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Journal of Indexes: Death Of The Dollar?

November / December 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
MSCI Indonesia* 88.66 -57.57 50.81 69.61 12.56 44.54 69.97 38.11 14.8 26.13 12.43 -0.25 0.48 45.31
Citi ESBI Capped Brady 87.41 -60.81 -3.32 24.65 5.76 11.31 24.32 8.79 -7.66 -0.28 6.97 - -0.04 41.78
MSCI Brazil* 71.38 -57.64 75.35 40.52 49.96 30.49 102.85 -33.78 15.4 28.92 17.64 8.62 0.5 39.82
MSCI Turkey* 70.84 -63.38 70.04 -9.22 51.6 38.46 122.4 -36.49 4.61 15.15 10.26 9.97 0.28 48.13
MSCI Europe Small Cap 53.31 -54.24 2.54 45.24 18.93 32.72 61.4 -12.44 -4.79 9.47 7.96 - -0.08 31.14
MSCI EM 50.76 -53.33 39.39 32.17 34 25.55 55.82 -6.17 5.16 16.59 10.04 - 0.24 32.71
MSCI Pacific Ex Japan 49.06 -50.50 30.73 32.02 13.82 28.46 45.77 -6.42 3.89 12.18 8.53 5.28 0.19 29.5
MSCI EAFE Small Cap 41.26 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -5.22 6.59 - - -0.16 26.75
BarCap High Yield Corp Bond 40.95 -26.16 1.88 11.85 2.74 11.13 28.97 -1.41 3.87 5.27 5.58 6.73 0.15 16.84
NASDAQ 100* 34.13 -41.89 18.67 6.79 1.49 10.44 49.12 -37.58 0.95 3.5 -3.81 9.84 0.04 23.49
S&P US Preferred Stock 30.76 -25.76 -12.17 8.49 0.34 7.21 - - -3.81 -0.36 - - -0.02 33.65
MSCI EAFE Value 29.31 -44.09 5.96 30.38 13.8 24.33 45.3 -15.91 -4.91 6.17 4.05 5.83 -0.17 25.7
S&P MidCap 400/Citi Growth 25.84 -37.61 13.5 5.81 14.42 15.78 37.32 -19.67 -1.49 4.59 7.08 - -0.06 23.28
MSCI Europe 25.73 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -4.82 6.23 2.75 7.51 -0.17 25.66
MSCI World Ex US 25.32 -43.56 12.44 25.71 14.47 20.38 39.42 -15.80 -4.35 6.29 2.7 4.57 -0.17 24.26
MSCI EAFE 24.21 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -4.75 5.82 2.25 4.21 -0.19 24.01
S&P Midcap 400 23.1 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -2.99 3.98 6.54 10.51 -0.13 23.25
MSCI AC World 23.03 -42.20 11.66 20.95 10.84 15.23 33.99 -19.32 -4.31 4.05 1.06 - -0.20 22.54
Russell 1000 Growth 21.93 -38.44 11.81 9.07 5.26 6.3 29.75 -27.88 -2.97 1.21 -3.17 5.99 -0.19 19.64
Russell 3000 Growth 21.88 -38.44 11.4 9.46 5.17 6.93 30.97 -28.04 -3.09 1.34 -2.89 5.79 -0.19 19.92
MSCI Pacific 21.36 -36.42 5.3 12.2 22.64 18.98 38.48 -9.29 -4.71 4.87 1.19 -0.04 -0.24 21.62
Russell 2000 Growth 21.17 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -4.43 2.71 0.65 4.25 -0.17 24.32
S&P MidCap 400/Citi Value 20.41 -34.88 2.65 14.62 10.77 17.18 33.8 -9.43 -4.53 3.27 5.96 - -0.19 23.61
MSCI World 20.12 -40.71 9.04 20.07 9.49 14.72 33.11 -19.89 -5.22 3.09 0.43 5.23 -0.26 21.6
MSCI EAFE Growth 19.23 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -4.70 5.4 0.3 2.49 -0.21 22.87
S&P 500/Citi Growth 17.11 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -3.43 0.32 -2.87 7.14 -0.24 18.26
Russell 1000 16.36 -37.60 5.77 15.46 6.27 11.41 29.89 -21.65 -5.61 0.94 -0.27 7.33 -0.32 20
Russell 3000 16.32 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -5.66 1.04 0.06 7.23 -0.32 20.26
Russell 2000 15.75 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -6.08 2.21 4.3 6.9 -0.24 24.4
S&P 1500 15.53 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -5.55 0.87 -0.04 - -0.32 19.95
