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Journal of Indexes: The Frontier In Focus

September / October 2008
Selected Major Indexes
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Selected Major Indexes Sorted By YTD Returns September/October 2008
 

Total Return %

Annualized Return %

Index Name

YTD

2007

2006

2005

2004

2003

2002

3-Yr

5-Yr

10-Yr

15-Yr

Sharpe

Std Dev

MSCI Argentina* 43.47 -5.36 66.07 59.69 24.57 98.53 -50.99 42.72 43.01 11.17 9.83 1.13 32.77
Goldman Sachs Commodity 41.42 32.67 -15.09 25.55 17.28 20.72 32.07 19.74 21.30 15.50 10.60 0.73 22.15
Dow Jones - AIG Commodity 27.22 16.23 2.07 21.36 9.15 23.93 25.91 19.84 18.60 13.01 10.79 0.96 15.88
Goldman Sachs Natural Resources 14.74 34.44 16.85 36.61 24.59 34.40 -12.99 28.31 30.12 14.73 N/A 1.15 19.85
MSCI World/Metals&Mining 14.25 40.06 34.56 33.66 13.88 64.33 -4.28 43.51 38.17 18.01 N/A 1.62 21.33
MSCI Brazil* 11.00 75.35 40.52 49.96 30.49 102.85 -33.78 55.31 53.53 18.13 17.52 1.46 30.97
DJ Transportation Average 8.96 1.43 9.81 11.65 27.73 31.84 -11.48 13.64 16.76 4.81 9.48 0.61 16.27
MSCI EM Latin America 7.98 46.89 39.34 44.92 34.77 67.06 -24.79 43.23 42.80 17.86 N/A 1.49 23.52
LB US Treasury US TIPS 4.88 11.64 0.41 2.84 8.46 8.40 16.57 5.59 5.98 7.79 N/A 0.27 5.19
LB Global Aggregate 3.53 9.48 6.64 -4.49 9.27 12.51 16.52 5.81 5.91 6.10 6.38 0.34 4.78
LB US Government 2.06 8.66 3.48 2.65 3.48 2.36 11.50 4.60 3.78 5.70 6.02 0.12 3.47
LB Fixed Rate MBS 1.93 6.90 5.22 2.61 4.70 3.07 8.75 4.82 4.56 5.76 6.14 0.24 2.47
BLS CPI US 1.63 4.12 2.57 3.39 3.34 2.04 2.48 3.60 3.30 2.84 2.70 -0.49 1.24
LB US Aggregate 1.13 6.97 4.33 2.43 4.34 4.10 10.26 4.09 3.86 5.68 6.08 -0.04 2.82
LB Municipal 0.02 3.36 4.84 3.51 4.48 5.31 9.61 2.93 3.53 4.90 5.42 -0.30 4.03
LB US Credit -0.48 5.11 4.26 1.96 5.24 7.70 10.53 2.76 3.27 5.57 6.23 -0.42 3.34
DJ Utilities Average -0.62 20.11 16.63 25.14 30.24 29.39 -23.38 14.03 19.73 9.80 9.75 0.79 12.44
S&P MidCap 400/Citi Growth -1.12 13.50 5.81 14.42 15.78 37.32 -19.67 9.20 13.49 12.37 N/A 0.44 12.34
LB US Corporate High Yield -1.31 1.88 11.85 2.74 11.13 28.97 -1.41 4.54 6.92 4.91 6.71 0.08 5.27
ML Converted Bonds All Qualities -2.24 3.95 12.03 -0.19 8.31 22.97 -3.12 5.92 6.22 6.51 8.24 0.28 6.51
DJ Wilshire REIT -3.36 -17.56 35.97 13.82 33.16 36.18 3.58 4.91 14.52 11.26 11.56 0.12 18.19
FTSE NAREIT Equity REITs -3.60 -15.69 35.06 12.16 31.58 37.13 3.82 4.99 14.30 10.65 11.50 0.13 17.60
S&P Midcap 400 -3.90 7.98 10.32 12.56 16.48 35.62 -14.53 7.45 12.61 9.84 12.64 0.31 12.24
DJ Composite Average -4.22 8.88 15.71 9.49 15.58 29.40 -15.94 10.04 12.46 5.95 10.55 0.60 9.90
S&P SmallCap 600/Citi Growth -5.33 5.60 10.54 7.07 24.29 38.50 -16.57 4.93 12.41 7.95 N/A 0.12 12.87
S&P MidCap 400/Citi Value -6.53 2.65 14.62 10.77 17.18 33.80 -9.43 5.62 11.65 7.42 N/A 0.17 12.53
S&P Smallcap 600 -7.09 -0.30 15.12 7.68 22.65 38.79 -14.63 4.10 11.60 7.59 N/A 0.05 12.84
MSCI Pacific* -7.62 5.30 12.20 22.64 18.98 38.48 -9.29 11.34 15.74 6.64 2.23 0.56 13.37
S&P 500/Citi Growth -8.07 9.13 11.01 1.14 6.97 27.08 -28.10 4.89 6.33 1.45 N/A 0.11 10.20
MSCI EAFE Growth* -8.14 16.45 22.33 13.28 16.12 31.99 -16.02 14.68 16.26 N/A N/A 0.86 12.00
