VFINX Data Test: Yahoo vs Vanguard

Before going any further with index to fund comparisons, we must know just how good IS Yahoo historical price data?

Lets set the scene:

-The idea is to compare historical VFINX data from Yahoo and Vanguard.
-Return calculations must include effects of distributions (dividends, capital gains) and stock splits.
-Yahoo provides Net Asset Value (NAV) closing prices, dividend data and "adjusted closing" prices, adjusted by split and dividend multipliers. Thank you Yahoo. Without these we could not do valid return calculations.
-Vanguard does NOT provide adjusted closing prices for their mutual funds. Vanguard also only provides ten years of distribution data, not a complete set.
-We are left with closes as the only "raw" head-to-head price comparison of Vanguard and Yahoo.
-Yahoo provides dividends for its entire dataset but Vanguard provides only 10 years of dividends.

Taking the price and dividend download of VFINX from Vanguard and matching it against the Yahoo download, we have the following results for the "closing price" series:

Date of downloads: 10/1/2017
Yahoo database start date: 1/2/1980
Vanguard database start date: 8/31/1976

Number of days in Vanguard data: 10,366
Number of days in Yahoo data: 9,525

Number of date errors: 3
Number of Yahoo price errors: 124 out of 9,525 prices (121 excluding missing dates).

Vanguard database dividends reported: 40
Yahoo database dividends reported: 154
Number of reported date errors: 0
Number of reported dividend errors: 0

Here are ALL the errors found in Yahoo's VFINX closing price data.

Due to rounding, most of these are not even errors!

CONCLUSION:  YAHOO DATA IS RELIABLE!


Notes:
-While the VFINX inception date is 8/31/1976, Yahoo only provides data since 1/2/1980.
-Yahoo data is missing for 10/30,2012, 10/29/2012 and 1/2/2007.
-I did not check Vanguard dates, which appear to be complete.
-Vanguard's website only shows dividends for ten years total. This download has a start date of 12/21/07.
-Yahoo data includes all dividends since 1/2/1980.
-Prices were rounded to two decimal places.

Even after this conclusion we have one more step to go: using the available Vanguard dividend data, compare Yahoo's adjusted close to Vanguard's "adjusted" close (called "reinvest price" by Vanguard) For all available dividend dates posted by Vanguard, Yahoo is the same!

Vanguard fun facts: Vanguard has the following S&P 500 Index Fund classes:

Class, Symbol, Inception date, Expense Ratio, Minimum Investment, Assets Under Management

Investor, VFINX, 8/31/1976, 0.14%, $3000, $27.3 Billion
Admiral, VFIAX, 11/13/2000, 0.04%, $10,000, $212.6 Billion
Institutional, VINIX, 7/7/1997, 0.035%, $5 Million, $134.2 Billion
Institutional Plus, VIIIX, 7/7/1997, 0.02%, $100.0 Million, $93.2 Billion
Institutional Select, VFFSX, 6/24/2016, 0.01%, $5.0 Billion, $29.6 Billion
ETF, VOO, 9/7/2010, 0.04%, 1 share, $71.8 Billion

As expenses differ, each class will have its own price series.

Disclaimer: This blog is not investment advice, is for information purposes only, may be subject to change without notice, and while prepared with care, may be subject to omissions and errors.