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Journal of Indexes: Fundamentally sound?

March / April 2007
Selected Major Indexes
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Global Index Data

Selected Major Indexes  Sorted by 2006 Returns - March/April 2007

  Total Return % Annualized Return %    
Index Name YTD 2006 2005 2004 2003 2002 2001 2000 3-Yr 5-Yr 10-Yr 15-Yr Sharpe Std Dev
MSCI EM Latin America 1.54 39.34 44.92 34.77 67.06 -24.79 -4.25 -18.38 40.07 28.36 11.82 11.16 1.48 22.53
Dow Jones Telecommunication 4.21 36.83 -4 18.7 7.33 -34.55 -12.77 -40.27 15.99 4.36 3.89 7.17 1.17 10.48
DJ Wilshire REIT 8.86 36.14 14 33.14 36.06 3.6 12.36 31.04 29.32 26.06 16.21 15.82 1.41 17.18
MSCI World Metals & Mining 1.12 34.56 33.66 13.88 64.33 -4.28 1.1 -23.57 30.57 25.79 - - 1.2 21.57
MSCI Europe 0.59 33.72 9.42 20.88 38.54 -18.38 -19.9 -8.4 20.7 16.25 10.5 11.41 1.67 9.69
MSCI Easea 0.63 33.55 9.87 21.64 39.22 -17.39 -19.11 -8.96 21.03 16.73 9.88 11.13 1.68 9.78
MSCI Pacific ex Japan 0.93 32.02 13.82 28.46 45.77 -6.42 -9.85 -15.44 23.84 21.27 6.52 9.79 1.54 12.34
MSCI EAFE Value 0.55 30.38 13.8 24.33 45.3 -15.91 -18.52 -3.16 22.5 19.05 - - 1.88 9.36
MSCI EM -1.23 29.18 30.31 22.45 51.59 -7.97 -4.69 -31.9 25.4 22.43 5.9 7.1 1.19 17.7
MSCI Eafe 0.68 26.34 13.54 20.25 38.59 -15.94 -21.43 -14.19 19.64 16.4 8.16 8.06 1.61 9.49
Citigroup ESBI-Cap Brady 1.84 24.65 5.76 11.31 24.32 8.79 7.6 12.83 14.25 14.83 11.83 - 1.35 7.75
Morningstar US Value 1.09 24.1 7.82 16.85 29.75 -13.68 -0.68 10.07 15.79 12.22 - - 1.69 6.96
Russell 2000 Value 1.5 23.48 4.71 22.25 46.03 -11.43 14.02 22.83 15.74 15.41 13.27 14.7 0.98 12.44
MSCI EAFE Growth 0.8 22.33 13.28 16.12 31.99 -16.02 -24.54 -24.52 16.74 13.7 - - 1.3 9.8
Russell 1000 Value 1.28 22.25 7.05 16.49 30.03 -15.52 -5.59 7.02 14.91 11.32 10.62 13.12 1.62 6.77
S&P 500/Citigroup Value 1.76 20.8 8.71 15.03 30.36 -16.59 -8.18 -0.51 14.8 10.96 9.18 - 1.55 7.03
MSCI World 1.18 20.07 9.49 14.72 33.11 -19.89 -16.8 -13.19 14.52 10.91 7.64 8.91 1.38 7.74
S&P SmallCap 600/Citigroup Value 2.1 19.57 8.36 21.09 39.2 -12.93 9.52 15.77 15.99 13.78 12.82 - 0.93 13.4
Dow Jones Financial 1.28 19.42 6.46 13.39 32.23 -12.35 -6.38 26.94 12.24 11.38 11.8 15.45 1.05 8.25
MSCI EAFE Sm-Cap 2.09 19.31 26.19 30.78 61.35 -7.82 - - 24.14 25.08 - - 1.6 12
Dow Jones Industrial 1.4 19.05 1.72 5.31 28.28 -15.01 -5.44 -4.85 8.78 7.31 8.46 11.94 0.75 7.28
MSCI AC World 0.93 18.78 8.83 13.3 31.62 -20.51 -17.23 -14.96 13.3 9.74 6.17 7.25 1.16 8.3
S&P 100 1.09 18.47 1.17 6.43 26.25 -22.59 -13.81 -12.55 8.18 5.1 7.37 10.88 0.74 6.51
Russell 2000 1.67 18.37 4.55 18.33 47.25 -20.48 2.49 -3.02 12.58 11.99 9.4 11.01 0.69 13.82
NYSE Composite 1.27 17.86 6.95 12.16 29.28 -19.83 -10.21 1.01 12.2 8.63 7.83 9.44 1.13 7.58
Morningstar Small Cap 1.89 17.05 5.76 20.44 47.7 -20.36 5.26 7.66 13.54 12.57 10.1 11.84 0.77 13.37
AMEX Composite 3.27 16.9 22.64 22.22 42.36 -2.74 -5.59 2.37 21.05 20.31 13.69 11.57 1.45 11.38
Goldman Sachs Natural Resources -0.52 16.82 36.48 24.57 34.01 -13.26 -15.59 15.81 26.31 18.6 9.21 - 1.16 18.92
Dow Jones Utility -0.45 16.63 25.14 30.24 29.39 -23.38 -26.27 50.76 22.85 14.02 11.08 10.18 1.75 10.17
DJ Wilshire 4500 3.33 16.07 10.27 18.57 43.72 -17.81 -9.3 -15.77 14.83 13.57 9.75 11.22 1 11.14
