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Journal of Indexes: Risk Mitigation

September/October 2010
Selected Major Indexes
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Source: Morningstar. Data as of June 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
FTSE NAREIT Hybrid REITs 24.59 41.30 -75.53 -34.77 40.95 -10.83 23.90 56.19 23.30 -33.34 -17.99 2.19 -0.39 -0.46 56.24
Citigroup STRIPS 25+ Year 22.66 -42.88 77.10 12.71 4.09 17.82 16.33 -0.95 21.53 14.36 6.71 10.52 10.41 0.54 31.00
Barclays US Treasury 20+ Yr 14.89 -21.40 33.72 10.15 0.93 8.57 8.99 1.80 17.00 10.63 5.63 8.03 7.89 0.61 16.90
AMEX Gold Miners* 12.64 37.30 -26.79 16.86 21.86 29.08 -9.56 47.07 - 11.71 17.08 - - 0.44 49.15
Alerian MLP 11.78 76.41 -36.91 12.72 26.07 6.32 16.67 44.54 -3.36 5.10 11.24 18.49 - 0.27 23.88
Barclays US Corporate Invest Grade 5.79 18.68 -4.94 4.56 4.30 1.68 5.39 8.24 10.12 7.41 5.27 6.90 6.59 0.69 9.03
Barclays EM 5.65 34.23 -14.75 5.15 9.96 12.27 11.89 26.93 12.16 7.97 8.34 10.37 11.77 0.50 15.06
Barclays US Credit 5.62 16.04 -3.08 5.11 4.26 1.96 5.24 7.70 10.52 7.41 5.31 6.94 6.62 0.77 8.02
FTSE NAREIT All REITs 5.56 27.45 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -9.36 -0.80 9.43 9.20 -0.10 37.72
Barclays US Government 5.40 -2.20 12.39 8.66 3.48 2.65 3.48 2.36 11.50 7.58 5.37 6.21 6.21 1.24 5.05
JPM EMBI Global 5.37 28.18 -10.91 6.28 9.88 10.73 11.73 25.66 13.11 8.20 8.16 10.36 12.10 0.59 12.44
Barclays US Aggregate Bond 5.33 5.93 5.24 6.97 4.33 2.43 4.34 4.10 10.26 7.55 5.54 6.47 6.39 1.48 4.12
Barclays US MBS 4.45 5.89 8.34 6.90 5.22 2.61 4.70 3.07 8.75 8.23 6.25 6.54 6.55 2.10 3.19
Barclays Municipal 3.31 12.91 -2.47 3.36 4.84 3.51 4.48 5.31 9.60 5.50 4.40 5.63 5.72 0.71 5.95
Barclays Global High Yield 3.00 59.40 -26.89 3.18 13.69 3.59 13.17 32.42 4.13 6.48 7.66 8.70 8.94 0.37 17.86
Russell Micro Cap 0.12 27.48 -39.78 -8.00 16.54 2.57 14.14 66.36 -16.10 -12.14 -2.41 3.25 - -0.37 27.83
Citigroup Treasury Bill 3 Month 0.05 0.16 1.80 4.74 4.76 3.00 1.24 1.07 1.70 1.40 2.63 2.56 3.43 1.35 0.46
S&P SmallCap 600/Citi Growth -0.18 28.35 -32.94 5.60 10.54 7.02 24.27 38.43 -16.57 -6.45 0.94 4.86 8.06 -0.18 25.69
Barclays Global Aggregate -0.31 6.93 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 6.80 5.03 6.40 5.73 0.74 7.57
Barclays Global Treasury -0.67 2.63 10.23 10.57 6.44 -6.66 10.33 14.78 19.59 7.63 5.13 6.47 5.61 0.74 8.78
S&P MidCap 400/Citi Growth -0.70 41.08 -37.61 13.50 5.81 14.39 15.79 37.32 -19.71 -4.41 2.85 4.42 12.11 -0.11 24.76
S&P SmallCap 600 -0.88 25.57 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -7.64 0.82 5.56 8.74 -0.22 26.31
Wilshire 4500 Completion -1.11 36.99 -39.03 5.39 15.28 10.03 18.10 43.84 -17.80 -7.40 1.63 1.61 7.40 -0.23 24.96
S&P MidCap 400 -1.36 37.38 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -5.90 2.21 5.30 10.35 -0.17 24.86
Dow Jones Transportation Average -1.37 18.58 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -6.05 4.36 5.65 7.15 -0.15 26.68
S&P SmallCap 600/Citi Value -1.51 22.85 -29.51 -5.54 19.57 8.33 21.06 39.09 -12.93 -8.88 0.62 6.06 9.23 -0.25 27.27
Russell 2000 Value -1.64 20.58 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -9.85 -0.51 7.48 8.87 -0.28 27.69
Russell 2000 -1.95 27.17 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -8.60 0.37 3.00 6.63 -0.25 26.63
S&P MidCap 400/Citi Value -1.99 33.73 -34.87 2.65 14.62 10.80 17.19 33.81 -9.51 -7.41 1.48 6.10 8.66 -0.22 25.34
