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Journal of Indexes: Markets in Crisis

January / February 2009
Selected Major Indexes
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Selected Major Indexes Sorted By YTD Returns January/February 2009
Total Return % Annualized Return %
Name YTD 2007 2006 2005 2004 2003 2002 3 Yr* 5 Yr* 10 Yr* 15 Yr* Sharpe Std Dev
Lehman Brothers Interm Treasury 5.31 8.83 3.51 1.56 2.02 2.11 9.28 6.24 4.37 5.09 5.54 0.75 2.90
LB Government 1-5 Yr Bd 4.80 7.82 4.02 1.48 1.54 2.16 7.69 5.82 4.04 4.89 5.32 0.86 2.04
LB US Government Intermediate 4.40 8.47 3.84 1.68 2.33 2.29 9.64 5.91 4.28 5.15 5.57 0.72 2.60
LB US Government 3.73 8.66 3.48 2.65 3.48 2.36 11.50 5.75 4.59 5.34 5.88 0.56 3.12
BLS CPI US 3.37 4.12 2.57 3.39 3.34 2.04 2.48 3.25 3.40 2.96 2.78 -0.60 1.20
LB Fixed Rate MBS 2.53 6.90 5.22 2.61 4.70 3.07 8.75 5.33 4.65 5.56 6.09 0.53 2.52
ML US Treasury Bill 3 Mon 1.95 5.03 4.83 3.06 1.33 1.15 1.78 4.15 3.27 3.52 4.07 0.59 0.43
LB US Aggregate -1.74 6.97 4.33 2.43 4.34 4.10 10.26 3.60 3.48 5.00 5.67 -0.11 3.11
LB Global Aggregate -4.11 9.48 6.64 -4.49 9.27 12.51 16.52 3.93 4.10 4.39 5.59 0.02 5.39
LB Municipal -4.18 3.36 4.84 3.51 4.48 5.31 9.61 1.71 2.73 4.14 4.87 -0.43 4.94
LB US Treasury US TIPS -7.62 11.64 0.41 2.84 8.46 8.40 16.57 1.64 3.15 6.13 - -0.27 7.52
LB US Credit -12.24 5.11 4.26 1.96 5.24 7.70 10.53 -0.77 0.95 4.04 5.06 -0.78 6.01
DJ Transportation Average -14.11 1.43 9.81 11.65 27.73 31.84 -11.48 1.79 7.15 4.22 6.96 -0.02 19.15
DJ Composite Average -23.79 8.88 15.71 9.49 15.58 29.40 -15.94 0.30 5.20 4.19 8.42 -0.20 13.57
Russell 2000 Value -24.27 -9.78 23.48 4.71 22.25 46.03 -11.43 -4.50 3.05 7.40 8.87 -0.38 18.05
LB US Corporate High Yield -24.38 1.88 11.85 2.74 11.13 28.97 -1.41 -4.41 0.42 2.84 4.55 -0.67 11.66
S&P SmallCap 600/Citi Value -24.92 -5.54 19.57 8.36 21.09 39.20 -12.93 -4.14 3.63 6.91 - -0.37 17.65
S&P Smallcap 600 -26.44 -0.30 15.12 7.68 22.65 38.79 -14.63 -4.36 3.33 7.11 - -0.38 17.66
DJ Utilities Average -27.06 20.11 16.63 25.14 30.24 29.39 -23.38 1.32 12.14 6.06 7.52 -0.10 15.18
Goldman Sachs Commodity -27.51 32.67 -15.09 25.55 17.28 20.72 32.07 -6.87 5.55 9.04 6.02 -0.24 28.19
Dow Jones - AIG Commodity -27.59 16.23 2.07 21.36 9.15 23.93 25.91 -3.86 4.02 7.70 6.96 -0.24 22.46
Dow Jones Industrial -28.18 8.89 19.05 1.72 5.31 28.28 -15.01 -1.33 1.33 2.93 8.69 -0.32 13.68
S&P SmallCap 600/Citi Growth -28.32 5.60 10.54 7.07 24.29 38.50 -16.57 -4.73 2.98 7.07 - -0.39 18.07
ML Converted Bonds All Qualities -28.65 3.95 12.03 -0.19 8.31 22.97 -3.12 -5.15 -1.40 3.91 5.49 -0.63 13.39
Russell 2000 -29.02 -1.57 18.37 4.55 18.33 47.25 -20.48 -4.79 1.57 4.90 6.38 -0.37 18.89
FTSE NAREIT Equity REITs -30.47 -15.69 35.06 12.16 31.58 37.13 3.82 -6.27 4.77 8.49 8.59 -0.27 25.26
S&P 100 -30.86 6.12 18.47 1.17 6.43 26.25 -22.59 -3.67 -0.10 0.32 7.32 -0.47 14.18
DJ Wilshire REIT -31.54 -17.56 35.97 13.82 33.16 36.18 3.58 -7.02 4.58 8.92 8.72 -0.29 25.90
S&P 500/Citi Growth -31.88 9.13 11.01 1.14 6.97 27.08 -28.10 -5.18 -1.37 -1.26 - -0.54 15.19