Morningstar Large Cap 1.52 15.91 4.87 9.54 27.04 -23.47 -15.1 -11.38 9.94 6.03 7.04 10.2 0.99 6.54
DJ Wilshire 5000 2.02 15.88 6.32 12.62 31.64 -20.86 -10.97 -10.89 11.46 8.35 8.32 10.88 1.02 7.76
Standard & Poor's 500 1.51 15.79 4.91 10.88 28.69 -22.1 -11.89 -9.1 10.32 6.82 7.93 10.89 0.99 6.9
Russell 3000 1.9 15.72 6.12 11.95 31.06 -21.54 -11.46 -7.46 11.12 7.84 8.26 10.98 1 7.61
Morningstar US Market 1.92 15.7 6.52 12.35 30.73 -22.17 -11.88 -7.02 11.39 7.87 8.08 10.81 1.04 7.56
Russell 1000 1.93 15.46 6.27 11.41 29.89 -21.65 -12.45 -7.79 10.99 7.51 8.23 11.03 1.04 7.15
Russell Midcap 3.38 15.26 12.65 20.22 40.06 -16.19 -5.62 8.25 16.18 13.77 12.1 13.46 1.25 9.79
S&P Smallcap 600 2.06 15.12 7.68 22.65 38.79 -14.63 6.54 11.8 14.68 12.76 11.62 - 0.87 12.84
S&P MidCap 400/Citigroup Value 3.33 14.62 10.77 17.18 33.8 -9.43 1.43 19.51 14.54 13.05 11.61 - 1.06 10.25
Morningstar Mid Cap 3.39 14.32 12.7 19.66 38.38 -18.06 -4.63 6.94 15.75 12.78 10.54 12.13 1.14 10.44
Russell 2000 Growth 1.86 13.35 4.15 14.31 48.54 -30.26 -9.23 -22.43 9.31 8.1 4.81 6.7 0.44 15.59
S&P 500/Citigroup Growth 1.25 11.01 1.14 6.97 27.08 -28.1 -16.12 -19.14 6.01 2.6 5.95 - 0.39 7.22
S&P SmallCap 600/Citigroup Grwth 2.02 10.54 7.07 24.29 38.5 -16.57 3 7.59 13.32 11.65 10.19 - 0.8 12.43
Standard & Poor's Midcap 400 3.63 10.32 12.56 16.48 35.62 -14.53 -0.61 17.51 13.63 11.8 13.46 13.76 0.96 10.42
Dow Jones Transportation 7.84 9.81 11.65 27.73 31.84 -11.48 -9.3 0.4 20.73 13.21 9.19 10.44 1.06 15.86
NASDAQ Composite 2.01 9.52 1.37 8.59 50.01 -31.53 -21.05 -39.29 6.05 4.96 5.97 9.63 0.26 13.16
Russell 1000 Growth 2.57 9.07 5.26 6.3 29.75 -27.88 -20.42 -22.42 7.05 3.58 5 8.38 0.46 8.47
Citigroup Non-$ World Govt -1.66 6.94 -9.2 12.14 18.52 21.99 -3.54 -2.63 2.26 9.73 4.96 6.37 -0.12 7.16
Dow Jones Healthcare 3.05 6.88 8.32 4.55 19.43 -20.81 -12.84 37.85 6.55 3.8 9.03 10.68 0.41 8.34
Morningstar US Growth 2.67 6.83 6.41 4.37 34.12 -33.2 -26.32 -28.45 6.09 2.05 - - 0.3 10.25
LB Global Aggregate -0.98 6.64 -4.49 9.27 12.51 16.52 1.58 3.18 3.16 7.83 5.59 6.43 -0.02 4.91
Citigroup World Govt Bond -1.36 6.12 -6.88 10.35 14.91 19.5 -0.99 1.59 2.37 8.52 5.38 6.37 -0.14 6.02
MSCI Japan 2.37 6.09 42.94 9.69 21.55 -19.38 -19.54 -20.27 19.2 12.15 2.55 0.92 0.73 14.84
S&P MidCap 400/Citigroup Growth 3.94 5.81 14.42 15.78 37.32 -19.67 -2.55 15.77 12.61 10.39 15.38 - 0.85 10.83
JSE Gold (USD) -8.3 5.54 43.34 -27.75 11.47 130.33 29.65 -38.19 2.79 16.2 2.67 -0.99 0.18 41.37
3 Month T-Bill 0.43 5.07 3.34 1.43 1.05 1.68 3.67 6.32 3.39 2.56 3.76 3.99 - 0.44
Lehman Brothers Municipal Bond -0.26 4.84 3.51 4.48 5.31 9.61 5.13 11.69 3.99 5.11 5.71 6.23 0.2 3.08
NYSE Arca Tech 100 1.87 4.68 7.36 11.73 52.14 -33.33 -15.59 -16.22 6.7 5.45 12.79 16.13 0.3 13.7
Lehman Brothers Government Bond -0.12 3.48 2.65 3.48 2.36 11.5 7.23 13.24 2.88 4.48 5.99 6.4 -0.12 3.51
Dow Jones - AIG Commodity 0.21 2.07 21.36 9.15 23.93 25.91 -19.51 31.84 10 16.31 6.93 8.23 0.5 14.44
Source: Morningstar. Data as of 1/31/2007. All returns are in dollars.
YTD is year-to-date. 3-year, 5-year, 10-year and 15-year returns are annualized. Standard Deviation is 3-year.
 

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