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Journal of Indexes: Commodities Beta?

July/August 2012
Selected Major Indexes
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Source: Morningstar. (Nasdaq-100 index data provided by Morningstar and Nasdaq OMX.) Data as of April 30, 2012. All returns are in US dollars, unless noted.
3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio. Std Dev is 3-year standard deviation.
Total Return % Annualized Return %
Index Name YTD 2011 2010 2009 2008 2007 2006 2005 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
MSCI Egypt* 38.62 -48.78 9.47 32.77 -53.92 54.85 14.84 154.49 -0.52 -7.16 23.54 6.30 0.15 34.34
MSCI Thailand 25.31 -2.72 55.71 76.57 -48.48 46.05 11.11 8.72 43.77 18.16 21.91 - 1.52 26.39
MSCI Denmark 21.54 -16.02 30.73 36.57 -47.56 25.59 38.77 24.50 20.20 0.76 13.38 10.96 0.91 23.10
NASDAQ 100 19.91 3.66 20.14 54.61 -41.57 19.24 7.28 1.89 26.03 8.60 8.42 - 1.40 17.65
S&P MidCap 400/Citi Pure Growth 14.66 0.62 35.16 60.34 -35.17 10.30 4.98 12.06 29.06 10.44 10.12 13.63 1.39 19.77
Wilshire 5000 Growth 14.65 -0.75 16.57 37.93 -37.91 10.65 9.73 7.43 20.16 3.50 5.72 5.30 1.14 17.37
Russell 1000 Growth 14.51 2.64 16.71 37.21 -38.44 11.81 9.07 5.26 21.44 4.11 5.16 4.91 1.30 15.92
MSCI EAFE Small Cap 14.31 -15.94 22.04 46.78 -47.01 1.45 19.31 26.19 18.16 -3.59 9.48 - 0.90 20.83
Russell 3000 Growth 14.27 2.18 17.64 37.01 -38.44 11.40 9.46 5.17 21.47 4.04 5.23 4.94 1.28 16.25
S&P 500/Citi Pure Growth 13.72 0.75 27.65 50.85 -38.99 6.64 7.43 7.31 26.37 6.13 8.00 9.31 1.36 18.57
Russell Micro Cap 13.64 -9.27 28.89 27.48 -39.78 -8.00 16.54 2.57 19.87 -1.73 5.37 - 0.92 22.53
Wilshire 4500 Completion 13.33 -4.10 28.43 36.99 -39.03 5.39 15.28 10.03 22.39 2.87 8.00 8.07 1.13 19.50
S&P MidCap 400 13.24 -1.73 26.64 37.38 -36.23 7.98 10.32 12.56 22.65 4.11 7.72 10.82 1.18 18.79
MSCI Pacific Ex Japan 12.98 -12.79 16.91 72.81 -50.50 30.73 32.02 13.81 21.62 2.69 12.46 6.39 0.94 23.93
MSCI ACWI Small 12.88 -11.30 26.28 50.67 -43.68 6.83 20.98 15.50 21.43 0.86 9.44 7.66 1.07 20.06
S&P MidCap 400/Citi Pure Value 12.84 -5.07 23.19 59.18 -42.58 -3.20 19.31 9.37 26.57 1.54 7.78 10.17 1.11 23.83
MSCI EM 12.71 -18.42 18.88 78.51 -53.33 39.42 32.14 34.00 18.33 3.46 13.92 - 0.83 23.65
S&P 500/Citi Pure Value 12.30 -0.81 23.06 55.21 -47.87 -3.69 20.04 13.43 29.16 -0.14 6.73 9.24 1.24 22.85
Russell 1000 12.25 1.50 16.10 28.43 -37.60 5.77 15.46 6.27 19.88 1.23 5.09 6.01 1.21 15.98
Russell 3000 12.13 1.03 16.93 28.34 -37.31 5.14 15.72 6.12 19.92 1.25 5.17 6.08 1.20 16.31
Russell Top 200 12.11 2.83 12.47 24.21 -36.07 5.89 15.53 3.77 18.70 0.89 4.01 4.97 1.19 15.32
Wilshire 5000 Total Market 11.96 0.98 17.16 28.30 -37.23 5.62 15.77 6.38 19.80 1.33 5.41 6.18 1.20 16.12
S&P 500 11.88 2.11 15.06 26.46 -37.00 5.49 15.79 4.91 19.46 1.01 4.71 5.65 1.22 15.63
S&P 500 Equal Weighted 11.78 -0.11 21.91 46.31 -39.72 1.53 15.80 8.06 22.92 2.58 7.40 8.67 1.24 18.02
MSCI BRIC 11.77 -22.85 9.57 93.12 -59.40 58.87 56.36 44.19 14.29 2.55 17.06 - 0.62 27.21
Russell 2000 Growth 11.42 -2.91 29.09 34.47 -38.54 7.05 13.35 4.15 21.83 3.27 6.06 5.55 1.02 21.56
MSCI EAFE Growth 11.01 -12.11 12.25 29.36 -42.70 16.45 22.33 13.28 14.19 -2.89 5.36 3.05 0.78 19.31
Russell 2000 10.70 -4.18 26.85 27.17 -33.79 -1.57 18.37 4.55 20.34 1.45 6.19 7.33 0.98 21.26
MSCI ACWI 10.60 -7.35 12.67 34.63 -42.19 11.66 20.95 10.84 15.90 -1.28 5.55 - 0.91 17.90
