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Journal of Indexes: Trading Places

May / June 2008
Selected Major Indexes
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Global Index Data Selected Major Indexes Sorted By Year-To-Date Returns
May / June 2008
   
  Total Return % Annualized Return %  
Index Name YTD 2007 2006 2005 2004 2003 2002 2001 3-Yr 5-Yr 10-Yr 15-Yr Sharpe Std Dev
Dow Jones-AIG Commodity 17.03 16.23 2.07 21.36 9.15 23.93 25.91 -19.51 15.92 15.41 11.15 10.26 0.76 15.19
Goldman Sachs Commodity 11.23 32.67 -15.09 25.55 17.28 20.72 32.07 -31.93 11.53 12.76 11.44 8.48 0.41 22.16
MSCI Indonesia 6.39 50.81 69.61 12.56 44.54 69.97 38.11 -9.92 42.19 52.62 19.44 4.88 1.4 24.65
MSCI World/Metals&Mining 5.96 40.06 34.56 33.66 13.88 64.33 -4.28 1.1 33.71 38.39 16.06 N/A 1.25 21.88
MSCI Thailand 5.75 40.94 6.76 4.85 -4.04 134.26 24.32 4.55 13.99 29.25 7.75 -1.38 0.49 23.42
LB US Treasury US TIPS 5.24 11.64 0.41 2.84 8.46 8.4 16.57 7.9 6.8 6.41 7.97 N/A 0.48 4.98
LB Global Aggregate 4.5 9.48 6.64 -4.49 9.27 12.51 16.52 1.58 5.54 6.94 6.39 6.71 0.26 4.66
DJ Transportation Average -0.21 1.43 9.81 11.65 27.73 31.84 -11.48 -9.3 8.08 18.65 4.25 9.02 0.3 15.47
Goldman Sachs Natural Resources -1.33 34.43 16.82 36.48 24.57 34.01 -13.26 -15.59 22.6 28.93 11.47 N/A 0.92 19.81
CSFB Credit Suisse HY -2.67 2.66 11.93 2.26 11.96 27.93 3.11 5.78 4.12 9.46 5.55 7.45 -0.04 4.51
LB Municipal -3.38 3.36 4.84 3.51 4.48 5.31 9.61 5.13 2.52 3.35 4.71 5.33 -0.48 3.72
AMEX Composite -3.45 17.18 16.9 22.64 22.22 42.36 -2.74 -5.59 15.51 22.29 12.66 12.33 0.81 13.74
MSCI Japan -3.91 -4.23 6.24 25.52 15.86 35.91 -10.28 -29.4 7.17 14.9 3.14 2.36 0.28 12.03
DJ Wilshire REIT -4.23 -17.56 35.97 13.82 33.16 36.18 3.58 12.35 9.09 17.52 10.93 11.66 0.35 16.78
FTSE NAREIT Equity REITs -4.55 -15.69 35.06 12.16 31.58 37.13 3.82 13.93 8.91 17.38 10.22 11.82 0.34 16.2
MSCI Pacific -5.47 5.3 12.2 22.64 18.98 38.48 -9.29 -25.4 10.73 18.32 5.3 4.28 0.56 11.83
DJ Composite Average -5.64 8.88 15.71 9.49 15.58 29.4 -15.94 -11.78 8.92 15.9 6.35 10.74 0.55 8.4
JSE Gold South Africa -5.67 -18 5.54 43.34 -27.75 11.47 130.33 29.65 5.89 1.49 7.45 0.38 0.21 39.15
MSCI EAFE Small Cap -5.93 1.45 19.31 26.19 30.78 61.35 -7.82 N/A -10.65 25.4 N/A N/A 0.49 14.06
DJ Wilshire REIT -6.19 N/A 36.15 13.99 33.18 36.18 3.58 12.35 22.29 19.26 13.93 14.84 1.12 15.67
MSCI EM -6.26 36.48 29.18 30.31 22.45 51.59 -7.97 -4.69 25.65 32.93 10.79 8.99 1.03 20.13
MSCI EAFE Growth -6.73 16.45 22.33 13.28 16.12 31.99 -16.02 -24.58 13.99 19.92 N/A N/A 0.86 11.06
Dow Jones Industrial -7.11 8.89 19.05 1.72 5.31 28.28 -15.01 -5.44 6.9 11.74 5.78 11.34 0.32 8.7
DJ US Health Care -7.12 8.36 6.88 8.32 4.55 19.43 -20.81 -12.84 5.39 8.3 5.09 12.32 0.15 8.82
MSCI World Ex US -7.37 12.44 25.71 14.47 20.38 39.42 -15.8 -21.4 13.54 21.68 7.03 9.06 0.81 11.24
S&P SmallCap 600/Citi Value -7.42 -5.54 19.57 8.36 21.09 39.2 -12.93 9.52 4.25 15.41 7.34 N/A 0.05 13.09
S&P MidCap 400/Citi Growth -7.64 13.5 5.81 14.42 15.78 37.32 -19.67 -2.55 7.83 16.21 12.07 N/A 0.34 11.57
S&P Smallcap 600 -7.82 -0.3 15.12 7.68 22.65 38.79 -14.63 6.54 4.26 15.72 7.42 N/A 0.05 12.83
S&P Midcap 400 -7.91 7.98 10.32 12.56 16.48 35.62 -14.53 -0.61 7.03 15.53 9.62 12.75 0.28 11.1
Russell 2000 Value -7.92 -9.78 23.48 4.71 22.25 46.03 -11.43 14.02 3.09 15.35 7.73 11.45 -0.03 13.02
