ETF Analytics
ETF Analytics
IndexUniverse.com
  

Journal of Indexes: Alternative Weighting Revisited

January/February 2011
Selected Major Indexes
Print This Article
Source: Morningstar. Data as of October 31, 2010. All returns are in US 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 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
MSCI Sri Lanka* 72.97 184.15 -62.09 -15.15 42.78 30.70 7.81 42.09 22.78 12.17 20.73 6.80 0.61 50.98
MSCI Colombia* 57.93 76.50 -27.68 12.64 10.92 102.31 125.66 59.01 25.83 27.93 39.73 17.80 0.83 33.87
Alerian MLP 31.03 76.41 -36.91 12.72 26.07 6.32 16.67 44.54 12.11 14.35 18.94 - 0.56 23.90
AMEX Gold Miners* 24.00 37.30 -26.79 16.86 21.86 29.08 -9.56 47.07 4.82 16.98 - - 0.32 47.88
S&P MidCap 400/Citi Growth 18.43 41.08 -37.61 13.50 5.81 14.39 15.79 37.32 -0.05 5.89 5.37 12.93 0.10 26.07
DJ Transportation Average 17.51 18.58 -21.41 1.43 9.81 11.65 27.73 31.84 0.76 6.10 7.08 7.62 0.14 28.28
Wilshire 4500 Completion 16.24 36.99 -39.03 5.39 15.28 10.03 18.10 43.84 -3.02 4.41 3.78 7.99 -0.02 26.23
Barclays EM 16.15 34.23 -14.75 5.15 9.96 12.27 11.89 26.93 9.94 9.83 11.16 12.09 0.65 15.13
S&P MidCap 400 15.42 37.38 -36.23 7.98 10.32 12.56 16.48 35.62 -1.41 4.93 6.12 11.02 0.05 26.07
Russell 2000 Growth 14.97 34.47 -38.54 7.05 13.35 4.15 14.31 48.54 -3.81 3.99 1.15 4.53 -0.03 27.97
S&P SmallCap 600/Citi Growth 14.91 28.35 -32.94 5.60 10.54 7.02 24.27 38.43 -3.20 3.59 5.91 8.40 -0.01 27.06
NASDAQ 100 14.83 54.61 -41.57 19.24 - - - - -1.10 - - - 0.06 26.38
MSCI World Small Cap 14.72 44.12 -41.88 0.79 17.20 15.71 24.31 57.79 -4.46 4.22 7.98 - -0.05 27.63
Barclays US Corp High Yield 14.41 58.21 -26.16 1.87 11.85 2.74 11.13 28.97 9.46 9.08 8.58 7.46 0.56 17.32
Russell Micro Cap 14.02 27.48 -39.78 -8.00 16.54 2.57 14.14 66.36 -7.26 -0.40 5.32 - -0.14 29.31
MSCI EM 13.97 78.51 -53.33 39.39 32.17 34.00 25.55 55.82 -3.98 14.94 - - 0.02 33.03
Wilshire 5000 Equal Weight* 13.80 83.16 -44.96 -6.69 18.91 5.53 28.89 92.83 1.44 5.19 12.21 14.52 0.17 31.51
Russell 2000 13.58 27.17 -33.79 -1.57 18.37 4.55 18.33 47.25 -3.91 3.07 4.89 7.33 -0.03 28.00
MSCI EAFE Small Cap 13.38 46.78 -47.01 1.45 19.31 26.19 30.78 61.35 -7.56 3.53 8.67 - -0.15 28.76
S&P SmallCap 600 13.28 25.57 -31.07 -0.30 15.12 7.68 22.65 38.79 -3.43 3.12 6.56 9.20 -0.02 27.67
Dow Jones US Select Dividend 13.02 11.13 -30.97 -5.16 19.56 3.77 18.14 30.16 -6.64 -0.17 6.83 9.59 -0.20 23.94
S&P 500 Equal Weighted 12.72 46.31 -39.72 1.53 15.80 8.06 16.95 40.97 -2.28 4.22 5.62 9.37 0.02 26.93
S&P MidCap 400/Citi Value 12.52 33.73 -34.87 2.65 14.62 10.80 17.19 33.81 -2.78 3.88 6.77 9.15 0.00 26.43
Russell 2000 Value 12.10 20.58 -28.92 -9.78 23.48 4.71 22.25 46.03 -4.13 2.02 8.16 9.54 -0.03 28.72
S&P SmallCap 600/Citi Value 11.75 22.85 -29.51 -5.54 19.57 8.33 21.06 39.09 -3.82 2.58 7.02 9.83 -0.02 28.57
Barclays US Credit 10.67 16.04 -3.08 5.11 4.26 1.96 5.24 7.70 7.93 6.74 7.10 6.69 0.88 8.09
Barclays US Treasury TIPS 9.84 11.41 -2.35 11.64 0.41 2.84 8.46 8.40 7.44 6.32 7.64 - 0.76 8.92
Russell 3000 Growth 9.76 37.01 -38.44 11.40 9.46 5.17 6.93 30.97 -3.93 3.28 -2.25 5.44 -0.10 22.63
Russell 1000 Growth 9.35 37.21 -38.44 11.81 9.07 5.26 6.30 29.75 -3.94 3.21 -2.52 5.58 -0.10 22.29
DJ Industrial Average 8.96 22.68 -31.93 8.88 19.05 1.72 5.31 28.28 -4.50 4.01 2.53 8.15 -0.17 19.99
Russell 3000 8.88 28.34 -37.31 5.14 15.72 6.12 11.95 31.06 -5.96 2.08 0.62 6.92 -0.19 22.73
