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Journal of Indexes: Evolving Markets

November/December 2011
Selected Major Indexes
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Source: Morningstar. (Nasdaq-1 00 index data provided by Morningstar and Nasdaq OMX.) Data as of Aug 31, 2011. All returns are in US dollars, unless noted. YTD is year-to-date. 3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio. Std Dev is 3-year standard deviation. *Indicates price returns. All other indexes are total return.
Total Return % Annualized Return %
Index Name YTD 2010 2009 2008 2007 2006 2005 2004 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
DJ UBS Precious Metals 29.57 42.66 29.20 -4.06 25.96 27.11 20.44 7.40 33.61 23.80 21.51 12.11 1.28 25.09
Citigroup STRIPS 25+ Year 24.15 10.18 -42.88 77.10 12.71 4.09 17.82 16.33 10.43 10.13 9.79 11.61 0.45 33.97
Barclays US Treasury US TIPS 10.85 6.31 11.41 -2.35 11.64 0.41 2.84 8.46 6.81 7.19 7.26 - 0.77 8.75
Dow Jones Utilities Average 10.70 6.46 12.47 -27.84 20.11 16.63 25.14 30.24 1.40 3.67 6.58 9.03 0.16 15.72
Barclays Global Treasury 8.69 5.90 2.63 10.23 10.57 6.44 -6.66 10.33 8.17 7.95 7.73 6.26 0.92 8.76
Barclays Global Aggregate 7.89 5.54 6.93 4.79 9.48 6.64 -4.49 9.27 7.76 7.35 7.21 6.27 0.97 7.80
Barclays Municipal 7.29 2.38 12.91 -2.47 3.36 4.84 3.51 4.48 6.00 4.94 4.95 5.63 1.03 5.59
Barclays Treasury 6.98 5.87 -3.57 13.74 9.01 3.08 2.79 3.54 6.12 6.60 5.52 6.38 1.05 5.65
Barclays EM 6.73 12.84 34.23 -14.75 5.15 9.96 12.27 11.89 10.94 8.66 10.66 10.46 0.75 15.17
Barclays US Government 6.48 5.52 -2.20 12.39 8.66 3.48 2.65 3.48 6.05 6.42 5.46 6.35 1.16 5.03
Wilshire US REIT 6.45 28.60 28.60 -39.20 -17.55 35.97 13.82 33.16 1.72 -0.42 9.93 10.54 0.25 40.96
Barclays US Aggregate Bond 5.88 6.54 5.93 5.24 6.97 4.33 2.43 4.34 7.23 6.56 5.71 6.53 1.62 4.21
S&P MidCap 400/Citi Pure Growth 3.33 35.16 60.34 -35.17 10.30 4.98 12.06 21.44 14.42 12.10 9.14 13.60 0.62 27.48
S&P GSCI 3.27 9.03 13.48 -46.49 32.67 -15.09 25.55 17.28 -15.99 -5.01 3.62 3.27 -0.44 29.46
Barclays Global High Yield 2.97 14.82 59.40 -26.89 3.18 13.69 3.59 13.17 12.21 8.51 9.78 8.59 0.72 17.97
DJ Industrial Average 2.14 14.06 22.68 -31.93 8.88 19.05 1.72 5.31 3.18 3.17 4.08 7.29 0.25 19.25
Barclays US Corporate High Yield 1.94 15.12 58.21 -26.16 1.87 11.85 2.74 11.13 11.95 8.10 8.39 7.11 0.74 17.14
NASDAQ 100 1.65 20.14 54.61 -41.57 19.24 7.28 1.89 10.74 6.98 7.93 4.78 - 0.39 24.07
S&P 500/Citi Pure Growth 1.57 27.65 50.85 -38.99 6.64 7.43 7.31 16.26 9.28 6.54 5.44 9.96 0.47 25.05
DJ UBS Commodity 1.31 16.83 18.91 -35.65 16.23 2.07 21.36 9.15 -4.50 0.84 6.90 5.37 -0.11 21.69
Russell 1000 Growth 0.18 16.71 37.21 -38.44 11.81 9.07 5.26 6.30 3.08 3.75 2.71 5.18 0.24 21.58
Russell 3000 Growth -0.22 17.64 37.01 -38.44 11.40 9.46 5.17 6.93 3.01 3.73 2.88 5.06 0.24 21.96
S&P SmallCap 600/Citi Pure Growth -1.46 28.74 37.70 -33.10 1.49 9.79 7.10 28.72 6.63 5.40 8.36 9.69 0.36 29.74
S&P 500 -1.77 15.06 26.46 -37.00 5.49 15.79 4.91 10.88 0.54 0.78 2.70 6.13 0.12 21.50
S&P 1500 -1.93 16.38 27.25 -36.72 5.47 15.34 5.66 11.78 0.87 1.16 3.22 6.51 0.14 21.93
Russell 1000 -1.93 16.10 28.43 -37.60 5.77 15.46 6.27 11.40 0.84 1.11 3.16 6.36 0.14 21.98
Russell 3000 -2.32 16.93 28.34 -37.31 5.14 15.72 6.12 11.95 0.84 1.14 3.36 6.34 0.14 22.36
S&P 500/Citi Pure Value -2.36 23.06 55.21 -47.87 -3.69 20.04 13.43 26.13 6.23 0.63 6.51 9.25 0.34 37.00
S&P 500 Equal Weighted -2.37 21.91 46.31 -39.72 1.53 15.80 8.06 16.95 4.75 3.20 6.27 8.83 0.30 26.48
