Return Variants
7 algorithms in Index and Benchmark Engineering · 7 with asserted arithmetic.
In this family#
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Price-Return Index verified
Level series from price returns alone, ignoring dividends. The number most often quoted, and the one that understates long-horizon performance.
calculate(data) -
Gross Total-Return Index verified
Reinvests dividends in full, with no tax deducted. The variant that assumes a holder who suffers no withholding — a domestic pension fund, typically.
calculate(data) -
Net Total-Return Index verified
Reinvests dividends after withholding tax. Over a decade the gap from the gross variant is large enough that quoting the wrong one materially misstates performance — and both are published under nearly the same name.
calculate(data) -
Excess-Return Index verified
Total return less a cash return, giving the return over funding. This is what a futures or swap position on the index actually earns, which is why structured products quote it.
calculate(data) -
Dividend-Point Index verified
Expresses dividends in index points rather than currency, which is how dividend futures and swaps are quoted. Converting through the divisor is what makes a per-share payment comparable to an index level.
calculate(data) -
Currency-Converted Index verified
Restates an index in another currency by compounding local returns with FX returns. Unhedged: the holder takes the currency exposure, and this is the variant that shows it.
calculate(data) -
Currency-Hedged Index verified
Neutralises currency exposure with rolling forwards. Hedged and converted variants of the same index can diverge by double digits over a year — they are different products, not a formatting choice.
calculate(data)
What they share#
Every topic here is a record-transform, so once you have
called one the rest follow the same shape. Import paths differ only in the final segment:
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/return-variants/price-return-index";
import { calculate } from "fintech-algorithms/index-and-benchmark-engineering/return-variants/gross-total-return-index";Read them in the order above — the sequence is pedagogical, not alphabetical.
Where this sits#
Index and Benchmark Engineering collects 40 algorithms across 6 families. For the concept behind this family rather than the call signatures, see the concept guides.