DJ Wilshire 4500 -8.49 5.77 16.07 10.28 18.51 43.95 -17.85 6.63 12.45 5.96 9.79 0.25 12.27
S&P SmallCap 600/Citi Value -8.75 -5.54 19.57 8.36 21.09 39.20 -12.93 3.34 10.87 7.05 N/A 0.00 13.19
Russell 2000 Growth -8.93 7.05 13.35 4.15 14.31 48.54 -30.26 6.08 10.37 2.80 6.32 0.19 15.14
Russell 3000 Growth -9.05 11.40 9.46 5.17 6.93 30.97 -28.04 5.93 7.56 1.08 7.77 0.20 11.08
Russell 1000 Growth -9.06 11.81 9.07 5.26 6.30 29.75 -27.88 5.91 7.32 0.96 7.96 0.20 10.85
Russell 2000 -9.37 -1.57 18.37 4.55 18.33 47.25 -20.48 3.79 10.29 5.53 8.92 0.04 13.95
MSCI World Ex US* -9.76 12.44 25.71 14.47 20.38 39.42 -15.80 13.72 17.32 6.33 7.60 0.77 12.39
Russell 2000 Value -9.84 -9.78 23.48 4.71 22.25 46.03 -11.43 1.39 10.02 7.47 10.90 -0.14 13.42
MSCI EAFE Small Cap* -10.48 1.45 19.31 26.19 30.78 61.35 -7.82 9.36 18.89 N/A N/A 0.40 14.84
MSCI World* -10.57 9.04 20.07 9.49 14.72 33.11 -19.89 8.88 11.99 4.19 7.88 0.46 10.80
MSCI EAFE -10.58 11.63 26.86 14.02 20.70 39.17 -15.66 13.34 17.16 6.23 7.58 0.75 12.30
JSE Gold USD South Africa -10.68 -18.00 5.54 43.34 -27.75 11.47 130.33 5.15 0.82 7.57 -3.97 0.19 38.00
DJ Wilshire 5000 -10.95 5.73 15.88 6.32 12.62 31.64 -20.86 5.07 8.78 3.61 9.28 0.13 10.53
Russell 3000 -11.05 5.14 15.72 6.12 11.95 31.06 -21.54 4.73 8.38 3.51 9.26 0.10 10.50
NYSE Composite -11.09 6.58 17.86 6.95 12.16 29.28 -19.83 6.26 9.49 3.53 8.26 0.24 10.67
Russell 1000 -11.20 5.77 15.46 6.27 11.41 29.89 -21.65 4.81 8.22 3.38 9.36 0.10 10.31
MSCI EM -11.64 39.78 32.59 34.54 25.95 56.28 -6.00 27.52 30.15 15.51 10.25 1.06 21.30
MSCI AC World ID* -11.87 9.64 18.78 8.83 13.30 31.62 -20.51 8.22 11.09 3.22 6.36 0.39 11.46
S&P 500 -11.91 5.49 15.79 4.91 10.88 28.69 -22.10 4.41 7.59 2.88 9.22 0.07 10.24
MSCI Europe* -12.41 13.86 33.72 9.42 20.88 38.54 -18.38 13.57 17.15 5.60 11.10 0.74 12.82
Russell 3000 Value -13.28 -1.01 22.34 6.85 16.94 31.14 -15.18 3.34 8.99 5.07 10.10 -0.03 10.81
Dow Jones Industrial -13.38 8.89 19.05 1.72 5.31 28.28 -15.01 5.83 7.20 4.50 10.44 0.20 10.52
NASDAQ Composite -13.55 9.81 9.52 1.37 8.59 50.01 -31.53 3.69 7.16 1.93 8.19 0.04 14.51
Russell 1000 Value -13.57 -0.17 22.25 7.05 16.49 30.03 -15.52 3.53 8.92 4.91 10.09 -0.01 10.73
MSCI EAFE Value* -13.77 5.96 30.38 13.80 24.33 45.30 -15.91 10.90 16.95 N/A N/A 0.55 12.91
S&P 500/Citi Value -16.04 1.99 20.80 8.71 15.03 30.36 -16.59 3.72 8.76 3.59 N/A 0.01 11.23
DJ US Financial -27.11 -17.66 19.42 6.46 13.39 32.23 -12.35 -8.12 0.30 1.42 9.19 -0.70 16.26
BSE SENSEX LCL India -33.64 47.15 46.70 42.34 13.08 72.89 3.52 23.23 30.13 15.27 N/A 0.67 26.64
MSCI Philippines* -38.99 38.04 55.39 19.94 24.12 38.98 -30.48 14.52 17.25 -0.02 -2.54 0.51 24.18
MSCI Turkey* -41.05 70.04 -9.22 51.60 38.46 122.40 -36.49 9.60 28.03 6.27 N/A 0.33 39.72
Index Name YTD 2007 2006 2005 2004 2003 2002 3-Yr 5-Yr 10-Yr 15-Yr Sharpe Std Dev
  Total Return % Annualized Return %
*Indicates price returns. All other indexes are total return. Source: Morningstar. Data as of 6/30/2008. All returns are in dollars, unless noted. 3-, 5-, 10- and 15-year returns are annualized.
 

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