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Journal of Indexes: The Summer Issue

July/August 2010
Selected Major Indexes
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Source: Morningstar. Data as of April 30, 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
Russell Micro Cap 19.17 27.48 -39.78 -8.00 16.54 2.57 14.14 66.36 -16.10 -6.33 2.93 - - -0.16 27.13
Wilshire 5000 Equal Weight* 18.20 98.25 -44.96 -6.69 18.91 5.53 28.89 92.83 -6.68 5.12 9.62 12.40 17.11 0.26 29.86
Russell 2000 Value 17.72 20.58 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -3.89 5.26 9.58 10.59 -0.07 26.94
S&P SmallCap 600/Citi Value 17.25 22.85 -29.51 -5.54 19.57 8.33 21.06 39.09 -12.93 -2.72 6.27 8.21 - -0.03 26.60
FTSE NAREIT All REITs 16.79 27.45 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -9.14 2.88 10.95 10.39 -0.10 37.87
Russell 2000 15.01 27.17 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -2.79 5.74 4.91 8.26 -0.04 26.03
Wilshire 4500 Completion 14.98 36.99 -39.03 5.39 15.28 10.03 18.10 43.84 -17.80 -1.73 6.65 3.54 8.99 -0.01 24.41
S&P SmallCap 600 14.96 25.57 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -2.03 5.87 7.42 10.33 -0.01 25.83
Dow Jones Transportation Average 14.43 18.58 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -0.79 7.95 6.48 8.50 0.04 26.28
S&P MidCap 400/Citi Value 13.92 33.73 -34.87 2.65 14.62 10.80 17.19 33.81 -9.51 -2.13 6.19 7.67 - -0.02 24.83
S&P MidCap 400 13.74 37.38 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -0.44 6.89 6.84 11.88 0.04 24.41
S&P MidCap 400/Citi Growth 13.58 41.08 -37.61 13.50 5.81 14.39 15.79 37.32 -19.71 1.23 7.49 5.93 - 0.11 24.39
S&P SmallCap 600/Citi Growth 12.70 28.35 -32.94 5.60 10.54 7.02 24.27 38.43 -16.57 -1.43 5.38 6.45 - 0.01 25.39
Russell 2000 Growth 12.13 34.47 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -1.93 6.06 -0.06 5.32 0.00 25.92
Alerian MLP 11.91 76.41 -36.91 12.72 26.07 6.32 16.67 44.54 -3.36 5.35 12.36 19.27 - 0.27 23.44
MSCI World Small Cap 11.71 44.12 -41.88 0.79 17.20 15.71 24.31 57.79 -16.01 -4.58 5.99 7.65 - -0.11 25.77
S&P 500 Equal Weighted 11.14 46.31 -39.72 1.53 15.80 8.06 16.95 40.97 -18.18 -2.48 5.61 6.21 9.99 -0.03 25.33
Russell 3000 Value 10.21 19.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -7.36 2.20 3.92 8.80 -0.30 22.11
Russell 1000 Value 9.55 19.69 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -7.66 1.93 3.48 8.70 -0.32 21.81
S&P 500/Citi Value 9.11 21.18 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -8.10 2.03 2.29 - -0.33 22.51
MSCI Nordic Countries 8.38 47.07 -53.52 21.24 39.26 15.65 27.45 43.37 -25.84 -8.29 8.00 0.49 10.94 -0.17 31.20
Russell 3000 8.23 28.34 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -4.56 3.28 0.50 7.89 -0.19 20.99
S&P 1500 7.86 27.25 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -4.57 3.10 0.56 8.01 -0.20 20.62
NASDAQ 100 7.76 54.61 -41.57 19.24 - - - - - 2.93 - - - 0.18 24.43
Russell 1000 7.65 28.43 -37.60 5.77 15.46 6.27 11.40 29.89 -21.65 -4.71 3.07 0.16 7.92 -0.20 20.67
Dow Jones Composite Average 7.22 19.35 -27.94 8.88 15.71 9.49 15.58 29.40 -15.94 -2.69 5.59 4.40 9.11 -0.13 18.90
Barclays US Corporate High Yield 7.07 58.21 -26.16 1.87 11.85 2.74 11.13 28.97 -1.41 7.02 8.49 7.68 7.47 0.39 17.25
S&P 500 7.05 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -5.05 2.63 -0.19 7.66 -0.23 20.21
MSCI India 6.82 102.81 -64.63 73.11 51.00 37.57 19.11 78.35 7.90 6.97 24.42 14.80 - 0.33 43.28
