May / June 2009
Rethinking Fixed Income

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Stats          
Selected Major Indexes
Written by Journal of Indexes Staff   
Monday, 20 April 2009 00:00
Selected Major Indexes Sorted By YTD Returns
Total Return % Annualized Return %
Name YTD 2008 2007 2006 2005 2004 2003 2002 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
JSE Gold South Africa 9.9 -29.97 -18 5.54 43.34 -27.75 11.47 130.33 -15.68 -4.58 6.83 -5.02 -0.45 33.19
MSCI Chile* 9.86 -37.27 20.8 26.4 18.39 24.57 79.72 -21.66 -0.85 7.94 8.63 3.04 -0.05 24.29
BarCap Municipal 4.21 -2.47 3.36 4.84 3.51 4.48 5.31 9.61 2.95 3.13 4.61 5.3 -0.08 5.37
Citi ESBI Capped Brady 4.06 -60.81 -3.32 24.65 5.76 11.31 24.32 8.79 -22.98 -10.35 1.27 - -0.67 33.83
CSFB Credit Suisse HY 3.71 -26.17 2.65 11.92 2.26 11.95 27.94 3.1 -4.91 -0.25 3.17 4.72 -0.58 13.21
BarCap High Yield Corp Bond 2.71 -26.16 1.88 11.85 2.74 11.13 28.97 -1.41 -5.46 -0.6 2.35 4.32 -0.57 14.13
ML Converted Bonds All Qualities 1.74 -29.44 3.95 12.03 -0.19 8.31 22.97 -3.12 -7.01 -2.64 2.78 5.48 -0.71 13.79
MSCI Brazil* 1.44 -57.64 75.35 40.52 49.96 30.49 102.85 -33.78 -5.77 15.91 14.71 6.79 -0.05 37.61
BarCap Mortgage-Backed 0.77 8.34 6.9 5.22 2.61 4.7 3.07 8.75 6.81 5.39 6.09 6.47 0.94 3.29
BLS CPI US 0.41 4.6 -0.38 2.54 3.42 2.59 2.04 2.48 2.11 2.66 2.52 2.48 -0.32 4.4
USTREAS Treasury Bill 3 Mon 0.03 1.51 4.77 5.07 3.34 1.43 1.05 1.68 3.52 3.18 3.28 3.92 - 0.54
BarCap Aggregate Bond -1.26 5.24 6.97 4.33 2.43 4.34 4.1 10.26 4.95 4 5.61 6.12 0.35 4.12
BarCap Credit -1.71 -3.08 5.11 4.26 1.96 5.24 7.7 10.53 1.36 1.83 4.82 5.72 -0.25 7.43
BarCap Government -2.75 12.39 8.66 3.48 2.65 3.48 2.36 11.5 7.12 5.05 6.06 6.36 0.75 4.67
BarCap Global Aggregate -5.43 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 4.67 3.66 4.99 5.83 0.19 6.99
Dow Jones - AIG Commodity -9.57 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -10.24 -3.35 6.96 5.19 -0.51 22.82
MSCI EM -11.68 -53.18 39.78 32.59 34.54 25.95 56.28 -6 -11.65 3.69 8.03 1.88 -0.4 28.67
Russell Mid Cap Growth -11.77 -44.33 11.43 10.66 12.1 15.48 42.71 -27.41 -16.67 -5.68 -1.23 4.35 -0.94 20.7
DJ Utilities Average -11.84 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -4.56 6.71 4.75 7.36 -0.41 16.68
Russell 1000 Growth -11.97 -38.44 11.81 9.07 5.26 6.3 29.75 -27.88 -13.35 -6.36 -5.58 3.91 -0.96 17.16
Russell 3000 Growth -12.36 -38.44 11.4 9.46 5.17 6.93 30.97 -28.04 -13.67 -6.38 -5.33 3.64 -0.96 17.44
S&P 500/Citi Growth -13 -34.92 9.13 11.01 1.14 6.97 27.08 -28.1 -12.34 -6.31 -4.81 5.29 -0.96 16.09
S&P MidCap 400/Citi Growth -13.49 -37.61 13.5 5.81 14.42 15.78 37.32 -19.67 -14.52 -3.96 4.72 - -0.84 20.28
S&P GSCI -14.49 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -18.09 -6.79 6.14 2.92 -0.62 30.05
MSCI EAFE Small Cap -15.07 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -19.78 -3.61 - - -1.01 22.56
S&P Midcap 400 -16.23 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -15.38 -4.43 3.59 7.71 -0.91 19.91
Russell Mid Cap -16.61 -41.46 5.6 15.26 12.65 20.22 40.06 -16.19 -17.29 -5.21 1.69 6.31 -1 20.31
MSCI EAFE Growth -17.11 -42.7 16.45 22.33 13.28 16.12 31.99 -16.02 -13.61 -3.04 -2.85 - -0.79 20.41
MSCI Pacific -17.11 -36.42 5.3 12.2 22.64 18.98 38.48 -9.29 -15.85 -2.45 0.11 -2.31 -1.01 18.87
Russell 2000 Growth -17.17 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -17.27 -6.89 -2.11 1.34 -0.92 21.71
