After a little more digging, I can mostly answer my own question: First, I had to relearn that qp_date(0,"ABC") = qp_date(0, "XYZ") is NOT generally true. In other words, the IRL index prices were not yet updated for the week, when I extracted my data. This accounts for the bulk of the deviation between the IRL index return and the constituent return (however averaged). I am still not sure, whether the IRL index prices are supposed to be market cap adjusted, or not. I can't get the numbers to line up, either way.
Second, the volume data for the IRL indexes is equal to total unweighted share volume of the constituent stocks times 100. Third, the IRLDaily database appears to contain a rolling 104 weeks of data, with prices being indexed to the oldest datapoint. Again, how the returns are averaged, I am not sure. One important conclusion following from the last point is that IRL index prices for a given DATE, will move every week, as they are recalculated to a new baseline value. Another (and more positive) result from the IRLDaily setup is that IRL index prices have an apparent interpretation as two-year returns. For example, the current closing price for !ID001 (Aerospace, Defense) of 140.81 implies a 40.81% cumulative two-year return for this industry. So my only remaining question is, how idex returns are averaged from constituent returns. Your help will be greatly appreciated. Thanks, Matthias
