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Journal of Indexes: The Index Industry Examined

May/June 2010
Selected Major Indexes
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Source: Morningstar. Data as of February 28, 2010. 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 2009 2008 2007 2006 2005 2004 2003 2002 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
FTSE NAREIT Hybrid REITs 33.22 41.30 -75.53 -34.77 40.95 -10.83 23.90 56.19 23.30 -32.65 -16.56 4.56 0.47 -0.54 51.59
MSCI Colombia* 6.84 76.50 -27.68 12.64 10.92 102.31 125.66 59.01 18.26 19.33 25.53 28.65 12.11 0.64 34.02
Alerian MLP 5.22 76.41 -36.92 12.72 26.07 6.32 16.67 44.54 -3.36 6.95 10.79 18.78 - 0.32 23.70
ML Pref Stk Hybrid Securities 3.58 14.14 -8.99 -12.74 7.67 0.46 5.51 9.49 6.62 -2.38 0.29 4.73 - 0.00 28.73
Barclays US Treasury 20+ Yr 2.70 -21.40 33.72 10.15 0.93 8.57 8.99 1.80 17.00 5.10 4.99 7.29 7.94 0.27 16.47
Wilshire 4500 Completion 2.27 36.99 -39.03 5.39 15.28 10.03 18.10 43.84 -17.80 -4.38 3.01 0.65 8.39 -0.14 23.92
S&P MidCap 400/Citi Value 2.20 33.73 -34.87 2.65 14.62 10.80 17.19 33.81 -9.51 -4.40 2.98 7.46 - -0.14 24.44
S&P SmallCap 600/Citi Value 2.01 22.85 -29.51 -5.54 19.57 8.33 21.06 39.09 -12.93 -6.20 1.57 6.54 - -0.19 25.93
Barclays Treasury 1.98 -3.57 13.74 9.01 3.08 2.79 3.54 2.24 11.79 6.31 5.28 6.17 6.42 0.80 5.63
Barclays US Credit 1.96 16.04 -3.08 5.11 4.26 1.96 5.24 7.70 10.52 5.72 5.04 6.78 6.93 0.50 8.03
Barclays US Aggregate Bond 1.91 5.93 5.24 6.97 4.33 2.43 4.34 4.10 10.25 6.18 5.36 6.44 6.62 1.01 4.16
Barclays US Government 1.87 -2.20 12.39 8.66 3.48 2.65 3.48 2.36 11.50 6.26 5.28 6.20 6.44 0.88 5.00
S&P MidCap 400 1.83 37.38 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -2.65 3.50 6.14 11.33 -0.07 24.01
Russell Micro Cap 1.62 27.48 -39.78 -8.00 16.54 2.57 14.14 66.36 -16.10 -10.55 -2.29 - - -0.36 26.18
Barclays EM 1.59 34.23 -14.75 5.15 9.96 12.27 11.89 26.93 12.16 6.45 8.18 10.28 12.64 0.37 14.92
Russell 2000 Value 1.57 20.58 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -7.82 0.70 8.08 9.75 -0.25 26.16
Barclays Municipal 1.50 12.91 -2.47 3.36 4.84 3.51 4.48 5.31 9.60 4.56 4.50 5.83 5.84 0.46 5.97
ML Global Govt 1.48 0.44 14.35 10.41 4.59 -6.01 8.43 11.68 17.05 8.39 5.06 6.48 5.99 0.80 8.19
S&P MidCap 400/Citi Growth 1.46 41.08 -37.61 13.50 5.81 14.39 15.79 37.32 -19.71 -0.92 3.92 4.78 - 0.01 23.97
Dow Jones Transportation Average 1.24 18.58 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -3.62 3.60 7.07 8.03 -0.08 25.92
Barclays Global High Yield 1.02 59.40 -26.89 3.18 13.69 3.59 13.17 32.42 4.13 5.95 7.15 8.55 9.55 0.31 17.54
S&P 500 Equal Weighted 0.98 46.31 -39.72 1.53 15.80 8.06 16.95 40.97 -18.18 -3.95 2.69 6.32 9.67 -0.11 25.07
S&P SmallCap 600 0.77 25.57 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -5.03 1.40 5.44 9.67 -0.15 25.24
S&P 500/Citi Value 0.68 21.18 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -8.90 -0.34 2.34 - -0.39 22.30
Russell 2000 0.66 27.17 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -6.13 1.16 2.18 7.58 -0.19 25.39
Barclays Global Aggregate 0.49 6.93 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 6.85 4.84 6.75 6.39 0.68 7.54
Russell 3000 Value 0.36 19.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -8.73 -0.40 3.95 8.49 -0.39 21.77
Russell 1000 Value 0.26 19.69 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -8.79 -0.49 3.64 8.44 -0.40 21.52
FTSE NAREIT All REITs 0.14 27.45 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -14.38 0.31 10.31 9.24 -0.27 37.22