MSCI EAFE -7.94 11.17 26.34 13.54 20.25 38.59 -15.94 -21.44 12.76 21.18 6.62 8.75 0.76 11.06
NYSE Composite -7.99 6.58 17.86 6.95 12.16 29.28 -19.83 -10.21 6.98 13.7 4.53 8.65 0.32 9.16
Russell 3000 Value -8.02 -1.01 22.34 6.85 16.94 31.14 -15.18 -4.33 5.56 13.98 6.3 10.96 0.17 9.02
Russell 1000 Value -8.03 -0.17 22.25 7.05 16.49 30.03 -15.52 -5.59 5.79 13.89 6.24 10.97 0.2 8.82
MSCI AC Far East Ex Japan -8.11 33.38 28.47 17.86 14.23 40.77 -11.05 -4.14 20.45 25.41 7.63 5.4 0.85 19.07
S&P MidCap 400/Citi Value -8.15 2.65 14.62 10.77 17.18 33.8 -9.43 1.43 6.1 14.74 7.26 N/A 0.2 10.96
MSCI World -8.18 9.04 20.07 9.49 14.72 33.11 -19.89 -16.82 9.28 16.11 5.11 8.9 0.54 9.38
S&P SmallCap 600/Citi Growth -8.22 5.6 10.54 7.07 24.29 38.5 -16.57 3 4.31 16.09 7.31 N/A 0.06 12.85
DJ Wilshire 4500 -8.24 5.77 16.07 10.28 18.51 43.95 -17.85 -9.38 8.05 17.33 6.32 10.16 0.36 11.44
Morningstar Dividend Leaders -8.25 -10.34 25.64 3.16 13.8 27.53 -7.29 5.03 2.56 10.5 9.3 N/A -0.12 10.66
S&P 500/Citi Value -8.52 1.99 20.8 8.71 15.03 30.36 -16.59 -8.18 6.64 14.2 5.17 N/A 0.28 9
MSCI Pacific Ex Japan -8.54 30.73 32.02 13.82 28.46 45.77 -6.42 -9.88 19.91 27.57 11.41 10.14 0.94 16.23
DJ Wilshire US Small Cap -8.62 1.9 16.98 7.37 19.46 49.03 -18.98 3.13 5.96 17.07 6.86 10.73 0.18 12.75
Russell 1000 -8.87 5.77 15.46 6.27 11.41 29.89 -21.65 -12.45 5.87 12.24 4.42 9.78 0.2 8.84
DJ Small Cap Growth -8.89 12.38 9.07 8.79 15.47 48.48 -38.89 -8.5 6.84 16.75 4.54 8.31 0.24 12.82
DJ Wilshire 5000 -8.91 5.73 15.88 6.32 12.62 31.64 -20.86 -10.97 6.09 12.92 4.56 9.69 0.22 9.21
Russell 3000 -8.98 5.14 15.72 6.12 11.95 31.06 -21.54 -11.46 5.71 12.44 4.44 9.67 0.18 9.14
MSCI Europe -9 13.86 33.72 9.42 20.88 38.54 -18.38 -19.9 13.73 22.47 7.27 11.89 0.8 11.67
S&P 500 -9.05 5.49 15.79 4.91 10.88 28.69 -22.1 -11.89 5.37 11.64 4.07 9.64 0.15 8.76
MSCI EAFE Value -9.16 5.96 30.38 13.8 24.33 45.3 -15.91 -18.52 11.44 22.31 N/A N/A 0.64 11.35
S&P 500/Citi Growth -9.56 9.13 11.01 1.14 6.97 27.08 -28.1 -16.12 4.11 9.17 2.28 N/A 0.02 9.23
DJ Utilities Average -9.77 20.11 16.63 25.14 30.24 29.39 -23.38 -26.27 14.27 23.46 9.74 9.33 0.79 12.51
Russell 3000 Growth -9.85 11.4 9.46 5.17 6.93 30.97 -28.04 -19.63 5.8 10.8 1.75 7.76 0.18 10.14
MSCI World LCL -10.19 2.83 13.52 13.74 9.49 22.76 -25.2 -15.25 5.6 11.13 2.25 6.36 N/A 9.6
Russell 2000 -10.27 -1.57 18.37 4.55 18.33 47.25 -20.48 2.49 3.9 15.1 5.34 9.24 0.03 13.95
DJ US Financial -10.88 -17.66 19.42 6.46 13.39 32.23 -12.35 -6.38 -1.25 7.91 4.24 10.93 -0.39 12.33
MSCI EAFE LCL -11.76 1.17 13.81 25.96 10.18 17.41 -27.45 -17.54 7.34 12.34 1.81 5.04 N/A 11.6
Russell 2000 Growth -12.32 7.05 13.35 4.15 14.31 48.54 -30.26 -9.23 4.61 14.72 2.23 6.43 0.09 15.41
BSE SENSEX LCL India -13.35 47.15 46.7 42.34 13.08 72.89 3.52 -17.87 37.83 39.87 17.11 N/A 1.25 22.72
NASDAQ Composite -14.36 9.81 9.52 1.37 8.59 50.01 -31.53 -21.05 3.45 11.17 2.52 8.47 0 13.82
Index Name YTD 2007 2006 2005 2004 2003 2002 2001 3-Yr 5-Yr 10-Yr 15-Yr Sharpe Std Dev
  Total Return % Annualized Return %  
*Source: Morningstar. Data as of 2/29/08. All returns are in dollars, unless noted. YTD is year-to-date. 3-, 5-, 10- and 15-year returns are annualized. Sharpe is Sharpe Ratio. Std Dev is three-year standard deviation.
 

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