Barclays Global High Yield 6.61 59.40 -26.89 3.18 13.69 3.59 13.17 32.42 4.13 7.20 9.05 9.22 9.58 0.40 17.63
MSCI EAFE Small Cap 6.55 46.78 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -8.87 4.44 7.39 - -0.26 26.79
DJ Industrial Average 6.42 22.68 -31.93 8.88 19.05 1.72 5.31 28.28 -15.01 -2.85 4.24 2.59 8.77 -0.15 18.55
Russell 3000 Growth 6.29 37.01 -38.44 11.40 9.46 5.17 6.93 30.97 -28.03 -1.93 4.22 -3.37 6.33 -0.06 20.63
Russell 1000 Growth 5.81 37.21 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -1.93 4.05 -3.63 6.47 -0.07 20.29
Russell Top 200 5.68 24.21 -36.07 5.89 15.53 3.77 8.31 26.68 -23.36 -5.20 2.07 -1.69 7.19 -0.26 19.28
S&P 500/Citi Growth 5.03 31.57 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -2.10 3.08 -3.11 7.53 -0.10 18.99
JPM EMBI Global 4.96 28.18 -10.91 6.28 9.88 10.73 11.73 25.66 13.11 7.24 9.10 10.56 12.80 0.50 12.46
MSCI EM 3.65 78.51 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 4.00 16.56 - - 0.24 33.14
Barclays US Treasury 20+ Yr 3.50 -21.40 33.72 10.15 0.93 8.57 8.99 1.80 17.00 5.71 4.49 7.09 7.80 0.32 16.59
MSCI World 3.25 29.99 -40.71 9.04 20.07 9.49 14.72 33.11 -19.89 -6.75 3.35 0.41 5.69 -0.28 21.94
Barclays US Aggregate Bond 2.84 5.93 5.24 6.97 4.33 2.43 4.34 4.10 10.26 6.32 5.38 6.43 6.55 1.10 4.18
MSCI EAFE Value -2.23 34.23 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -10.36 3.37 3.90 5.92 -0.35 25.73
Barclays Municipal 2.48 12.91 -2.47 3.36 4.84 3.51 4.48 5.31 9.60 4.88 4.51 5.77 5.82 0.56 5.99
S&P GSCI 1.86 13.48 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -7.86 -4.64 4.10 4.85 -0.15 31.44
Barclays US Treasury 1-3 Yr 0.98 0.80 6.67 7.31 3.92 1.62 0.91 1.92 5.87 4.62 4.18 4.46 4.93 1.57 2.03
MSCI BRIC* 0.37 88.79 -60.27 56.12 52.87 39.81 13.63 84.18 -15.18 4.49 20.60 11.52 10.09 0.27 37.63
MSCI EAFE Growth 0.29 29.36 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -7.52 4.30 -0.75 2.89 -0.29 23.05
Barclays Global Aggregate -0.26 6.93 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 6.10 4.67 6.72 5.99 0.62 7.57
S&P Global 100 -0.87 26.71 -36.44 11.38 20.42 5.47 10.15 30.93 -23.59 -5.69 3.04 -0.60 7.92 -0.25 20.93
MSCI EAFE -0.96 31.78 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -8.91 3.86 1.64 4.47 -0.33 24.11
Dow Jones Utilities Average -1.26 12.47 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -5.65 4.63 5.91 9.03 -0.36 16.52
Barclays Glbl Aggregate Treasuries -1.27 2.63 10.23 10.57 6.44 -6.66 10.33 14.78 19.58 6.52 4.40 - - 0.59 8.84
MSCI EAFE GDP Weighted -3.13 30.38 -44.82 12.88 27.39 13.68 22.57 42.95 -15.90 -10.41 3.40 1.54 5.33 -0.36 25.54
DJ UBS Commodity -3.18 18.91 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -6.64 0.22 6.07 5.74 -0.24 23.63
MSCI Europe -4.46 35.83 -46.42 13.86 33.72 9.42 20.88 38.54 -18.38 -10.54 3.42 1.96 7.31 -0.36 25.73
MSCI EMU -8.78 31.41 -47.57 19.55 36.29 8.80 21.41 43.15 -21.94 -12.51 3.03 0.96 6.94 -0.36 29.09
MSCI Portugal -18.18 40.41 -52.15 24.00 47.37 -1.87 24.70 43.04 -13.77 -15.45 0.75 1.31 - -0.49 28.53
MSCI Spain -19.37 43.48 -40.60 23.95 49.36 4.41 28.93 58.46 -15.29 -6.96 7.05 6.20 12.31 -0.12 31.17
Citigroup Greek GBI USD -22.96 6.98 -3.84 13.25 11.88 -8.95 15.73 25.58 30.10 -4.76 -1.25 6.76 - -0.27 17.89
MSCI Greece -23.12 25.05 -66.01 32.91 35.05 16.10 46.06 69.52 -25.26 -26.73 -7.10 -3.29 - -0.56 41.65
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 April 30, 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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