S&P 500/Citi Growth 8.82 31.57 -34.92 9.13 11.01 1.14 6.97 27.08 -3.43 3.12 -2.22 6.42 -0.10 21.03
Barclays Treasury 8.57 -3.57 13.74 9.01 3.08 2.79 3.54 2.24 7.09 6.32 6.10 6.16 1.10 5.72
Citigroup WGBI 8.54 2.55 10.89 10.95 6.12 -6.88 10.35 14.91 8.07 7.74 7.93 6.06 0.83 8.93
Russell 1000 8.48 28.43 -37.60 5.77 15.46 6.27 11.40 29.89 -6.14 1.99 0.29 6.94 -0.20 22.38
Barclays US Aggregate Bond 8.33 5.93 5.24 6.97 4.33 2.43 4.34 4.10 7.23 6.45 6.38 6.36 1.51 4.14
Barclays Global Aggregate 8.31 6.93 4.79 9.48 6.64 -4.49 9.27 12.51 7.23 7.28 7.50 6.15 0.84 7.70
Russell 3000 Value 8.00 19.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -8.14 0.73 3.04 7.75 -0.27 23.51
Barclays US Government 7.98 -2.20 12.39 8.66 3.48 2.65 3.48 2.36 6.92 6.23 6.08 6.15 1.20 5.07
S&P 500 7.84 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -6.49 1.73 -0.02 6.74 -0.23 21.92
Russell 1000 Value 7.63 19.69 -36.85 -0.17 22.25 7.05 16.49 30.03 -8.49 0.62 2.64 7.65 -0.30 23.17
MSCI Pacific 7.23 24.18 -36.42 5.30 12.20 22.64 18.98 38.48 -7.58 2.17 2.40 1.38 -0.26 22.89
S&P 500/Citi Value 6.85 21.18 -39.22 1.99 20.80 5.82 15.71 31.79 -9.68 0.17 0.87 6.50 -0.34 23.86
MSCI Kokusai (World Ex Japan) 6.56 33.14 -41.96 10.66 21.95 7.67 14.62 32.83 -7.95 3.07 1.61 6.77 -0.25 24.40
Barclays Municipal 6.53 12.91 -2.47 3.36 4.84 3.51 4.48 5.31 5.79 5.20 5.59 5.63 0.82 6.03
MSCI BRIC* 6.49 88.79 -60.27 56.12 52.87 39.81 13.63 84.18 -8.83 16.32 14.17 10.55 -0.09 36.12
MSCI World 6.41 29.99 -40.71 9.04 20.07 9.49 14.72 33.11 -8.09 2.54 1.33 5.57 -0.27 23.72
DJ UBS Commodity 5.92 18.91 -35.65 16.23 2.07 21.36 9.15 23.93 -6.35 -0.10 5.96 6.11 -0.18 24.24
Russell Top 200 5.86 24.21 -36.07 5.89 15.53 3.77 8.31 26.68 -7.16 1.22 -1.45 6.12 -0.28 20.99
Dow Jones Utilities Average 5.42 12.47 -27.84 20.11 16.63 25.14 30.24 29.39 -5.00 4.06 4.16 8.57 -0.27 16.74
MSCI EAFE 4.72 31.78 -43.38 11.17 26.34 13.54 20.25 38.59 -9.60 3.31 3.17 4.97 -0.28 26.08
STOXX Europe Total Market 4.50 37.50 -46.75 13.07 35.39 10.11 21.42 41.39 -10.16 4.32 4.00 7.60 -0.26 28.50
STOXX Europe 600 3.98 36.65 -46.54 13.49 35.04 9.93 20.95 40.58 -10.28 4.18 3.82 7.72 -0.26 28.35
MSCI EAFE GDP Weighted 2.37 30.38 -44.82 12.88 27.39 13.68 22.57 42.95 -11.06 2.72 3.10 5.85 -0.31 27.86
MSCI EAFE Value 1.91 34.23 -44.09 5.96 30.38 13.80 24.33 45.30 -10.69 2.51 4.26 6.30 -0.29 27.82
EURO STOXX Total Market -0.48 32.77 -47.59 18.26 37.82 9.35 21.58 46.01 -12.47 3.74 3.23 7.43 -0.27 32.23
S&P GSCI -1.41 13.48 -46.49 32.67 -15.09 25.55 17.28 20.72 -15.20 -7.78 1.43 4.38 -0.38 31.59
Citigroup Greek GBI -18.36 6.98 -3.84 13.25 11.88 -8.95 15.73 25.58 -5.22 1.08 7.90 - -0.18 21.44
MSCI Ireland -21.49 12.28 -71.92 -20.09 46.81 -2.29 43.07 43.83 -40.12 -20.41 -7.98 -2.54 -1.26 35.26
MSCI Greece -33.63 25.05 -66.01 32.91 35.05 16.10 46.06 69.52 -34.39 -11.23 -2.93 - -0.64 47.80
Index Name YTD 2009 2008 2007 2006 2005 2004 2003 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
Total Return % Annualized Return %
Source: Morningstar. Data as of October 31, 2010. All returns are in US 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.
 

Discussion

Post a Comment
Comment
(Max. 2,000 characters)
Name:
E-mail:
Home page:

(optional)

Type in the
displayed characters:
CAPTCHA Image [ Different Image ]
Email follow-up comments to my e-mail address