US large cap index returns

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US large cap index returns chronicles the annual returns of US large cap stocks as measured by stock indexes.

The growing proliferation of indexes from index providers, along with a corresponding growing number of index funds and ETFs, creates a number of issues for investors, since the index returns of the different providers result in a dispersion of both yearly and multi-period returns. Dispersion of returns is not as considerable an issue with Total Market indexes, but as we go into style and smaller size indexes, dispersion of return increases in magnitude. These return differences are mainly due to the differing methodologies index providers utilize in constructing their indexes. Different benchmarks cover varying ranges of stocks, have different selection criteria for growth versus value, and are even maintained and rebalanced differently. [1] Each index provider's suite of index funds occupies the following segment of the Index Strategy Box:

Fig.1. Index Strategy Box [2]


Large cap blend index returns

The following table provides returns data for U.S, large cap blend indexes.

Table.

Indexes: CRSP Large Cap Index; Dow Jones U.S. Large-Cap Total Stock Market Index; Morningstar Large Cap Index; MSCI Prime 750 Index; Russell 1000 Index; S&P 500 Index

(view Google Spreadsheet in browser or download as xls, ods, or pdf)

Large cap growth index returns

The table below provides returns data for U.S. large cap growth indexes.

Table.

Indexes: CRSP Large Growth Index; Dow Jones U.S. Large-Cap Growth Total Stock Market Index; Morningstar Large Growth Index, MSCI Prime Growth Index; Russell 1000 Growth Index; S&P Large Growth Index

(view Google Spreadsheet in browser or download as xls, ods, or pdf)

Large cap value index returns

The following table provides returns data for U.S. large cap value indexes.

Table.

Indexes: CRSP Large Cap Index; Dow Jones U.S. Large-Cap Value Total Stock Market Index; Morningstar Large Value Index; MSCI US Prime Value Index; Russell 1000 Value Index; S&P Large Value Index

(view Google Spreadsheet in browser or download as xls, ods, or pdf)

The inception date for each index, along with initial dates for any backdated data, are included in the table below.

Index Inception Dates
Index Provider Inception Backdate data
S&P 1954 1926
Russell 1984 1984
MSCI 1996 1992
Morningstar 1998 1998
Dow Jones 2005 1991
CRSP 2012 2001

References

  1. The Case For Indexing, Christopher B. Philips and Frank J. Ambrosio, Vanguard Investment Counseling & Research, 2009.
  2. Indexing in the 21st Century: Portfolio Solutions Inc.

External links

Methodologies

Data sources