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Journal of Indexes: Targeting Sectors

September / October 2009
Selected Major Indexes
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Selected Major Indexes Sorted By YTD Returns

. Total Return % Annualized Return %
Index Name YTD 2008 2007 2006 2005 2004 2003 2002 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
Citi ESBI Capped Brady 69.05 -60.81 -3.32 24.65 5.76 11.31 24.32 8.79 -8.17 -1.14 5.55 - -0.06 41.67
MSCI Brazil* 55.80 -57.64 75.35 40.52 49.96 30.49 102.85 -33.78 11.89 30.04 14.83 11.36 0.42 39.66
MSCI Indonesia* 54.46 -57.57 50.81 69.61 12.56 44.54 69.97 38.11 11.29 22.24 6.80 -0.85 0.41 43.66
MSCI EM Latin America 45.32 -51.41 50.40 43.15 50.00 39.44 73.52 -22.50 10.72 26.43 15.68 - 0.39 34.49
MSCI EM 36.01 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 2.95 14.72 8.70 - 0.16 32.14
Barcap High Yield Corp Bond 30.44 -26.16 1.88 11.85 2.74 11.13 28.97 -1.41 2.09 4.33 4.69 6.29 0.03 16.50
JSE Gold South Africa 24.16 -29.97 -18.00 5.54 43.34 -27.75 11.47 130.33 -13.13 2.31 7.17 -4.19 -0.24 39.65
NASDAQ 100* 21.92 -41.89 18.67 6.79 1.49 10.44 49.12 -37.58 -2.12 -0.53 -4.32 9.86 -0.10 23.26
MSCI EAFE Small Cap 21.43 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -9.87 2.61 - - -0.38 25.97
ML All Convertible All Qualities 21.01 -35.73 4.53 12.83 1.01 9.61 27.15 -8.58 -4.26 -0.40 2.27 6.75 -0.33 17.56
JPM EMBI Global Diversified 15.70 -12.03 6.16 9.87 10.25 11.62 22.21 13.65 6.07 8.25 10.73 12.02 0.30 12.72
MSCI AC Pacific 15.40 -40.59 12.35 15.68 23.02 18.21 39.84 -8.78 -5.08 4.01 1.65 - -0.23 23.37
MSCI AC World Ex USA 13.92 -45.53 16.65 26.65 16.62 20.91 40.83 -14.95 -5.80 4.49 2.52 - -0.23 24.89
S&P MidCap 400/Citi Growth 12.67 -37.61 13.50 5.81 14.42 15.78 37.32 -19.67 -5.97 1.09 5.40 - -0.28 22.79
Russell 1000 Growth 11.53 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -5.45 -1.83 -4.18 5.98 -0.35 19.24
Russell 3000 Growth 11.52 -38.44 11.40 9.46 5.17 6.93 30.97 -28.04 -5.65 -1.78 -3.94 5.78 -0.35 19.54
Russell 2000 Growth 11.36 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -7.84 -1.32 -0.89 4.25 -0.34 24.10
FTSE All World 10.10 -41.76 12.74 22.19 11.72 16.14 34.39 -18.86 -6.11 2.02 0.69 5.63 -0.31 22.03
MSCI Pacific 9.67 -36.42 5.30 12.20 22.64 18.98 38.48 -9.29 -7.34 2.13 0.79 -0.74 -0.39 21.14
MSCI EAFE Value 9.61 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -8.64 2.35 2.75 4.91 -0.36 24.70
MSCI AC World 9.17 -42.20 11.66 20.95 10.84 15.23 33.99 -19.32 -7.05 1.05 -0.24 - -0.36 21.86
S&P Midcap 400 8.47 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -7.54 0.36 4.61 10.20 -0.36 22.56
BarCap US Corp IG 8.32 -4.94 4.56 4.30 1.68 5.39 8.24 10.12 4.49 3.82 5.64 6.54 0.21 8.76
MSCI EAFE 7.95 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -7.98 2.31 1.16 3.47 -0.37 23.20
S&P 500/Citi Growth 7.52 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -5.06 -2.24 -3.81 7.13 -0.37 17.86
MSCI Europe 7.03 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -8.40 2.31 1.30 6.95 -0.35 24.67
Barcap Credit 6.87 -3.08 5.11 4.26 1.96 5.24 7.70 10.53 4.86 4.08 5.80 6.64 0.27 7.81
S&P GSCI 6.55 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -15.18 -3.45 6.32 4.07 -0.44 32.07
Barcap Municipal 6.42 -2.47 3.36 4.84 3.51 4.48 5.31 9.61 3.90 4.14 5.00 5.66 0.19 5.48
