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Journal of Indexes: Is Buy-And-Hold Dead?

January/February 2010
Selected Major Indexes
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Source: Morningstar. Data as of October 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.
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 Sri Lanka* 142.56 -62.09 -15.15 42.78 30.70 7.81 42.09 29.76 -2.02 7.03 9.82 -1.56 0.11 48.50
Citigroup ESBI Brady 119.38 -60.81 -3.32 23.86 5.95 11.50 31.68 4.98 -2.82 2.52 8.14 - 0.12 43.03
MSCI Indonesia* 102.75 -57.57 50.81 69.61 12.56 44.54 69.97 38.10 14.37 23.52 11.29 0.33 0.48 45.75
MSCI BRIC* 76.69 -60.27 56.12 52.87 39.81 13.63 84.18 -15.18 8.52 21.21 13.90 - 0.35 37.69
MSCI Pacific Ex Japan 65.14 -50.50 30.73 32.02 13.81 28.46 45.77 -6.42 5.28 12.46 9.64 6.08 0.24 29.80
MSCI EM 64.65 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 6.34 16.78 11.16 - 0.28 32.98
Barclays Global High Yield 54.54 -26.89 3.18 13.69 3.59 13.17 32.42 4.13 6.31 7.37 8.72 8.95 0.30 17.54
Barclays US Corporate High Yield 51.65 -26.16 1.87 11.85 2.74 11.13 28.97 -1.41 5.46 6.13 6.51 7.23 0.26 17.11
MSCI EAFE Small Cap 45.69 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -5.50 5.86 - - -0.16 26.84
MSCI Nordic Countries 44.10 -53.52 21.24 39.26 15.65 27.45 43.37 -25.84 -3.29 7.96 3.87 10.58 -0.02 31.80
NASDAQ 100* 37.59 -41.89 18.67 6.79 1.49 10.44 49.12 -37.58 -1.27 2.32 -4.48 9.75 -0.04 23.50
JSE Gold USD South Africa 34.77 -29.97 -18.00 5.54 43.34 -27.75 11.47 130.33 -3.44 -0.12 4.54 -4.97 0.03 39.18
S&P 500 Equal Weighted 32.70 -39.72 1.53 15.80 8.06 16.95 40.97 -18.18 -5.70 2.20 4.55 9.14 -0.21 24.60
MSCI EAFE Value 30.74 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -6.17 5.11 3.90 5.85 -0.21 25.67
MSCI Europe 30.03 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -5.35 5.36 2.80 7.74 -0.18 25.68
S&P MidCap 400/Citi Growth 29.00 -37.61 13.50 5.81 14.39 15.79 37.32 -19.71 -2.27 4.12 6.66 - -0.08 23.53
MSCI EAFE 27.36 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -5.22 5.10 2.04 4.38 -0.20 24.01
MSCI AC World 26.68 -42.20 11.66 20.95 10.84 15.23 33.99 -19.32 -4.92 3.73 0.96 - -0.21 22.59
JPM EMBI Global 26.44 -10.91 6.28 9.88 10.73 11.73 25.66 13.11 6.86 8.50 11.16 11.77 0.40 12.44
Russell 1000 Growth 25.39 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -4.05 1.27 -3.39 6.12 -0.23 19.63
Russell 3000 Growth 25.00 -38.44 11.40 9.46 5.17 6.93 30.97 -28.03 -4.28 1.26 -3.14 5.90 -0.24 19.93
JP Morgan EMBI 24.37 -9.70 6.45 10.49 11.86 11.77 28.82 14.24 6.87 8.84 11.70 12.19 0.41 12.13
S&P Midcap 400 24.23 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -4.22 3.24 6.45 10.64 -0.17 23.51
MSCI EAFE Growth 24.05 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -4.32 5.03 0.02 2.80 -0.18 22.91
MSCI Pacific 22.32 -36.42 5.30 12.20 22.64 18.98 38.48 -9.29 -4.98 4.52 0.42 0.01 -0.24 21.59
S&P 500/Citi Growth 21.81 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -3.96 0.76 -2.97 7.36 -0.26 18.27
Russell 2000 Growth 20.15 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -6.88 0.95 0.12 4.08 -0.26 24.64
S&P MidCap 400/Citi Value 19.65 -34.87 2.65 14.62 10.80 17.19 33.80 -9.51 -6.19 2.27 6.14 - -0.25 23.88
Russell 1000 18.41 -37.60 5.77 15.46 6.27 11.40 29.89 -21.65 -6.84 0.71 -0.46 7.49 -0.37 20.01
