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Buying and holding SPY returns different results from Benchmark SPY


I was wondering if someone could explain the discrepancy in results between buying and holding SPY as a strategy and the returns shown when SPY is the benchmark. Have a look at the backtest attached. The strategy returns 78% while the benchmark returns 93%, why the difference?


Clone Algorithm
Total Returns
Max Drawdown
Benchmark Returns
Returns 1 Month 3 Month 6 Month 12 Month
Alpha 1 Month 3 Month 6 Month 12 Month
Beta 1 Month 3 Month 6 Month 12 Month
Sharpe 1 Month 3 Month 6 Month 12 Month
Sortino 1 Month 3 Month 6 Month 12 Month
Volatility 1 Month 3 Month 6 Month 12 Month
Max Drawdown 1 Month 3 Month 6 Month 12 Month
# Put any initialization logic here.  The context object will be passed to
# the other methods in your algorithm.
def initialize(context):
    context.first = True

# Will be called on every trade event for the securities you specify. 
def handle_data(context, data):
    if context.first :
        order_target_percent(symbol('SPY'), 1.0)
        context.first = False
There was a runtime error.
6 responses

Benchmarks reinvest dividends.

Thanks Simon,

So conversely I assume a strategy that holds dividend paying stocks (like a value strategy that rebalances annually) will not have dividend payments properly accounted for in the backtest. Is that correct?

Backtests are correct; if you want to reinvest dividends the algo has to reinvest them. If not, the cash will just accumulate through the year.

Arg why can I not edit posts on the phone.

Noted, passed along the request internally. EDIT: To clarify, the request for editing a forum post on mobile!


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Thanks Simon,

That makes sense.