S&P SmallCap 600 10.57 1.02 26.31 25.57 -31.07 -0.30 15.12 7.68 21.95 2.90 7.14 9.32 1.09 20.09
Russell 1000 Value 9.99 0.39 15.51 19.69 -36.85 -0.17 22.25 7.05 18.32 -1.73 4.83 6.46 1.11 16.41
Russell 3000 Value 9.99 -0.10 16.23 19.76 -36.25 -1.01 22.34 6.85 18.36 -1.63 4.93 6.59 1.09 16.70
Russell 2000 Value 9.98 -5.50 24.50 20.58 -28.92 -9.78 23.48 4.71 18.77 -0.49 6.07 8.58 0.91 21.33
S&P SmallCap 600/Citi Pure Value 9.92 -7.50 29.18 63.58 -41.73 -18.61 21.44 11.58 22.88 -0.40 7.38 9.86 0.86 28.81
MSCI Pacific 9.72 -13.74 15.92 24.18 -36.42 5.30 12.20 22.64 12.16 -2.70 5.80 2.07 0.80 15.87
S&P SmallCap 600/Citi Pure Growth 9.70 5.21 28.74 37.70 -33.10 1.49 9.79 7.10 24.61 5.81 8.53 11.00 1.19 20.13
Wilshire 5000 Value 9.40 2.76 17.53 18.77 -36.31 1.11 21.63 5.71 19.33 -0.80 5.02 6.75 1.23 15.35
DJ Industrial Average 9.01 8.38 14.06 22.68 -31.93 8.88 19.05 1.72 20.65 3.04 5.50 6.66 1.41 14.04
STOXX Europe TMI 8.87 -11.80 5.10 37.50 -46.75 13.07 35.39 10.11 12.24 -5.49 5.77 5.46 0.61 23.03
MSCI EAFE 8.69 -12.14 7.75 31.78 -43.38 11.17 26.34 13.54 11.78 -4.72 5.42 4.04 0.65 19.86
Barclays Global High Yield 8.20 3.12 14.82 59.40 -26.89 3.18 13.69 3.59 20.33 8.16 10.48 8.41 1.82 10.48
S&P Global 100 7.69 -3.18 5.79 26.71 -36.44 11.38 20.42 5.47 14.18 -1.37 4.23 4.95 0.82 18.17
Barclays EM 6.94 6.97 12.84 34.23 -14.75 5.15 9.96 12.27 16.13 8.53 11.09 9.94 2.20 6.89
EURO STOXX TMI 6.70 -18.42 -3.46 32.77 -47.59 18.26 37.82 9.35 5.20 -9.25 4.02 4.35 0.32 27.00
Dow Jones US Select Dividend 6.47 12.42 18.32 11.13 -30.97 -5.16 19.56 3.77 22.61 -0.44 5.33 8.63 1.66 12.76
MSCI EAFE Value 6.36 -12.17 3.25 34.23 -44.09 5.96 30.38 13.80 9.33 -6.61 5.39 4.87 0.53 20.81
S&P GSCI 5.34 -1.18 9.03 13.48 -46.49 32.67 -15.09 25.55 13.31 -2.71 4.62 2.81 0.69 21.34
Dow Jones Transportation Average 4.59 0.01 26.74 18.58 -21.41 1.43 9.81 11.65 20.63 2.50 8.35 6.33 0.99 21.18
Barclays Municipal 2.92 10.70 2.38 12.91 -2.47 3.36 4.84 3.51 7.40 5.60 5.38 5.74 1.63 4.39
Barclays US Treasury US TIPS 2.90 13.56 6.31 11.41 -2.35 11.64 0.41 2.84 10.15 7.88 7.43 7.24 2.03 4.78
Dow Jones Utilities Average 2.39 19.71 6.46 12.47 -27.84 20.11 16.63 25.14 17.12 2.11 8.58 9.45 1.56 10.45
Barclays Global Aggregate 2.06 5.64 5.54 6.93 4.79 9.48 6.64 -4.49 7.62 6.39 7.15 6.18 1.24 6.02
Barclays US Aggregate Bond 1.41 7.84 6.54 5.93 5.24 6.97 4.33 2.43 7.06 6.37 5.71 6.36 2.49 2.72
DJ UBS Commodity 0.46 -13.32 16.83 18.91 -35.65 16.23 2.07 21.36 8.63 -3.08 5.45 3.59 0.54 17.98
Barclays Treasury 0.14 9.81 5.87 -3.57 13.74 9.01 3.08 2.79 5.04 6.42 5.56 6.22 1.20 4.06
Citigroup STRIPS USD -1.44 27.09 9.03 -10.33 21.99 9.68 2.14 6.12 10.15 9.96 8.30 8.44 0.93 10.93
Barclays US Treasury Long -1.72 29.93 9.38 -12.92 24.03 9.81 1.85 6.50 10.61 10.22 8.54 8.69 0.87 12.33
Citigroup STRIPS 25+ Year USD -5.70 60.67 10.18 -42.88 77.10 12.71 4.09 17.82 13.42 13.77 12.54 12.41 0.59 27.14
S&P Diversified Trends Indicator -6.20 -5.58 -2.82 -5.88 8.29 10.66 5.74 7.55 -4.43 -1.06 - - -0.57 7.60
HSBC Global Gold -9.04 -16.68 33.57 33.36 -23.93 20.70 17.28 30.28 11.57 5.22 10.49 6.33 0.48 33.08
Index Name YTD 2011 2010 2009 2008 2007 2006 2005 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 April 30, 2012. All returns are in US dollars, unless noted.
3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio. Std Dev is 3-year standard deviation.
 

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