ML US Treasury Bill 3 Mon 0.01 0.21 2.06 5.03 4.83 3.06 1.33 1.15 1.78 2.14 2.96 2.90 3.70 1.23 0.63
Russell 2000 Growth -0.31 34.47 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -4.59 1.47 -3.36 4.80 -0.13 25.44
Russell 3000 -0.34 28.34 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -5.60 0.80 0.07 7.66 -0.26 20.75
S&P 1500 -0.37 27.25 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -5.41 0.67 0.35 7.83 -0.26 20.42
Russell 1000 -0.42 28.43 -37.60 5.77 15.46 6.27 11.40 29.89 -21.65 -5.54 0.77 -0.09 7.73 -0.26 20.47
S&P SmallCap 600/Citi Growth -0.45 28.35 -32.94 5.60 10.54 7.02 24.27 38.43 -16.57 -3.89 1.15 4.22 - -0.11 24.89
DJ Industrial Average -0.47 22.68 -31.93 8.88 19.05 1.72 5.31 28.28 -15.01 -2.90 1.80 2.52 8.84 -0.16 18.59
Russell Top 200 Value -0.53 14.59 -36.09 0.25 22.99 4.60 13.34 26.75 -18.02 -9.42 -1.57 1.46 7.65 -0.47 20.42
S&P 500 -0.61 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -5.67 0.37 -0.31 7.54 -0.28 20.05
Russell 3000 Growth -1.02 37.01 -38.44 11.40 9.46 5.17 6.93 30.97 -28.03 -2.62 1.86 -4.03 6.18 -0.12 20.49
Russell 1000 Growth -1.08 37.21 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -2.45 1.89 -4.09 6.35 -0.11 20.19
Russell Top 200 -1.16 24.21 -36.07 5.89 15.53 3.77 8.31 26.68 -23.36 -5.61 0.06 -1.68 7.11 -0.30 19.14
S&P 100 -1.17 22.29 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -5.37 -0.15 -1.78 7.49 -0.29 18.95
Russell Top 200 Growth -1.76 34.01 -36.06 12.15 8.56 2.88 3.74 26.63 -27.98 -1.72 1.68 -4.56 6.20 -0.10 18.74
S&P 500/Citi Growth -1.88 31.57 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -2.52 0.95 -3.32 7.44 -0.14 18.89
NASDAQ 100 -2.10 54.61 -41.57 19.24 - - - - - 1.66 - - - 0.11 24.21
MSCI EAFE Small Cap -2.36 46.78 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -9.46 1.80 5.92 - -0.30 26.57
S&P GSCI -2.77 13.48 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -8.40 -5.94 3.40 4.83 -0.18 31.43
DJ UBS Commodity -3.84 18.91 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -6.19 -0.42 5.97 6.01 -0.23 23.62
MSCI EAFE Growth -4.25 29.36 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -6.64 2.43 -1.69 3.29 -0.26 22.96
MSCI EAFE -5.06 31.78 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -8.11 1.98 1.04 4.85 -0.30 24.01
MSCI EM -5.25 78.51 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 3.82 12.32 - - 0.23 32.99
MSCI EAFE Value -5.89 34.23 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -9.63 1.48 3.72 6.30 -0.34 25.64
MSCI BRIC* -5.91 88.79 -60.27 56.12 52.87 39.81 13.63 84.18 -15.18 5.17 16.71 9.33 9.45 0.28 37.55
Dow Jones Utilities Average -6.87 12.47 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -4.89 4.57 6.37 8.69 -0.33 16.72
MSCI Europe -7.78 35.83 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -8.65 1.64 1.39 7.60 -0.29 25.81
JSE Gold USD South Africa -15.66 35.57 -29.97 -18.00 5.54 43.34 -27.75 11.47 130.33 -9.86 0.15 3.94 -2.86 -0.12 39.69
NCREIF Property -16.86 -16.86 -6.46 15.84 16.59 20.06 14.48 8.99 6.74 -3.42 4.75 7.30 8.79 - -
MSCI Spain -18.17 43.48 -40.60 23.95 49.36 4.41 28.93 58.46 -15.29 -5.17 5.95 5.53 12.86 -0.07 31.04
MSCI Greece -19.17 25.05 -66.01 32.91 35.05 16.10 46.06 69.52 -25.26 -23.57 -8.43 -5.07 - -0.48 41.17
ML Conv Pref All Qualities -45.29 67.58 -55.03 8.50 17.01 6.17 14.22 41.49 -21.01 -24.35 -10.72 -5.18 3.43 -0.45 42.33
Index Name YTD 2009 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 February 28, 2010. 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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