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Repair common Windows errors and clear accumulated junk for a smoother, more stable PC - no reinstall needed.Free scan · no reinstallFor historical monthly stock returns, first choose whether you need price returns or total returns, which include dividends. FRED’s public S&P 500 series is a convenient source for monthly index levels, but it excludes dividends. CRSP documents monthly historical index and stock return data, with series both including and excluding dividends. These sources are not interchangeable: identify the index or market universe, date range, and dividend treatment whenever you compare or report returns.
What “monthly stock return” means
A monthly index level is a snapshot, not a return. To calculate a price return from consecutive month-end levels, divide the current month-end level by the prior month-end level and subtract 1:
Price return = (current month-end level ÷ prior month-end level) − 1
This measures the change in the index level and does not add dividends. A total return includes dividends according to the data provider’s convention; it is the relevant measure when the question is about dividend-inclusive performance. CRSP’s guide says its total returns include cash dividends and describes monthly returns as end-of-period-to-end-of-period calculations. Do not assume another provider uses the same conventions without checking its documentation. CRSP U.S. Stock Indexes Database Guide
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Where to get historical monthly S&P 500 data
| Source | What it provides | Dividend treatment and limits |
|---|---|---|
| FRED: S&P 500 (SP500) | Public S&P 500 index levels, with charting, a monthly view, and export functionality. | FRED states the series is a price index and does not include dividends. Returns calculated from its levels are price returns, not dividend-inclusive total returns. |
| CRSP historical indexes and stock databases | Research-oriented monthly index and security return data. CRSP documentation describes monthly S&P 500 index levels and returns back to 1925. | Choose the specific CRSP file and index variant. The documented published S&P 500 index levels and returns exclude dividends, while related market and S&P 500 universe series are separately described with return variants that may include dividends. Access and licensing depend on the product; do not assume every CRSP dataset is freely available. |
CRSP’s coverage statement applies to the described historical S&P 500 index data, not automatically to every CRSP series or to every dividend treatment. Its documentation distinguishes published S&P 500 index levels and returns that exclude dividends from related S&P 500 universe return series. Verify the exact series before quoting a number. CRSP Stock Indexes CRSP U.S. Stock Indexes Database Guide
How to choose the right return series
Before downloading or comparing monthly figures, check these details in the source documentation:
- Return type: Is the series a price return or a total return that includes dividends? Check whether dividends are reinvested and how the provider defines that treatment.
- Universe: Is the data for the S&P 500, a broader market index, or individual securities? A result for one universe should not be labeled as another.
- Coverage: Confirm the first available month and whether the series is continuous over the dates you need. CRSP’s documented monthly S&P 500 index coverage reaches back to 1925; that date should not be assigned to FRED or to every CRSP variant.
- Observation convention: Check whether returns use month-end values and how the provider handles dividends and other events. CRSP’s guide describes monthly returns as end-of-period-to-end-of-period.
- Access and export: FRED provides charting and export for its public price series. Check the relevant CRSP product’s access and licensing terms before relying on it.
How to calculate or report monthly returns responsibly
- State the series and universe. For example, identify whether the data are FRED’s S&P 500 price index or a specified CRSP index or universe return series.
- State the dividend treatment. Label a calculation from FRED SP500 levels as a price return; use a provider-defined total-return series for dividend-inclusive performance.
- Use matching consecutive observations. For a simple price return, apply the formula to consecutive month-end index levels. Do not describe that calculation as a total return.
- Report the date range and method. Include the start and end months, source, observation convention, and whether dividends are included so readers can reproduce or interpret the result.
CRSP says its quarterly and annual frequency index returns are calculated by compounding monthly index returns. That convention is specific to CRSP’s guide; do not presume it applies to a different provider. CRSP U.S. Stock Indexes Database Guide
Independent reader supportYour contribution helps us test, update, and keep practical guides available for everyone.What monthly history does—and does not—tell you
A history of monthly returns can describe what happened over a defined period for a defined index and return type. It does not, by itself, establish what a typical calendar month earns or what a future month will return. A calendar-month average or seasonal statistic requires an explicit dataset, date range, dividend treatment, and averaging method. No published average monthly or seasonal-month figure is established by the FRED and CRSP documentation cited here, so a reader should not treat an unsupported value as a source statistic.
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