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Journal of Indexes: Risk Management

July / August 2009
Selected Major Indexes
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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
MSCI Brazil* 33.06 -57.64 75.35 40.52 49.96 30.49 102.85 -33.78 2.04 26.73 13.01 10.33 0.17 39.12
MSCI Indonesia* 31.86 -57.57 50.81 69.61 12.56 44.54 69.97 38.11 0.00 15.43 10.09 -1.72 0.16 44.18
MSCI EM Latin America 23.20 -51.41 50.40 43.15 50.00 39.44 73.52 -22.50 1.07 22.97 14.02 - 0.12 33.66
Barcap High Yield Corp Bond 18.81 -26.16 1.88 11.85 2.74 11.13 28.97 -1.41 -1.16 2.34 3.56 5.65 -0.19 15.97
MSCI EM 17.75 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 -5.51 11.10 8.24 - -0.12 31.24
S&P 500-Information Tech 16.91 -43.14 16.31 8.42 0.99 2.56 47.23 -37.41 -6.63 -1.35 -5.77 8.59 -0.30 23.77
NASDAQ 100* 15.08 -41.89 18.67 6.79 1.49 10.44 49.12 -37.58 -6.41 -0.10 -4.18 9.18 -0.30 23.48
Russell Mid Cap Growth 10.37 -44.33 11.43 10.66 12.10 15.48 42.71 -27.41 -11.16 -0.76 0.02 6.28 -0.53 23.26
JPM EMBI Global Diversified 9.60 -12.03 6.16 9.87 10.25 11.62 22.21 13.65 3.41 7.01 9.91 11.74 0.08 12.61
S&P MidCap 400/Citi Growth 8.24 -37.61 13.50 5.81 14.42 15.78 37.32 -19.67 -8.79 0.91 5.84 - -0.43 22.83
Barcap Municipal 6.31 -2.47 3.36 4.84 3.51 4.48 5.31 9.61 3.88 4.12 4.78 5.67 0.14 5.43
Russell 1000 Growth 5.09 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -8.49 -2.39 -4.40 5.46 -0.54 19.04
Russell Mid Cap 5.01 -41.46 5.60 15.26 12.65 20.22 40.06 -16.19 -11.62 0.01 3.00 8.22 -0.55 23.15
Russell 3000 Growth 5.00 -38.44 11.40 9.46 5.17 6.93 30.97 -28.04 -8.81 -2.32 -4.15 5.22 -0.55 19.35
S&P Midcap 400 4.93 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -9.95 0.56 4.86 9.63 -0.49 22.59
MSCI EAFE Small Cap 4.33 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -16.61 0.26 - - -0.74 24.54
Russell 2000 Growth 3.84 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -12.10 -1.67 -1.06 3.31 -0.54 24.14
Barcap Mortgage-Backed 2.49 8.34 6.90 5.22 2.61 4.70 3.07 8.75 7.71 6.04 6.15 6.83 1.30 3.20
FTSE AW Ex US 2.18 -45.26 18.17 28.10 17.27 21.73 41.60 -14.33 -9.88 3.52 2.20 4.12 -0.45 23.90
S&P MidCap 400/Citi Value 1.72 -34.88 2.65 14.62 10.77 17.18 33.80 -9.43 -11.22 0.12 3.85 - -0.55 22.73
S&P 500/Citi Growth 1.63 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -7.89 -2.78 -4.00 6.69 -0.56 17.65
CS Tremont Hedge Fund 0.86 -19.07 12.56 13.87 7.61 9.64 15.44 3.04 -0.27 3.60 7.02 9.28 -0.44 7.81
Barcap Aggregate Bond 0.60 5.24 6.97 4.33 2.43 4.34 4.10 10.26 6.01 4.78 5.71 6.48 0.67 4.06
FTSE All World 0.39 -41.76 12.74 22.19 11.72 16.14 34.39 -18.86 -10.09 0.70 -0.12 5.00 -0.55 21.20
USTREAS Treasury Bill 3 Mon 0.07 1.51 4.77 5.07 3.34 1.43 1.05 1.68 3.26 3.16 3.21 3.88 - 0.57
Russell Mid Cap Value -0.43 -38.45 -1.42 20.22 12.65 23.71 38.07 -9.65 -12.56 0.07 3.79 8.71 -0.58 23.69
USTreas Const Mat Treas 3 Yr -0.69 8.45 9.27 3.75 0.76 0.26 0.98 7.83 6.83 4.42 4.89 5.45 1.12 3.11
S&P SmallCap 600/Citi Growth -0.76 -32.95 5.60 10.54 7.07 24.29 38.50 -16.57 -11.26 -0.11 5.04 - -0.53 23.26
MSCI EAFE Value -0.94 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -12.77 1.09 1.52 4.34 -0.59 23.65
Russell 1000 -1.39 -37.60 5.77 15.46 6.27 11.41 29.89 -21.65 -10.76 -2.32 -2.03 6.57 -0.67 19.06
Russell 3000 -1.42 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -10.94 -2.26 -1.71 6.45 -0.67 19.35
