Great thread, thank you for starting it.
This wasn't a choice that we made with a great deal of thought. The original thought was "We need a benchmark. People have different needs, so we should let them choose their own benchmark. But we don't have a benchmark-chooser feature yet, so let's go with a simple obvious benchmark. SPY sounds good, right?" And so the choice was made. We didn't really consider the SPY dividends or how to apply them.
You've definitely convinced me that our choice had deeper implications than I realized. I agree, we should be using a total-returns value for our benchmark.
I think our path going forward probably has three parts. First is to label what we have better, which should mitigate the problem for now. The second part is to make the benchmark configurable per algorithm, so people can choose the right benchmark for their algo. The third part is to make the default benchmark a smarter choice, like a total-return S&P 500, rather than a price return. I don't have a timeframe on that right now - I need to do some spec work, estimation, and adjust our roadmap.
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