BarCap US Corp IG 15.07 -4.94 4.56 4.3 1.68 5.39 8.24 10.12 5.45 4.34 6.37 6.79 0.33 9.03
S&P 500 14.97 -37.00 5.49 15.79 4.91 10.88 28.69 -22.10 -5.78 0.49 -0.79 7.18 -0.34 19.61
S&P SmallCap 600/Citi Growth 14.53 -32.95 5.6 10.54 7.07 24.29 38.5 -16.57 -4.38 2.87 6.43 - -0.18 23.86
S&P Smallcap 600 13.61 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -5.29 2.86 6.58 - -0.21 24.32
BarCap Credit 12.9 -3.08 5.11 4.26 1.96 5.24 7.7 10.53 5.63 4.48 6.46 6.85 0.39 8.03
S&P 500/Citi Value 12.71 -39.22 1.99 20.8 8.71 15.03 30.36 -16.59 -8.24 0.55 0.69 - -0.40 21.97
S&P SmallCap 600/Citi Value 12.69 -29.51 -5.54 19.57 8.36 21.09 39.2 -12.93 -6.25 2.78 6.51 - -0.24 25.11
S&P 100 12.14 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -5.26 -0.16 -1.83 7.34 -0.34 18.69
Russell 2000 Value 10.8 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -7.86 1.57 7.31 8.96 -0.30 25.31
Dow Jones Industrial 10.79 -31.93 8.89 19.05 1.72 5.31 28.28 -15.01 -3.24 1.2 0.92 8.42 -0.24 18.22
FTSE NAREIT All REITs 10.69 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -13.93 -0.97 8.04 8.1 -0.29 36.94
Russell 3000 Value 10.6 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -8.39 0.53 2.22 8.01 -0.43 21.37
Russell 1000 Value 10.58 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -8.43 0.45 1.84 8 -0.44 21.14
BarCap Municipal 10.06 -2.47 3.36 4.84 3.51 4.48 5.31 9.61 4.14 4.15 5.4 5.75 0.27 5.53
DJ Composite Average 7.78 -27.94 8.88 15.71 9.49 15.58 29.4 -15.94 -3.00 3.89 2.54 8.48 -0.22 18.23
DJ UBS Commodity 7.37 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -7.34 0.31 6.7 5.76 -0.31 23.78
BarCap Global Aggregate 5.59 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 7.32 5.91 6.32 6.61 0.64 7.23
DJ Transportation Average 5.39 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -3.54 4.81 3.11 6.94 -0.12 25.36
BarCap US Aggregate Bond 4.62 5.24 6.97 4.33 2.43 4.34 4.1 10.26 6.35 4.96 6.31 6.63 0.87 4.03
S&P GSCI 4.5 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -14.16 -4.50 5.02 4.3 -0.40 31.83
BarCap Mortgage-Backed 4.45 8.34 6.9 5.22 2.61 4.7 3.07 8.75 7.37 5.78 6.52 6.79 1.4 3.1
DJ Utilities Average 4.09 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -2.03 8.95 5.56 9.08 -0.20 16.5
BarCap Government Credit 3.56 5.7 7.23 3.78 2.37 4.19 4.67 11.04 6.19 4.75 6.3 6.61 0.68 5.08
Citi WGBI 2.23 10.89 10.95 6.12 -6.88 10.35 14.91 19.5 8.49 6.46 6.62 6.62 0.7 8.36
BLS CPI US 1.37 -0.08 4.15 2.52 3.44 3.34 2.04 2.48 1.75 2.54 2.53 2.46 -0.54 1.73
USTREAS Treasury Bill 3 Mon 0.14 1.51 4.77 5.07 3.34 1.43 1.05 1.68 2.7 3.08 3.05 3.78 - 0.6
DJ US Select Dividend -0.84 -30.97 -5.16 19.56 3.78 18.14 30.16 -3.94 -10.86 -2.44 4.87 9.44 -0.52 22.24
BarCap Government -1.94 12.39 8.66 3.48 2.65 3.48 2.36 11.5 6.8 5.07 6.21 6.53 0.84 4.78
BarCap LT Government -9.35 22.69 9.65 2.06 6.61 7.94 2.61 16.99 7.63 6.33 7.85 8.26 0.44 12.13
BarCap LT Treasury -9.80 24.03 9.81 1.85 6.5 7.71 2.48 16.79 7.85 6.39 7.82 8.24 0.45 12.47
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 August 31, 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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