Russell 2000 -1.81 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -12.72 -1.45 2.53 5.91 -0.58 23.79
S&P 1500 -1.93 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -10.76 -2.33 -1.71 - -0.67 19.03
Barcap Government -2.30 12.39 8.66 3.48 2.65 3.48 2.36 11.50 7.71 5.61 6.04 6.61 0.91 4.74
S&P Smallcap 600 -2.33 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -11.85 -0.13 5.25 - -0.55 23.58
Barcap Global Aggregate -2.38 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 5.47 4.87 5.32 6.15 0.34 6.98
S&P 500 -2.50 -37.00 5.49 15.79 4.91 10.88 28.69 -22.10 -10.77 -2.70 -2.48 6.46 -0.69 18.66
MSCI Europe -2.64 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -11.97 0.98 0.02 5.89 -0.56 23.54
MSCI EAFE -2.92 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -12.34 0.66 -0.03 2.80 -0.63 22.10
MSCI Pacific -3.45 -36.42 5.30 12.20 22.64 18.98 38.48 -9.29 -13.25 -0.16 -0.22 -1.22 -0.76 20.12
S&P SmallCap 600/Citi Value -3.83 -29.51 -5.54 19.57 8.36 21.09 39.20 -12.93 -12.54 -0.22 5.25 - -0.56 24.22
Citi WGBI -4.78 10.89 10.95 6.12 -6.88 10.35 14.91 19.50 6.83 5.55 5.80 6.19 0.46 8.24
MSCI EAFE Growth -4.84 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -12.00 0.16 -1.75 1.15 -0.65 21.09
S&P 100 -4.96 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -9.79 -3.36 -3.16 6.61 -0.68 17.77
JPM GBI Global Ex US -5.32 11.40 11.30 6.84 -9.24 12.05 18.63 22.09 6.81 5.64 5.56 6.13 0.41 9.20
Dow Jones - AIG Commodity -5.63 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -11.58 -2.76 6.02 5.32 -0.58 22.48
Dow Jones Industrial -5.86 -31.93 8.89 19.05 1.72 5.31 28.28 -15.01 -8.05 -2.00 -0.61 7.76 -0.60 17.08
MSCI World/Real Estate -6.47 -48.09 -5.57 39.86 14.86 35.69 36.34 -6.39 -17.17 -0.47 1.33 - -0.60 29.25
S&P 500/Citi Value -6.85 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -13.78 -2.78 -1.60 - -0.77 20.67
Russell 2000 Value -6.89 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -13.47 -1.42 5.51 7.91 -0.61 24.22
Russell 3000 Value -7.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -13.25 -2.42 -0.08 7.03 -0.76 20.19
DJ Composite Average -7.82 -27.94 8.88 15.71 9.49 15.58 29.40 -15.94 -7.80 1.40 0.70 7.61 -0.57 17.38
Russell 1000 Value -7.85 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -13.21 -2.50 -0.50 7.02 -0.77 19.94
DJ Utilities Average -8.64 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -2.31 7.75 4.46 7.94 -0.26 16.40
FTSE NAREIT All REITs -10.14 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -17.43 -1.64 5.27 6.62 -0.44 35.84
DJ Transportation Average -10.45 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -11.07 3.03 -0.23 5.79 -0.46 25.45
S&P GSCI -11.46 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -20.16 -7.01 4.43 3.06 -0.71 29.67
S&P 500 Sec/Financials -12.91 -55.32 -18.63 19.19 6.48 10.91 31.13 -14.64 -29.50 -14.93 -6.36 4.70 -0.93 34.05
USTreas Const Mat Treas 20 Yr -13.11 27.08 10.50 0.99 7.77 8.31 1.10 17.69 9.83 7.76 7.43 8.34 0.49 14.67
DJ US Select Dividend -14.63 -30.97 -5.16 19.56 3.78 18.14 30.16 -3.94 -14.15 -4.04 2.62 8.89 -0.76 21.28
Name YTD 2008 2007 2006 2005 2004 2003 2002 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
Total Return % Annualized Return %
Source: Morningstar. Data as of April 30, 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. *Indicates price returns. All other indexes are total return.
 

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