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Journal of Indexes: Betting or Beta?

March / April 2009
Selected Major Indexes
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Selected Major Indexes Sorted By 2008 Returns
Total Return % Annualized Return %
Name 2008 2007 2006 2005 2004 2003 2002 3 Yr* 5 Yr* 10 Yr* 15 Yr* Sharpe Std Dev
USTREAS Constant Mat Treasury 20 27.08 10.5 0.99 7.77 8.31 1.1 17.69 12.35 10.6 8.44 8.77 0.69 12.43
Barclays US Treasury Long 24.03 9.81 1.85 6.5 7.71 2.48 16.79 11.53 9.73 8.1 8.51 0.72 10.62
Barclays US Government Long 22.69 9.65 2.06 6.61 7.94 2.61 16.99 11.15 9.58 8.07 8.50 0.70 10.42
Barclays US Government 12.39 8.66 3.48 2.65 3.48 2.36 11.5 8.11 6.06 6.16 6.50 0.94 4.3
Citi WGBI 10.89 10.95 6.12 -6.88 10.35 14.91 19.5 9.3 6.05 5.9 6.55 0.72 7.49
Barclays Fixed Rate MBS 8.34 6.9 5.22 2.61 4.7 3.07 8.75 6.82 5.54 6.04 6.44 0.87 3.28
Barclays US Govt/Credit 5.7 7.23 3.78 2.37 4.19 4.67 11.04 5.56 4.64 5.64 6.19 0.36 4.98
Barclays US Aggregate 5.24 6.97 4.33 2.43 4.34 4.1 10.26 5.51 4.65 5.63 6.18 0.43 4.03
Barclays Global Aggregate 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 6.95 5.01 5.22 6.21 0.50 6.47
ML US Treasury Bill 3 Mon 2.06 5.03 4.83 3.06 1.33 1.15 1.78 3.97 3.25 3.45 4.04 0.74 0.49
BLS CPI US 0.65 4.12 2.57 3.39 3.34 2.04 2.48 2.42 2.87 2.65 2.55 -0.84 1.74
Barclays US Treasury US TIPS -2.35 11.64 0.41 2.84 8.46 8.4 16.57 3.06 4.07 6.79 - -0.05 8
Barclays Municipal -2.47 3.36 4.84 3.51 4.48 5.31 9.61 1.86 2.71 4.26 4.91 -0.35 4.98
Barclays US Credit -3.08 5.11 4.26 1.96 5.24 7.7 10.53 2.03 2.65 4.85 5.81 -0.20 7.35
DJ Transportation Average -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -4.34 4.54 2.39 6.17 -0.32 19.33
Barclays US Corporate HiYield -26.16 1.88 11.85 2.74 11.13 28.97 -1.41 -5.59 -0.8 2.17 4.26 -0.63 13.6
DJ Utilities Average TR -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 0.36 10.5 5.49 7.70 -0.14 15.29
DJ Composite Average -27.94 8.88 15.71 9.49 15.58 29.4 -15.94 -3.17 2.82 2.91 7.90 -0.45 13.63
Russell 2000 Value -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -7.49 0.27 6.11 8.39 -0.49 19.41
S&P SmallCap 600/Citi Value -29.51 -5.54 19.57 8.36 21.09 39.2 -12.93 -7.32 0.88 5.35 - -0.49 19.16
JSE Gold South Africa -29.97 -18 5.54 43.34 -27.75 11.47 130.33 -15.37 -8.89 4.99 -6.23 -0.36 37.97
S&P Smallcap 600 -31.07 -0.3 15.12 7.68 22.65 38.79 -14.63 -7.51 0.88 5.18 - -0.51 19.01
Dow Jones Industrial -31.93 8.89 19.05 1.72 5.31 28.28 -15.01 -4.09 -1.12 1.67 8.11 -0.51 13.74
S&P SmallCap 600/Citi Growth -32.95 5.6 10.54 7.07 24.29 38.5 -16.57 -7.84 0.82 4.79 - -0.52 19.23
Russell 2000 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -8.29 -0.93 3.02 5.89 -0.51 20.13
S&P MidCap 400/Citi Value -34.88 2.65 14.62 10.77 17.18 33.8 -9.43 -8.49 -0.11 3.59 - -0.57 18.96
S&P 500/Citi Growth -34.92 9.13 11.01 1.14 6.97 27.08 -28.1 -7.62 -3.13 -3.15 - -0.69 15.36
S&P 100 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -6.66 -2.62 -1.54 6.79 -0.67 14.44
Dow Jones - AIG Commodity -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -8.6 0.23 7.61 6.10 -0.44 22.82
