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Journal of Indexes

Browse Archives 2010
Trading and Liquidity March / April 2010
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Selected Major Indexes
By Journal of Indexes Staff


Selected Major Indexes Sorted By YTD Returns

Total Return % Annualized Return %
Index Name 2009 2008 2007 2006 2005 2004 2003 2002 3 Yr 5 Yr 10 Yr 15 Yr Sharpe Std Dev
MSCI Sri Lanka* 184.15 -62.09 -15.15 42.78 30.70 7.81 42.09 29.76 -2.95 11.27 10.09 0.47 0.10 48.02
Citigroup ESBI Brady 139.18 -60.81 -3.32 23.86 5.95 11.50 31.68 4.98 -3.23 3.53 7.88 - 0.10 43.06
MSCI Brazil* 121.25 -57.64 75.35 40.52 49.96 30.49 102.85 -33.78 18.01 28.20 15.08 11.23 0.57 40.29
MSCI BRIC* 88.79 -60.27 56.12 52.87 39.81 13.63 84.18 -15.18 5.41 20.14 11.04 - 0.28 37.34
MSCI EM 78.51 -53.33 39.39 32.17 34.00 25.55 55.82 -6.17 5.11 15.51 9.78 - 0.26 32.80
ML Global High Yield 61.98 -27.86 3.06 13.47 1.48 12.42 30.71 -1.14 6.39 6.75 6.94 - 0.32 17.89
Barclays Global High Yield 59.40 -26.89 3.18 13.69 3.59 13.17 32.42 4.13 6.34 7.21 8.61 9.40 0.32 17.54
NASDAQ 100 54.61 -41.57 19.24 - - - - - 2.51 - - - 0.14 23.81
Credit Suisse HY 54.22 -26.17 2.65 11.92 2.26 11.95 27.94 3.10 5.33 5.99 7.07 7.74 0.27 15.76
MSCI EAFE Small Cap 46.78 -47.01 1.45 19.31 26.19 30.78 61.35 -7.82 -7.59 3.50 - - -0.24 26.63
S&P 500 Equal Weighted 46.31 -39.72 1.53 15.80 8.06 16.95 40.97 -18.18 -3.62 2.30 5.14 10.05 -0.11 24.91
S&P MidCap 400/Citi Growth 41.08 -37.61 13.50 5.81 14.39 15.79 37.32 -19.71 -0.03 3.87 5.70 - 0.03 23.74
S&P Midcap 400 37.38 -36.23 7.98 10.32 12.56 16.48 35.62 -14.53 -1.83 3.27 6.36 11.66 -0.04 23.84
Russell 1000 Growth 37.21 -38.44 11.81 9.07 5.26 6.30 29.75 -27.88 -1.89 1.63 -3.99 6.87 -0.10 20.01
Russell 3000 Growth 37.01 -38.44 11.40 9.46 5.17 6.93 30.97 -28.03 -2.06 1.58 -3.79 6.66 -0.10 20.31
Wilshire 4500 Completion 36.99 -39.03 5.39 15.28 10.03 18.10 43.84 -17.80 -4.16 2.23 1.76 8.60 -0.15 23.78
Russell 2000 Growth 34.47 -38.54 7.05 13.35 4.15 14.31 48.54 -30.26 -4.00 0.87 -1.37 4.99 -0.12 25.20
MSCI EAFE Value 34.23 -44.09 5.96 30.38 13.80 24.33 45.30 -15.91 -7.35 3.36 3.53 6.41 -0.25 25.54
Barclays EM 34.23 -14.75 5.15 9.96 12.27 11.89 26.93 12.16 6.36 8.24 10.57 11.78 0.35 14.94
Russell Top 200 Growth 34.01 -36.06 12.15 8.56 2.88 3.74 26.63 -27.98 -1.32 1.42 -4.83 6.77 -0.09 18.58
S&P MidCap 400/Citi Value 33.73 -34.87 2.65 14.62 10.80 17.19 33.81 -9.51 -3.67 2.57 6.92 - -0.12 24.32
MSCI EAFE 31.78 -43.38 11.17 26.34 13.54 20.25 38.59 -15.94 -6.04 3.54 1.17 4.92 -0.23 23.91
S&P 500/Citi Growth 31.57 -34.92 9.13 11.01 1.14 6.97 27.08 -28.10 -2.24 0.96 -3.57 8.03 -0.14 18.60
MSCI EAFE Growth 29.36 -42.70 16.45 22.33 13.28 16.12 31.99 -16.02 -4.78 3.65 -1.31 3.32 -0.19 22.86
Russell 1000 28.43 -37.60 5.77 15.46 6.27 11.40 29.89 -21.65 -5.36 0.79 -0.49 8.23 -0.27 20.33
S&P SmallCap 600/Citi Growth 28.35 -32.94 5.60 10.54 7.02 24.27 38.43 -16.57 -3.14 1.46 5.52 - -0.09 24.71
Russell 3000 28.34 -37.31 5.14 15.72 6.12 11.95 31.06 -21.54 -5.42 0.76 -0.20 8.13 -0.27 20.61
JPM EMBI Global 28.18 -10.91 6.28 9.88 10.73 11.73 25.66 13.11 6.66 8.10 10.52 12.32 0.41 12.44
Russell Micro Cap 27.48 -39.78 -8.00 16.54 2.57 14.14 66.36 -16.10 -10.95 -3.33 - - -0.39 25.97