DJ Wilshire 5000 -17.36 -37.34 5.73 15.88 6.32 12.62 31.64 -20.86 -15.06 -6.04 -2.5 4.94 -1.07 17.21
Russell 1000 -17.66 -37.6 5.77 15.46 6.27 11.41 29.89 -21.65 -15.23 -6.38 -3.02 5.08 -1.09 17.08
DJ Wilshire US Top 2500 -17.71 -37.13 5.87 15.79 6.45 12.53 30.96 -20.85 -15.05 -6.02 -2.62 5.02 -1.08 17.17
MSCI AC World* -17.8 -43.54 9.64 18.78 8.83 13.3 31.62 -20.51 -16.69 -6.33 -3.63 1.14 -1.04 19.14
Russell 3000 -17.99 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -15.46 -6.4 -2.72 4.92 -1.09 17.32
MSCI World -18.1 -40.71 9.04 20.07 9.49 14.72 33.11 -19.89 -15.22 -5.02 -2.55 2.8 -1 18.41
S&P 500 -18.18 -37 5.49 15.79 4.91 10.88 28.69 -22.1 -15.11 -6.64 -3.43 5 -1.11 16.75
MSCI World Ex US -18.51 -43.56 12.44 25.71 14.47 20.38 39.42 -15.8 -15.03 -2.89 -0.6 1.86 -0.86 20.65
S&P 100 -18.79 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -13.58 -7.11 -3.81 5.21 -1.05 16.21
S&P MidCap 400/Citi Value -18.89 -34.88 2.65 14.62 10.77 17.18 33.8 -9.43 -16.37 -4.98 2.46 - -0.97 19.95
Dow Jones Industrial -18.92 -31.93 8.89 19.05 1.72 5.31 28.28 -15.01 -11.44 -5.48 -0.61 6.43 -0.93 15.72
MSCI EAFE -19.07 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -15.3 -3.27 -1.02 1.54 -0.88 20.54
MSCI Europe -20.1 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -15.13 -3.71 -1.54 4.59 -0.8 21.84
DJ Composite Average -20.54 -27.94 8.88 15.71 9.49 15.58 29.4 -15.94 -11.44 -1.98 0.52 6.23 -0.91 16
MSCI EAFE Value -21.12 -44.09 5.96 30.38 13.8 24.33 45.3 -15.91 -17.08 -3.62 0.6 - -0.96 20.94
S&P SmallCap 600/Citi Growth -21.24 -32.95 5.6 10.54 7.07 24.29 38.5 -16.57 -16.53 -4.89 3.39 - -0.95 20.47
Russell Mid Cap Value -21.52 -38.45 -1.42 20.22 12.65 23.71 38.07 -9.65 -18.39 -5.38 2.41 6.82 -1.05 20.58
Russell 2000 -21.92 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -17.86 -6.68 1.22 3.97 -0.98 21.19
S&P Smallcap 600 -23.15 -31.07 -0.3 15.12 7.68 22.65 38.79 -14.63 -17.32 -5.2 3.55 - -0.99 20.52
Russell 1000 Value -23.32 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -17.31 -6.65 -1.23 5.58 -1.17 17.98
Russell 3000 Value -23.56 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -17.43 -6.66 -0.88 5.55 -1.16 18.15
S&P 500/Citi Value -23.64 -39.22 1.99 20.8 8.71 15.03 30.36 -16.59 -18.1 -7.17 -2.71 - -1.18 18.48
S&P SmallCap 600/Citi Value -25.02 -29.51 -5.54 19.57 8.36 21.09 39.2 -12.93 -18.2 -5.58 3.5 - -1.02 20.91
Russell 2000 Value -26.19 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -18.58 -6.64 3.9 5.99 -1 21.56
MSCI Germany -27.25 -45.87 35.21 35.99 9.92 16.17 63.8 -33.18 -12.75 -1.61 -1.56 4.24 -0.5 26.72
MSCI World/Real Estate -27.42 -48.09 -5.57 39.86 14.86 35.69 36.34 -6.39 -22.81 -6.62 0.5 - -0.99 26.08
DJ Transportation Average -28.99 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -16.27 -1.72 -1.25 3.76 -0.82 22.76
FTSE NAREIT Equity REITs -34.53 -37.73 -15.69 35.06 12.16 31.58 37.13 3.82 -24.81 -8.38 3.43 4.7 -0.78 33.12
DJ US Financial -35.93 -50.4 -17.66 19.42 6.46 13.39 32.23 -12.35 -32.91 -18.67 -6.35 3.36 -1.49 26.47
Name YTD 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 February 28, 2009. All returns are in dollars, unless noted. YTD is year-to-date. 3-, 5-, 10- and 15-year returns are annualized. Sharpe is 12-month Sharpe ratio. Std Dev is 3-year standard deviation.

 

 
 

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