S&P MidCap 400/Citi Value -31.96 2.65 14.62 10.77 17.18 33.80 -9.43 -5.67 2.17 4.89 - -0.44 18.28
Russell 3000 Value -32.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -5.20 1.98 3.11 7.92 -0.53 15.32
S&P 500 -32.84 5.49 15.79 4.91 10.88 28.69 -22.10 -5.21 0.26 0.40 6.93 -0.55 14.97
Russell 1000 Value -32.90 -0.17 22.25 7.05 16.49 30.03 -15.52 -5.24 1.90 2.79 7.91 -0.54 15.21
S&P Midcap 400 -32.97 7.98 10.32 12.56 16.48 35.62 -14.53 -5.52 1.96 6.70 9.58 -0.42 18.60
DJ Wilshire 5000 -33.01 5.73 15.88 6.32 12.62 31.64 -20.86 -5.10 0.81 1.28 6.83 -0.51 15.55
Russell 3000 -33.21 5.14 15.72 6.12 11.95 31.06 -21.54 -5.46 0.46 1.05 6.84 -0.54 15.57
Russell 1000 -33.55 5.77 15.46 6.27 11.41 29.89 -21.65 -5.52 0.37 0.75 6.95 -0.55 15.39
Russell 2000 Growth -33.68 7.05 13.35 4.15 14.31 48.54 -30.26 -5.31 -0.13 1.63 3.28 -0.35 20.48
S&P 500/Citi Value -33.86 1.99 20.80 8.71 15.03 30.36 -16.59 -5.26 1.91 1.40 - -0.53 15.51
S&P MidCap 400/Citi Growth -33.97 13.50 5.81 14.42 15.78 37.32 -19.67 -5.53 1.65 8.56 - -0.40 19.30
Russell 3000 Growth -34.26 11.40 9.46 5.17 6.93 30.97 -28.04 -5.85 -1.19 -1.82 5.13 -0.52 16.48
Russell 1000 Growth -34.31 11.81 9.07 5.26 6.30 29.75 -27.88 -5.90 -1.29 -2.10 5.35 -0.54 16.25
NASDAQ Composite -35.11 9.81 9.52 1.37 8.59 50.01 -31.53 -6.72 -2.29 -0.29 5.42 -0.49 18.75
MSCI World -38.58 9.04 20.07 9.49 14.72 33.11 -19.89 -5.30 1.73 0.77 4.70 -0.47 16.97
MSCI Pacific -39.40 5.30 12.20 22.64 18.98 38.48 -9.29 -7.29 1.74 2.10 -1.07 -0.55 18.11
Goldman Sachs Natural Resources -39.69 34.44 16.85 36.61 24.59 34.40 -12.99 0.08 13.17 8.31 - 0.01 27.86
MSCI AC World* -41.45 9.64 18.78 8.83 13.30 31.62 -20.51 -6.87 0.25 -0.41 3.03 -0.53 17.90
MSCI EAFE Growth -42.47 16.45 22.33 13.28 16.12 31.99 -16.02 -4.20 3.35 - - -0.33 19.25
MSCI World Ex US -43.31 12.44 25.71 14.47 20.38 39.42 -15.80 -4.88 3.99 2.11 3.68 -0.36 19.52
MSCI EAFE -43.54 11.17 26.34 13.54 20.25 38.59 -15.94 -5.27 3.60 1.67 3.35 -0.39 19.22
MSCI EAFE Value -44.62 5.96 30.38 13.80 24.33 45.30 -15.91 -6.41 3.75 - - -0.44 19.43
MSCI World/Real Estate -44.79 -5.57 39.86 14.86 35.69 36.34 -6.39 -7.58 4.00 4.33 - -0.40 22.60
MSCI Europe -45.35 13.86 33.72 9.42 20.88 38.54 -18.38 -4.32 4.42 1.53 6.76 -0.31 20.24
MSCI EAFE Small Cap -48.10 1.45 19.31 26.19 30.78 61.35 -7.82 -11.20 1.84 - - -0.58 22.56
JSE Gold South Africa -49.53 -18.00 5.54 43.34 -27.75 11.47 130.33 -17.29 -13.25 -0.85 -7.08 -0.45 36.57
BSE SENSEX LCL India -51.75 47.15 46.70 42.34 13.08 72.89 3.52 7.44 14.81 13.28 - 0.16 30.48
MSCI EM -53.05 39.78 32.59 34.54 25.95 56.28 -6.00 -0.07 9.87 10.06 4.10 0.02 28.97
MSCI Brazil* -53.61 75.35 40.52 49.96 30.49 102.85 -33.78 7.07 22.40 11.98 10.41 0.28 39.80
MSCI World/Metals&Mining -57.09 40.06 34.56 33.66 13.88 64.33 -4.28 -2.51 6.91 7.83 - 0.01 35.23
MSCI Ireland* -65.21 -21.87 43.86 -4.74 39.16 39.43 -28.07 -24.58 -10.33 -8.16 0.08 -0.98 28.37
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 October 31, 2008. All returns are in dollars, unless noted. 3-, 5-, 10- and 15-year returns are annualized.

 

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