.00 x 0.5 = $6.00 | |
| 2 | $11.00 | $11.00 x 0.5 = $5.50 | |
| 3 | $11.50 | $11.50 x 0.5 = $5.75 | |
| 4 | $6.00 (2:1 split) | 0.5 | $6.00 |
| 5 | $6.25 | $6.25 |
Example 2: 1-for-4 reverse stock split on Day 4
| Day | Closing price | Split factor | Split-adjusted price |
| 1 | $12.00 | $12.00 x 4 = $48.00 | |
| 2 | $12.50 | $12.50 x 4 = $50.00 | |
| 3 | $12.25 | $12.25 x 4 = $49.00 | |
| 4 | $50.00 (1:4 split) | 4 | $50.00 |
| 5 | $50.25 | $50.25 |
Dividend Adjustments
Absolute adjustments:
Absolute dividend adjustments ensure that actual monetary return calculations are consistent across dividend events. Note that percent return calculations require using proportional dividend adjustments.
Absolute dividend adjustments use solely the amount of the dividend to adjust historical prices and are calculated by subtracting the actual amount of the dividend from prior actual historical prices.
Proportional adjustments
Proportional dividend adjustments ensure that percent return calculations are consistent across dividend events. In combination with the split adjustments described above, these calculations are consistent with the Center for Research in Security Prices methodology and assume that all dividends are reinvested and that no taxes are collected on dividend payments.
Proportional dividend adjustments are based on both the amount of the dividend and the closing price on the pay date, and require calculating a dividend adjustment factor on the pay date as such:
Dividend adjustment factor = (Previous day closing price - Dividend amount) / (Previous day closing price)
Proportional dividend-adjusted historical prices are calculated by multiplying this dividend adjustment factor against the actual historical prices before the dividend pay date.
Example 3: $1 dividend on Day 4
| Day | Closing price | Dividend | Dividend adjustment factor | Absolute adjusted price | Proportional adjusted price |
| 1 | $10.50 | $10.50 - $1 = $9.50 | $10.50 x 0.9 = $9.45 | ||
| 2 | $10.75 | $10.75 - $1 = $9.75 | $10.75 x 0.9 = $9.68 | ||
| 3 | $10.25 | $10.25 - $1 = $9.25 | $10.25 x 0.9 = $9.23 | ||
| 4 | $10.00 | $1.00 | ($10.25 - $1)/$10.25 = 0.90 | $10.00 | $10.00 |
| 5 | $9.75 | $9.75 | $9.75 |
Multiple adjustments
There may be more than one split or dividend corporate action over a given time range, in which case some historical prices can be adjusted by the cumulative effect of multiple corporate actions. For illustrative purposes, below are examples of adjusting for multiple splits and dividends.
Example 4: Multiple splits - Day 4 2-for-1 split, Day 7 1-for-4 split
| Day | Closing price | Split factor | Split-adjusted price |
| 1 | $12.00 | $12.00 x 4 x 0.5 = $24.00 | |
| 2 | $11.00 | $11.00 x 4 x 0.5 = $22.00 | |
| 3 | $11.50 | $11.50 x 4 x 0.5 = $23.00 | |
| 4 | $6.00 (2:1 split) | 0.5 | $6.00 x 4 = $24.00 |
| 5 | $6.50 | $6.50 x 4 = $26.00 | |
| 6 | $6.25 | $6.25 x 4 = $25.00 | |
| 7 | $24.25 (1:4 split) | 4 | $24.25 |
| 8 | $25.00 | $25.00 |
Example 5: Multiple dividends - Day 3 $1.50 dividend, Day 7 $1 dividend
| Day | Closing price | Dividend | Dividend adjustment factor | Absolute adjusted price | Proportional adjusted price |
| 1 | $11.75 | $11.75 - $1 - $1.50 = $9.25 | $11.75 x 0.9 x 0.88 = $9.31 | ||
| 2 | $12.00 | $12.00 - $1 - $1.50 = $9.50 | $12 x 0.9 x 0.88 = $9.50 | ||
| 3 | $11.00 | $1.50 | ($12 - $1.50)/$12 = 0.88 | $11.00 - $1 = $10.00 | $11 x 0.9 = $9.46 |
| 4 | $10.50 | $10.50 - $1 = $9.50 | $10.50 x 0.9 = $9.45 | ||
| 5 | $10.75 | $10.75 - $1 = $9.75 | $10.75 x 0.9 = $9.68 | ||
| 6 | $10.25 | $10.25 - $1 = $9.25 | $10.25 x 0.9 = $9.23 | ||
| 7 | $10.00 | $1.00 | ($10.25 - $1)/$10.25 = 0.9 | $10.00 | $10.00 |
Example 6: Splits and dividends - Day 3 2-for-1 split, Day 7 $1 dividend
| Day | Closing price | Split factor | Dividend | Dividend adjustment factor | Absolute adjusted price | Proportional adjusted price |
| 1 | $21.75 | $21.75 x 0.5 - $1 - $1.50 = $9.88 | $21.75 x 0.5 x 0.9 = $9.79 | |||
| 2 | $22.00 |