Wilshire 5000 Total Market -2.39 17.16 28.30 -37.23 5.62 15.77 6.38 12.48 0.88 1.28 3.68 6.33 0.14 22.16
S&P MidCap 400 -2.72 26.64 37.38 -36.23 7.98 10.32 12.56 16.48 4.00 4.65 7.27 10.65 0.28 25.65
MSCI Kokusai -3.28 11.37 33.14 -41.96 10.66 21.95 7.67 14.62 -1.02 0.35 3.90 5.94 0.07 24.29
S&P Global 100 -3.88 5.79 26.71 -36.44 11.38 20.42 5.47 10.15 -1.40 -0.12 2.72 6.15 0.05 23.20
S&P SmallCap 600 -3.90 26.31 25.57 -31.07 -0.30 15.12 7.68 22.65 2.07 2.65 7.01 8.62 0.20 27.47
MSCI World -3.90 11.76 29.99 -40.71 9.04 20.07 9.49 14.72 -1.28 -0.21 3.69 4.89 0.06 23.59
Russell 1000 Value -3.99 15.51 19.69 -36.85 -0.17 22.25 7.05 16.49 -1.45 -1.62 3.41 6.89 0.04 22.99
Russell 3000 Value -4.36 16.23 19.76 -36.25 -1.01 22.34 6.85 16.94 -1.38 -1.54 3.64 6.98 0.05 23.33
Wilshire 4500 Completion -4.90 28.43 36.99 -39.03 5.39 15.28 10.03 18.10 3.11 3.42 7.09 7.41 0.24 26.09
MSCI EAFE Growth -5.15 12.25 29.36 -42.70 16.45 22.33 13.28 16.12 -2.22 0.00 5.02 2.99 0.03 24.87
STOXX Europe TMI -5.40 5.10 37.50 -46.75 13.07 35.39 10.11 21.42 -3.81 -1.43 5.37 6.39 0.01 29.19
MSCI EAFE Small Cap -5.70 22.04 46.78 -47.01 1.45 19.31 26.19 30.78 2.90 0.36 9.38 - 0.24 28.53
MSCI World Ex US -5.72 8.95 33.67 -43.56 12.44 25.71 14.47 20.38 -2.52 -0.84 5.49 4.60 0.03 26.23
MSCI EAFE -6.02 7.75 31.78 -43.38 11.17 26.34 13.54 20.25 -2.96 -1.48 4.96 4.15 0.01 26.23
Russell 3000 Equal Weighted -6.44 27.78 55.33 -36.49 -2.77 18.18 4.82 18.71 8.00 4.94 7.51 8.25 0.39 31.21
Russell 2000 -6.54 26.85 27.17 -33.79 -1.57 18.37 4.55 18.33 0.83 1.53 5.85 6.71 0.16 27.84
MSCI EAFE Value -6.91 3.25 34.23 -44.09 5.96 30.38 13.80 24.33 -3.76 -3.02 4.83 5.14 0.00 28.16
MSCI EAFE GDP Weighted -7.00 3.14 30.38 -44.82 12.88 27.39 13.68 22.57 -5.42 -2.76 4.55 4.79 -0.06 28.37
MSCI Pacific -7.15 15.92 24.18 -36.42 5.30 12.20 22.64 18.98 0.02 -0.96 5.05 1.08 0.10 22.39
Dow Jones Transportation Average -7.50 26.74 18.58 -21.41 1.43 9.81 11.65 27.73 -1.02 3.43 6.68 7.17 0.09 27.80
EURO STOXX TMI -8.36 -3.46 32.77 -47.59 18.26 37.82 9.35 21.58 -8.19 -3.61 4.16 5.74 -0.09 33.57
Russell 2000 Value -8.52 24.50 20.58 -28.92 -9.78 23.48 4.71 22.25 -0.57 -0.62 6.46 8.63 0.12 28.40
S&P MidCap 400/Citi Pure Value -8.96 23.19 59.18 -42.58 -3.20 19.31 9.37 20.85 3.70 1.92 7.80 9.92 0.28 37.78
S&P SmallCap 600/Citi Pure Value -11.40 29.18 63.58 -41.73 -18.61 21.44 11.58 22.72 5.20 -0.13 7.92 9.54 0.32 48.60
MSCI BRIC -11.41 9.57 93.12 -59.40 58.87 56.36 44.19 16.89 0.82 8.36 19.17 - 0.19 33.14
MSCI Nordic Countries -11.88 25.06 47.07 -53.52 21.24 39.26 15.65 27.45 -2.79 1.58 8.61 9.22 0.08 34.05
MSCI EM Small -12.78 27.17 113.79 -58.23 42.26 32.35 29.17 24.74 11.83 11.75 17.45 5.96 0.49 35.64
Citigroup Greek GBI Hedged USD -21.17 -20.03 3.77 0.26 3.52 2.22 6.06 6.75 -13.36 -7.26 -1.06 - -0.73 17.61
MSCI India -21.62 20.95 102.81 -64.63 73.11 51.00 37.57 19.11 3.22 8.10 18.97 - 0.27 40.01
MSCI Egypt* -35.31 9.47 32.77 -53.92 54.85 14.84 154.49 118.78 -19.68 -5.10 18.51 10.98 -0.35 39.48
MSCI Greece -35.61 -44.87 25.05 -66.01 32.91 35.05 16.10 46.06 -39.35 -25.32 -6.21 - -0.71 50.65
Index Name YTD 2010 2009 2008 2007 2006 2005 2004 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
Total Return % Annualized Return %
Source: Morningstar. (Nasdaq-1 00 index data provided by Morningstar and Nasdaq OMX.) Data as of Aug 31, 2011. All returns are in US dollars, unless noted. YTD is year-to-date. 3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio. Std Dev is 3-year standard deviation. *Indicates price returns. All other indexes are total return.
 

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