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Journal of Indexes: Fixing Fixed Income

January/February 2012
Selected Major Indexes
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Source: Morningstar. (Nasdaq-1 00 index data provided by Morningstar and Nasdaq OMX.) Data as of Oct 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
Citigroup STRIPS 25+ Yr 45.01 10.18 -42.88 77.10 12.71 4.09 17.82 16.33 13.13 12.39 10.59 11.75 0.50 37.36
Barclays US Treasury 20+ Yr 25.53 9.38 -21.40 33.72 10.15 0.93 8.57 8.99 11.92 9.62 7.68 8.56 0.65 20.05
DJ UBS Precious Metals 18.13 42.66 29.20 -4.06 25.96 27.11 20.44 7.40 38.22 22.52 20.20 11.71 1.46 24.34
Barclays US Agency Long 16.03 10.01 -7.03 15.76 8.93 3.40 7.45 9.65 12.39 8.45 7.53 8.41 1.03 11.96
Dow Jones Utilities Average 14.83 6.46 12.47 -27.84 20.11 16.63 25.14 30.24 10.80 4.12 8.50 8.83 0.86 12.71
Barclays US Treasury US TIPS 12.65 6.31 11.41 -2.35 11.64 0.41 2.84 8.46 12.14 7.54 7.12 - 1.84 6.27
Wilshire US REIT 8.57 28.60 28.60 -39.20 -17.55 35.97 13.82 33.16 16.83 -1.62 11.02 10.31 0.60 37.42
Barclays US Corp Invest Grade 8.00 9.00 18.68 -4.94 4.56 4.30 1.68 5.39 15.80 6.90 6.18 6.66 2.40 6.17
Barclays Municipal 8.00 2.38 12.91 -2.47 3.36 4.84 3.51 4.48 8.31 4.80 4.93 5.50 1.73 4.60
Barclays US Government 7.34 5.52 -2.20 12.39 8.66 3.48 2.65 3.48 6.27 6.30 5.10 6.13 1.20 5.10
NASDAQ 100 7.12 20.14 54.61 -41.57 19.24 7.28 1.89 10.75 21.86 7.07 6.12 - 1.06 20.58
Barclays EM 6.80 12.84 34.23 -14.75 5.15 9.96 12.27 11.89 22.12 8.16 11.09 10.13 2.36 8.63
Barclays Global Aggregate 6.80 5.54 6.93 4.79 9.48 6.64 -4.49 9.27 9.62 6.93 6.92 5.97 1.27 7.36
Barclays US Aggregate Bond 6.76 6.54 5.93 5.24 6.97 4.33 2.43 4.34 8.87 6.41 5.46 6.31 2.32 3.65
DJ Industrial Average 5.45 14.06 22.68 -31.93 8.88 19.05 1.72 5.31 11.83 2.55 5.36 7.00 0.70 18.03
S&P MidCap 400/Citi Pure Growth 5.26 35.16 60.34 -35.17 10.30 4.98 12.06 21.44 28.74 11.07 10.46 13.34 1.14 24.84
Barclays US Securitized 5.25 6.52 7.78 4.64 6.64 5.15 2.53 4.59 8.13 6.33 5.38 - 3.01 2.58
S&P SmallCap 600/Citi Pure Growth 4.53 28.74 37.70 -33.10 1.49 9.79 7.10 28.72 20.29 5.42 10.20 9.91 0.79 28.04
Barclays US Corporate High Yield 4.52 15.12 58.21 -26.16 1.87 11.85 2.74 11.13 22.96 8.04 9.15 7.06 1.63 13.23
S&P 500/Citi Pure Growth 3.80 27.65 50.85 -38.99 6.64 7.43 7.31 16.26 23.47 5.76 6.99 9.57 1.05 22.34
Russell 1000 Growth 2.98 16.71 37.21 -38.44 11.81 9.07 5.26 6.30 15.62 3.04 3.56 4.84 0.86 18.78
Russell 3000 Growth 2.55 17.64 37.01 -38.44 11.40 9.46 5.17 6.93 15.67 3.01 3.74 4.76 0.85 19.24
Barclays US Treasury 1-3 Yr 1.44 2.40 0.80 6.67 7.31 3.92 1.62 0.91 2.15 3.80 3.24 4.41 1.62 1.24
S&P 500 1.30 15.06 26.46 -37.00 5.49 15.79 4.91 10.88 11.41 0.25 3.69 5.77 0.64 19.57
Russell 1000 0.92 16.10 28.43 -37.60 5.77 15.46 6.27 11.40 12.22 0.54 4.17 6.02 0.67 19.88
S&P 500/Citi Pure Value 0.77 23.06 55.21 -47.87 -3.69 20.04 13.43 26.13 19.66 0.14 8.13 9.08 0.68 35.04
Russell 3000 0.47 16.93 28.34 -37.31 5.14 15.72 6.12 11.95 12.28 0.55 4.37 6.03 0.66 20.32
Wilshire 5000 Value 0.47 17.53 18.77 -36.31 1.11 21.63 5.71 14.21 9.59 -1.19 5.00 6.66 0.55 20.29
Wilshire 5000 Growth 0.43 16.57 37.93 -37.91 10.65 9.73 7.43 10.57 14.71 2.61 4.29 5.22 0.76 20.52