FTSE NAREIT All REITs 27.45 -37.34 -17.83 34.35 8.29 30.41 38.47 5.22 -13.10 -0.92 10.18 9.35 -0.24 37.35
S&P 1500 27.25 -36.72 5.47 15.34 5.66 11.78 29.59 -21.31 -5.30 0.69 -0.20 8.31 -0.27 20.27
Russell 2000 27.17 -33.79 -1.57 18.37 4.55 18.33 47.25 -20.48 -6.07 0.51 3.51 7.73 -0.20 25.19
S&P 500 26.46 -37.00 5.49 15.79 4.91 10.88 28.68 -22.10 -5.63 0.42 -0.95 8.04 -0.30 19.91
JP Morgan EMBI 25.95 -9.70 6.45 10.49 11.86 11.77 28.83 14.24 6.58 8.39 10.94 12.79 0.41 12.12
S&P Smallcap 600 25.57 -31.07 -0.30 15.12 7.68 22.65 38.79 -14.63 -4.79 1.36 6.35 - -0.15 25.07
Russell Top 200 24.21 -36.07 5.89 15.53 3.77 8.31 26.68 -23.36 -5.61 0.16 -2.26 7.64 -0.32 19.03
S&P SmallCap 600/Citi Value 22.85 -29.51 -5.54 19.57 8.33 21.06 39.09 -12.93 -6.48 1.16 7.02 - -0.21 25.76
DJ Industrial Average 22.68 -31.93 8.88 19.05 1.72 5.31 28.28 -15.01 -3.12 1.95 1.30 9.24 -0.19 18.48
S&P 100 22.29 -35.31 6.12 18.47 1.17 6.43 26.25 -22.59 -5.66 0.12 -2.34 8.04 -0.32 18.88
S&P 500/Citi Value 21.18 -39.22 1.99 20.80 8.71 15.03 30.36 -16.59 -9.10 -0.27 1.20 - -0.41 22.25
Russell 2000 Value 20.58 -28.92 -9.78 23.48 4.71 22.25 46.03 -11.43 -8.22 -0.01 8.27 9.87 -0.28 25.98
Russell 3000 Value 19.76 -36.25 -1.01 22.34 6.85 16.94 31.14 -15.18 -8.91 -0.24 2.88 8.94 -0.42 21.65
Russell 1000 Value 19.69 -36.85 -0.17 22.25 7.05 16.49 30.03 -15.52 -8.96 -0.25 2.47 8.93 -0.43 21.40
DJ UBS Commodity 18.91 -35.65 16.23 2.07 21.36 9.15 23.93 25.91 -3.83 1.96 7.13 6.23 -0.14 23.23
Dow Jones Transportation Average 18.58 -21.41 1.43 9.81 11.65 27.73 31.84 -11.48 -1.86 2.99 4.63 8.63 -0.02 25.88
Barclays US Credit 16.04 -3.08 5.11 4.26 1.96 5.24 7.70 10.52 5.74 4.67 6.64 7.15 0.46 8.06
Russell Top 200 Value 14.59 -36.09 0.25 22.99 4.60 13.34 26.75 -18.02 -9.79 -1.14 0.37 8.15 -0.50 20.34
S&P GSCI 13.49 -46.49 32.67 -15.09 25.55 17.28 20.72 32.07 -6.95 -3.00 5.05 4.91 -0.14 31.06
Barclays Municipal 12.91 -2.47 3.36 4.84 3.51 4.48 5.31 9.60 4.41 4.32 5.75 6.14 0.39 6.00
Dow Jones Utilities Average 12.47 -27.84 20.11 16.63 25.14 30.24 29.39 -23.38 -0.84 7.31 7.40 9.76 -0.09 16.83
Barclays Global Aggregate 6.93 4.79 9.48 6.64 -4.49 9.27 12.51 16.52 7.05 4.56 6.49 6.67 0.65 7.64
Barclays US Aggregate Bond 5.93 5.24 6.97 4.33 2.43 4.34 4.10 10.25 6.04 4.97 6.33 6.80 0.91 4.17
ML Global Govt 0.44 14.35 10.41 4.59 -6.01 8.43 11.68 17.05 8.24 4.51 6.08 6.22 0.74 8.30
ML US Treasury Bill 3 Mon 0.21 2.06 5.03 4.83 3.06 1.33 1.15 1.78 2.41 3.02 2.99 3.77 1.14 0.64
Barclays US Government -2.20 12.39 8.66 3.48 2.65 3.48 2.36 11.50 6.10 4.87 6.17 6.59 0.79 5.02
Barclays Treasury -3.57 13.74 9.01 3.08 2.79 3.54 2.24 11.79 6.14 4.84 6.15 6.56 0.72 5.65
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 - -
Barclays US Treasury 20+ Yr -21.40 33.72 10.15 0.93 8.57 8.99 1.80 17.00 5.00 4.87 7.57 8.14 0.25 16.55
Citigroup STRIPS 20-25 Year -28.56 43.67 11.02 -1.09 16.04 15.99 0.42 21.22 4.45 5.51 9.34 10.46 0.21 24.20
Citigroup STRIPS 25+ Year -42.88 77.10 12.71 4.09 17.82 16.33 -0.95 21.53 4.47 6.94 10.05 11.08 0.22 30.58
Index Name 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 December 31, 2009. All returns are in dollars, unless noted. 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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