Russell 3000 18.07 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -6.98 0.71 -0.14 7.37 -0.37 20.29
S&P 1500 17.42 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -6.81 0.61 -0.19 - -0.37 19.96
S&P 500 17.05 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -7.02 0.33 -0.95 7.33 -0.40 19.58
Russell Micro Cap 16.22 -39.78 -8.00 16.54 2.57 14.14 66.36 -16.10 -12.50 -2.57 - - -0.48 25.52
Barclays US Credit 15.52 -3.08 5.11 4.26 1.96 5.24 7.70 10.52 5.77 4.64 6.54 7.16 0.43 8.05
S&P SmallCap 600/Citi Growth 15.15 -32.94 5.60 10.54 7.02 24.27 38.50 -16.57 -5.74 1.28 6.11 - -0.22 24.14
S&P 100 14.27 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -6.69 0.08 -2.00 7.45 -0.41 18.56
Russell 2000 14.12 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -8.51 0.59 4.11 6.85 -0.33 24.68
DJ Industrial Average 13.65 -31.93 8.88 19.05 1.72 5.31 28.28 -15.01 -4.41 1.95 1.25 8.59 -0.29 18.07
S&P Smallcap 600 12.65 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -7.34 1.26 6.48 - -0.28 24.53
DJ UBS Commodity 12.64 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -5.36 -0.39 7.10 6.03 -0.22 23.48
FTSE NAREIT All REITs 12.08 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -15.87 -1.63 8.87 8.61 -0.34 36.98
S&P 500/Citi Value 12.06 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -10.20 -0.25 0.47 - -0.49 21.95
Barclays Municipal 11.61 -2.47 3.36 4.84 3.51 4.48 5.31 9.60 4.17 4.15 5.66 6.08 0.31 6.01
Russell 1000 Value 11.33 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -9.79 -0.05 1.70 8.19 -0.49 21.18
Russell 3000 Value 11.12 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -9.84 -0.05 2.11 8.19 -0.49 21.42
S&P GSCI 10.82 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -8.30 -6.40 5.66 4.74 -0.19 31.48
Barclays US Treasury US TIPS 10.82 -2.35 11.64 0.41 2.84 8.46 8.40 16.57 6.10 4.83 7.62 - 0.45 8.78
S&P SmallCap 600/Citi Value 10.21 -29.51 -5.54 19.57 8.33 21.06 39.20 -12.93 -8.96 1.15 6.60 - -0.34 25.25
Russell 2000 Value 8.63 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -10.26 0.08 7.53 9.02 -0.39 25.54
Barclays Global Aggregate 8.35 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 7.91 5.70 6.48 6.73 0.75 7.27
Dow Jones Composite Average 8.30 -27.94 8.88 15.71 9.49 15.58 29.40 -15.94 -4.87 3.10 2.69 8.70 -0.32 18.08
Barclays US Aggregate Bond 6.24 5.24 6.97 4.33 2.43 4.34 4.10 10.25 6.35 5.05 6.31 6.85 0.93 4.03
Dow Jones Transportation Average 4.00 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -7.09 2.05 3.02 7.35 -0.26 25.23
Dow Jones Utilities Average 1.59 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -3.30 6.73 5.56 9.14 -0.27 16.32
ML US Treasury Bill 3 Mon 0.19 2.06 5.03 4.83 3.06 1.33 1.15 1.78 2.69 3.09 3.07 3.83 1.11 0.64
MSCI Morocco* -0.62 -12.97 44.02 62.65 8.69 17.62 43.02 -12.71 9.41 22.67 6.80 - 0.40 23.66
Barclays US Government -1.20 12.39 8.66 3.48 2.65 3.48 2.36 11.50 6.57 5.02 6.19 6.69 0.86 4.79
Barclays Treasury -2.34 13.74 9.01 3.08 2.79 3.54 2.24 11.79 6.66 5.03 6.20 6.68 0.78 5.39
NCREIF Property -15.07 -6.46 15.84 16.59 20.06 14.48 8.99 6.74 -1.29 6.16 7.83 9.08 - -
ML US Treasury STRIPS CM 30 Yr -40.93 84.22 12.97 -21.45 18.82 16.23 0.57 21.37 6.63 2.99 6.56 9.01 0.28 31.33
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 October 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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