Wilshire 5000 Total Market 0.39 17.16 28.30 -37.23 5.62 15.77 6.38 12.48 12.20 0.69 4.69 6.06 0.67 20.13
S&P GSCI -0.46 9.03 13.48 -46.49 32.67 -15.09 25.55 17.28 -3.13 -3.04 4.99 2.79 -0.01 25.29
S&P SmallCap 600 -0.86 26.31 25.57 -31.07 -0.30 15.12 7.68 22.65 13.79 2.12 8.35 8.58 0.62 26.33
S&P MidCap 400 -1.06 26.64 37.38 -36.23 7.98 10.32 12.56 16.48 17.87 4.01 8.42 10.44 0.82 23.08
Russell 1000 Value -1.08 15.51 19.69 -36.85 -0.17 22.25 7.05 16.49 8.78 -2.05 4.57 6.55 0.49 21.49
Russell 3000 Value -1.55 16.23 19.76 -36.25 -1.01 22.34 6.85 16.94 8.84 -2.01 4.80 6.67 0.49 21.89
Russell 2000 Growth -2.17 29.09 34.47 -38.54 7.05 13.35 4.15 14.31 16.31 2.68 6.04 4.32 0.71 25.97
MSCI Kokusai -2.22 11.37 33.14 -41.96 10.66 21.95 7.67 14.62 11.39 -0.51 4.75 5.56 0.60 21.74
Dow Jones Transportation Average -2.97 26.74 18.58 -21.41 1.43 9.81 11.65 27.73 10.09 2.37 9.86 7.20 0.48 27.82
MSCI AC World -4.29 12.67 34.63 -42.20 11.66 20.95 10.84 15.23 12.01 -0.30 5.30 - 0.63 21.26
Russell 2000 -4.46 26.85 27.17 -33.79 -1.57 18.37 4.55 18.33 12.87 0.68 7.02 6.70 0.58 26.60
MSCI EAFE Value -6.68 3.25 34.23 -44.09 5.96 30.38 13.80 24.33 9.30 -3.96 5.92 5.07 0.47 24.93
Russell 2000 Value -6.77 24.50 20.58 -28.92 -9.78 23.48 4.71 22.25 9.52 -1.42 7.63 8.49 0.46 27.59
MSCI EAFE -6.78 7.75 31.78 -43.38 11.17 26.34 13.54 20.25 9.90 -2.41 5.73 3.98 0.52 22.97
MSCI EAFE Growth -6.88 12.25 29.36 -42.70 16.45 22.33 13.28 16.12 10.44 -0.92 5.46 2.74 0.56 21.66
S&P MidCap 400/Citi Pure Value -7.52 23.19 59.18 -42.58 -3.20 19.31 9.37 20.85 18.25 1.12 9.18 9.78 0.64 34.89
DJ UBS Commodity -7.90 16.83 18.91 -35.65 16.23 2.07 21.36 9.15 4.37 -0.75 7.15 4.76 0.31 18.88
MSCI AC World Ex USA -8.04 11.15 41.45 -45.53 16.65 26.65 16.62 20.91 12.92 -0.37 7.61 - 0.63 23.22
MSCI EMU -9.09 -4.25 31.41 -47.57 19.55 36.29 8.80 21.41 5.48 -5.01 4.53 5.39 0.32 30.58
S&P SmallCap 600/Citi Pure Value -9.32 29.18 63.58 -41.73 -18.61 21.44 11.58 22.72 16.47 -1.00 9.67 9.47 0.53 47.72
MSCI EAFE Small Cap -9.39 22.04 46.78 -47.01 1.45 19.31 26.19 30.78 18.34 -1.22 9.98 - 0.83 23.36
MSCI AC Asia Pacific -9.46 17.02 37.59 -41.85 14.29 16.49 23.34 18.23 15.06 0.62 8.01 - 0.79 20.19
Russell Micro Cap -9.67 28.89 27.48 -39.78 -8.00 16.54 2.57 14.14 10.29 -3.07 6.03 - 0.48 27.87
MSCI EM -11.53 18.88 78.51 -53.33 39.39 32.17 34.00 25.55 23.23 6.51 16.82 - 0.92 26.39
MSCI BRIC -14.28 9.57 93.12 -59.40 58.87 56.36 44.19 16.89 21.33 6.47 19.72 - 0.82 28.03
MSCI EM Small -19.56 27.17 113.79 -58.23 42.26 32.35 29.17 24.74 32.46 8.05 17.75 5.24 1.10 29.49
MSCI India -20.45 20.95 102.81 -64.63 73.11 51.00 37.57 19.11 24.12 5.43 20.17 - 0.78 34.54
MSCI Austria -28.60 9.88 43.20 -68.41 2.17 36.54 24.64 71.52 0.47 -16.38 7.46 2.96 0.20 39.22
MSCI Egypt* -36.48 9.47 32.77 -53.92 54.85 14.84 154.49 118.78 -2.73 -6.55 19.92 9.95 0.08 33.97
MSCI Argentina* -38.78 70.06 61.12 -55.32 -5.36 66.07 59.68 24.57 16.99 -2.82 12.84 3.57 0.64 31.82
MSCI Greece -50.78 -44.87 25.05 -66.01 32.91 35.05 16.10 46.06 -31.86 -30.20 -7.60 - -0.57 47.15
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-100 index data provided by Morningstar and Nasdaq OMX.) Data as of Oct 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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