Russell 2000 Growth -2.31 34.47 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -7.54 1.14 -1.72 3.80 -0.21 26.34
Dow Jones Composite Average -4.55 19.35 -27.94 8.88 15.71 9.49 15.58 29.40 -15.94 -6.76 2.69 3.54 7.90 -0.33 19.24
Russell 3000 Value -4.83 19.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -12.13 -1.56 2.74 7.35 -0.51 22.60
DJ Industrial Average -5.00 22.68 -31.93 8.88 19.05 1.72 5.31 28.28 -15.01 -7.39 1.66 1.68 7.52 -0.38 18.89
Russell 1000 Value -5.12 19.69 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -12.32 -1.64 2.38 7.27 -0.53 22.28
S&P 500/Citi Value -5.30 21.18 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -12.82 -1.51 1.10 6.12 -0.53 22.93
S&P 1500 -6.03 27.25 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -9.43 -0.49 -0.86 6.57 -0.42 21.13
Russell 3000 -6.05 28.34 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -9.47 -0.48 -0.92 6.42 -0.41 21.52
NASDAQ 100 -6.17 54.61 -41.57 19.24 - - - - - -2.88 - - - -0.04 25.06
Russell 1000 -6.40 28.43 -37.60 5.77 15.46 6.27 11.40 29.89 -21.65 -9.54 -0.56 -1.22 6.47 -0.42 21.20
S&P 500 -6.65 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -9.81 -0.79 -1.59 6.24 -0.45 20.73
MSCI EAFE Small Cap -7.10 46.78 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -13.08 1.09 5.01 - -0.41 27.65
Russell 3000 Growth -7.25 37.01 -38.44 11.40 9.46 5.17 6.93 30.97 -28.03 -6.97 0.44 -4.89 4.86 -0.29 21.18
Russell 1000 Growth -7.65 37.21 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -6.91 0.38 -5.14 5.01 -0.30 20.85
S&P 500/Citi Growth -7.99 31.57 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -6.90 -0.22 -4.61 5.82 -0.33 19.61
Dow Jones Utilities Average -8.00 12.47 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -6.78 2.18 5.43 8.14 -0.41 16.69
S&P 100 -8.05 22.29 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -10.04 -1.15 -3.18 6.00 -0.50 19.66
Russell Top 200 -8.07 24.21 -36.07 5.89 15.53 3.77 8.31 26.68 -23.36 -10.02 -1.23 -3.03 5.75 -0.49 19.84
DJ UBS Commodity -9.60 18.91 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -8.36 -1.32 4.41 5.38 -0.30 23.93
MSCI BRIC* -9.66 88.79 -60.27 56.12 52.87 39.81 13.63 84.18 -15.18 -2.82 16.06 10.22 9.16 0.08 37.82
MSCI World -9.84 29.99 -40.71 9.04 20.07 9.49 14.72 33.11 -19.89 -11.46 0.06 -1.02 4.68 -0.48 22.54
MSCI EAFE Growth -10.73 29.36 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -11.70 1.68 -1.62 2.32 -0.45 23.79
S&P GSCI -11.21 13.48 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -12.45 -8.13 0.90 4.08 -0.28 32.24
MSCI EAFE -13.23 31.78 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -13.38 0.88 0.16 3.75 -0.50 24.87
S&P Global 100 -13.72 26.71 -36.44 11.38 20.42 5.47 10.15 30.93 -23.59 -10.82 0.02 -2.13 6.58 -0.48 21.64
MSCI EAFE Value -15.73 34.23 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -15.11 0.01 1.80 5.07 -0.53 26.52
STOXX Europe 600 -16.55 36.65 -46.54 13.49 35.04 9.93 20.95 40.58 -18.15 -14.93 0.60 0.71 6.41 -0.52 26.67
EURO STOXX Total Market -21.59 32.77 -47.59 18.26 37.82 9.35 21.58 46.01 -19.87 -17.41 -0.36 -0.41 5.66 -0.52 30.08
MSCI Italy -27.30 26.57 -49.98 6.06 32.49 1.90 32.49 37.83 -7.33 -22.57 -7.18 -2.53 4.47 -0.72 30.54
MSCI Spain -32.90 43.48 -40.60 23.95 49.36 4.41 28.93 58.46 -15.29 -13.36 2.75 4.31 10.49 -0.32 32.36
MSCI Greece -48.33 25.05 -66.01 32.91 35.05 16.10 46.06 69.52 -25.26 -36.23 -14.64 -7.30 - -0.81 43.90
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 June 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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