Small Cap Index Returns

Main article: Small caps

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. Each index provider's suite of index funds occupies the following segment of the Index Strategy Box:

Fig.1. Index Strategy Box

Small Cap Blend Index Returns

Indexes: Dow Jones U.S. Small-Cap Total Stock Market Index; Morningstar Small Cap Index; MSCI US Small Cap 1750 Index; Russell 2000 Index; S&P MidCap 600 Index

Small Cap Growth Index Returns

Indexes: Dow Jones U.S. Small-Cap Growth Total Stock Market Index; Morningstar Small Growth Index, MSCI US Small Cap Growth Index; Russell 2000 Growth Index; S&P SmallCap 600 Growth Index

Small Cap Value Index Returns

Indexes: Dow Jones U.S. Small-Cap Value Total Stock Market Index; Morningstar Small Value Index; MSCI US Small Cap Value Index; Russell 2000 Value Index; S&P SmallCap 600 Value Index

Index Inception Dates

Index Provider	Inception	Backdate data
Russell	1984	1984
S&P	1994	1994
MSCI	1996	1992
Morningstar	1998	1998
Dow Jones	2005	1991

External links

• Variance Among Indexes, Craig Israelsen, JOI, May /June 2007.
• Determining the appropriate benchmark: A review of major market indexes Christopher B. Philips, C. William Cole and Francis M. Kinniry Jr.,Vanguard Research (April 10, 2010).
• The Case For Indexing, Christopher B. Philips and Frank J. Ambrosio, Vanguard Investment Counseling & Research (February, 2011).

Methodologies

• Dow Jones
• Morningstar]
• MSCI
• Russell
• S&P

Data Sources

 

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