MSCI EAFE Growth 6.34 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -7.39 2.19 -0.60 1.92 -0.36 22.23
Barcap US Trsy InflationNote 6.21 -2.35 11.64 0.41 2.84 8.46 8.40 16.57 5.78 4.94 7.24 - 0.35 8.78
DJ UBS Commodity 4.62 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -8.30 -0.23 7.21 5.48 -0.37 23.85
S&P MidCap 400/Citi Value 4.40 -34.88 2.65 14.62 10.77 17.18 33.80 -9.43 -9.20 -0.46 3.80 - -0.44 22.71
DJ US Broad Stock Market 4.32 -37.13 5.87 15.79 6.45 12.53 30.96 -20.85 -8.02 -1.54 -1.34 7.06 -0.48 19.43
Russell 1000 4.32 -37.60 5.77 15.46 6.27 11.41 29.89 -21.65 -8.20 -1.85 -1.75 7.07 -0.50 19.36
Russell 3000 4.20 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -8.35 -1.84 -1.46 6.97 -0.50 19.62
S&P 1500 3.47 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -8.23 -1.97 -1.52 - -0.50 19.29
S&P SmallCap 600/Citi Growth 3.47 -32.95 5.60 10.54 7.07 24.29 38.50 -16.57 -8.48 -0.51 4.66 - -0.39 23.25
S&P 500 3.16 -37.00 5.49 15.79 4.91 10.88 28.69 -22.10 -8.22 -2.24 -2.22 6.93 -0.51 18.97
Russell 2000 2.64 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -9.89 -1.71 2.38 6.55 -0.44 23.74
Barcap Aggregate Bond 1.90 5.24 6.97 4.33 2.43 4.34 4.10 10.26 6.43 5.02 5.98 6.59 0.83 4.04
Barcap Global Aggregate 1.52 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 6.68 5.53 6.05 6.42 0.53 7.15
S&P 100 1.04 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -7.20 -2.70 -3.00 7.09 -0.49 18.12
ML LIBOR 3 Mon CM 0.73 3.82 5.64 5.09 3.14 1.30 1.29 1.95 4.32 3.84 3.73 - 2.65 0.59
S&P Smallcap 600 0.67 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -9.57 -0.90 4.74 - -0.43 23.54
BLS CPI US 0.61 -0.08 4.15 2.52 3.44 3.34 2.04 2.48 1.81 2.42 2.52 2.46 -0.70 1.71
USTREAS Treasury Bill 3 Mon 0.10 1.51 4.77 5.07 3.34 1.43 1.05 1.68 2.99 3.13 3.13 3.83 - 0.59
DJ Utilities Average -1.14 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -1.32 8.95 5.04 9.25 -0.18 16.65
S&P 500/Citi Value -1.41 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -11.50 -2.40 -1.26 - -0.61 21.08
Citi WGBI -1.50 10.89 10.95 6.12 -6.88 10.35 14.91 19.50 7.77 6.06 6.53 6.39 0.59 8.30
Dow Jones Industrial -2.01 -31.93 8.89 19.05 1.72 5.31 28.28 -15.01 -6.34 -1.68 -0.41 8.12 -0.46 17.32
S&P SmallCap 600/Citi Value -2.04 -29.51 -5.54 19.57 8.36 21.09 39.20 -12.93 -10.74 -1.36 4.60 - -0.47 24.15
Russell 1000 Value -2.87 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -11.11 -2.13 -0.15 7.49 -0.62 20.33
Russell 3000 Value -3.05 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -11.20 -2.14 0.21 7.49 -0.62 20.52
Barcap Government -3.17 12.39 8.66 3.48 2.65 3.48 2.36 11.50 7.28 5.41 6.06 6.57 0.88 4.82
DJ Composite Average -3.51 -27.94 8.88 15.71 9.49 15.58 29.40 -15.94 -7.08 1.39 1.14 8.16 -0.50 17.48
Russell 2000 Value -5.17 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -12.07 -2.27 5.00 8.24 -0.53 24.18
DJ Transportation Average -7.37 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -11.77 1.53 0.78 6.29 -0.48 25.25
FTSE NAREIT All REITs -10.48 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -18.10 -3.62 5.14 6.60 -0.45 35.71
USTREAS Constant Mat Treasury 20 Yr -14.83 27.08 10.50 0.99 7.77 8.31 1.10 17.69 8.79 7.20 7.54 8.34 0.44 14.81
Index 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 June 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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