S&P Midcap 400 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -8.76 -0.08 4.46 9.05 -0.57 19.28
Russell 3000 Value -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -8.26 -0.72 1.69 7.5 -0.71 15.75
MSCI Pacific -36.42 5.3 12.2 22.64 18.98 38.48 -9.29 -9.1 1.85 1.86 -0.19 -0.65 18.02
Russell 1000 Value -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -8.32 -0.79 1.36 7.49 -0.72 15.58
S&P 500 -37 5.49 15.79 4.91 10.88 28.69 -22.1 -8.36 -2.19 -1.38 6.46 -0.74 15.29
Russell 3000 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -8.63 -1.95 -0.8 6.36 -0.72 16.02
DJ Wilshire 5000 -37.34 5.73 15.88 6.32 12.62 31.64 -20.86 -8.43 -1.67 -0.63 6.34 -0.71 16.03
Russell 1000 -37.6 5.77 15.46 6.27 11.41 29.89 -21.65 -8.66 -2.04 -1.09 6.47 -0.74 15.78
S&P MidCap 400/Citi Growth -37.61 13.5 5.81 14.42 15.78 37.32 -19.67 -9.18 -0.15 5.33 - -0.56 19.98
FTSE NAREIT Equity REITs -37.73 -15.69 35.06 12.16 31.58 37.13 3.82 -10.83 0.91 7.42 8.21 -0.34 30.06
Russell 1000 Growth -38.44 11.81 9.07 5.26 6.3 29.75 -27.88 -9.11 -3.42 -4.27 4.82 -0.72 16.63
Russell 3000 Growth -38.44 11.4 9.46 5.17 6.93 30.97 -28.04 -9.12 -3.33 -4.01 4.60 -0.70 16.91
Russell 2000 Growth -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -9.32 -2.35 -0.76 2.77 -0.52 21.56
DJ Wilshire REIT -39.2 -17.56 35.97 13.82 33.16 36.18 3.58 -12 0.65 7.65 8.24 -0.36 31.21
S&P 500/Citi Value -39.22 1.99 20.8 8.71 15.03 30.36 -16.59 -9.19 -1.31 -0.25 - -0.76 16.05
MSCI World -40.71 9.04 20.07 9.49 14.72 33.11 -19.89 -8.1 -0.51 -0.64 4.53 -0.62 17.26
Goldman Sachs Natural Resources -42.55 34.44 16.85 36.61 24.59 34.4 -12.99 -3.37 8.96 8.37 - -0.11 27.85
MSCI EAFE Growth -42.7 16.45 22.33 13.28 16.12 31.99 -16.02 -6.54 1.43 -1.3 - -0.43 19.65
MSCI EAFE -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -7.35 1.66 0.8 3.52 -0.48 19.51
MSCI World Ex US -43.56 12.44 25.71 14.47 20.38 39.42 -15.8 -7.25 1.91 1.19 3.78 -0.47 19.73
MSCI EAFE Value -44.09 5.96 30.38 13.8 24.33 45.3 -15.91 -8.25 1.79 2.72 - -0.53 19.61
MSCI Europe -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -6.56 1.53 0.37 6.26 -0.40 20.71
Goldman Sachs Commodity -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -15.53 -2.36 7.35 4.39 -0.52 30.19
MSCI EAFE Small Cap -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -13.76 1.14 - - -0.71 22.38
MSCI World/Real Estate -48.09 -5.57 39.86 14.86 35.69 36.34 -6.39 -11.82 1.33 3.46 - -0.55 23.97
MSCI Pacific Ex Japan -50.5 30.73 32.02 13.82 28.46 45.77 -6.42 -5.11 4.55 6.36 2.22 -0.22 25.59
MSCI EM -53.18 39.78 32.59 34.54 25.95 56.28 -6 -4.62 8.02 9.31 2.73 -0.14 29.08
Citi ESBI Capped Brady -60.81 -3.32 24.65 5.76 11.31 24.32 8.79 -22.13 -11.08 0.64 - -0.76 30.36
MSCI Austria -68.41 2.17 36.54 24.64 71.52 56.96 16.55 -23.9 -1.19 2.67 1.43 -0.68 34.96
MSCI Ireland* -72.74 -21.87 43.86 -4.74 39.16 39.43 -28.07 -32.58 -16.49 -11.7 -1.92 -1.30 29.31
Name 2008 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 December 31, 2008. All returns are in dollars, unless noted. 3-, 5-, 10- and 15-year returns are annualized.
 

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