US index returns - 2010
US index returns - 2010 chronicles the annual returns of US stocks as measured by stock indexes.
The growing proliferation of indexes from index providers, along with a corresponding growing number of index funds and exchange-traded funds (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.[2]
Each index provider's suite of index funds occupies the highlighted segment of the index strategy box.
Index returns
Index | Dow Jones | Morningstar | MSCI | Russell | S&P | Wilshire | Average | Dispersion |
Total Market | 17.49% | 16.80% | 17.28% | 16.93% | 17.30% | 17.16% | 17.16% | 0.69% |
Completion | 28.62% | - | - | 28.64% | 27.46% | 28.43% | 28.29% | 1.18% |
Large Blend | 16.07% | 13.44% | 15.92% | 16.10% | 15.05% | - | 15.32% | 2.66% |
Large Value | 15.16% | 14.69% | 14.54% | 15.51% | 15.08% | - | 15.00% | 0.97% |
Large Growth | 17.03% | 12.91% | 17.23% | 16.71% | 15.10% | - | 15.80% | 4.32% |
Mid Blend | 25.39% | 24.92% | 25.69% | 25.48% | 26.69% | - | 25.63% | 1.77% |
Mid Value | 21.88% | 20.61% | 21.26% | 26.38% | 22.78% | - | 22.58% | 5.77% |
Mid Growth | 28.21% | 27.67% | 29.24% | 24.75% | 30.57% | - | 28.09% | 5.82% |
Small Blend | 28.61% | 28.37% | 27.82% | 26.86% | 26.31% | - | 27.59% | 2.30% |
Small Value | 24.98% | 25.96% | 25.01% | 24.50% | 24.72% | - | 25.03% | 1.46% |
Small Growth | 31.97% | 31.26% | 30.71% | 29.09% | 27.99% | - | 30.20% | 3.98% |
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Notes
- ↑ The index returns documented in the table above, are the returns for the following set of indices:
Table 2. Indices Dow Jones Morningstar MSCI Russell S&P Wilshire DJ US Total Market Morningstar US Market MSCI Broad Market Russell 3000 S&P Total Market Wilshire 5000 DJ US Total Market Completion Russell Small Cap Completeness S&P Completion Wilshire 4500 DJ US Total Market Large Morningstar Large MSCI Prime 750 Russell 1000 S&P 500 DJ US Total Market Large Value Morningstar Large Value MSCI Prime 750 Value Russell 1000 Value S&P 500 Value DJ US Total Market Large Growth Morningstar Large Growth MSCI Prime 750 Growth Russell 1000 Growth S&P 500 Growth DJ US Total Market Mid Morningstar Mid MSCI Mid 450 Russell Mid S&P 400 DJ US Total Market Mid Value Morningstar Mid Value MSCI Mid 450 Value Russell Mid Value S&P 400 Value DJ US Total Market Mid Growth Morningstar Mid Growth MSCI Mid 450 Growth Russell Mid Growth S&P 400 Growth DJ US Total Market Small Morningstar Small MSCI Small 1750 Russell 2000 S&P 600 DJ US Total Market Small Value Morningstar Small Value MSCI Small 1750 Value Russell 2000 Value S&P 600 Value DJ US Total Market Small Growth Morningstar Small Growth MSCI Small 1750 Growth Russell 2000 Growth S&P 600 Growth
References
- ↑ "Indexing in the 21st Century". Portfolio Solutions Inc. Archived from the original on December 30, 2011. Retrieved June 9, 2023.
- ↑ Christopher B. Philips (2011). "The case for indexing" (PDF). Vanguard research. p. 13. Archived from the original (PDF) on January 18, 2019. Retrieved June 9, 2023.
- ↑ Data source:"CRSP Returns and constituents".,downloads and factsheets
- ↑ Data source:"Dow Jones Indexes Dow Jones Indexes"., US total market factsheets, historical sheets unavailable
- ↑ Data source:"Morningstar Indexes".
- ↑ Data source:"MSCI Domestic Equity Indices"., performance tab for calculator
- ↑ Data source:"Russell index calculator".
- ↑ Data source:"Vanguard Institutional: Benchmarks".,S&P
- ↑ Data source:"Wilshire Returns Calculator".
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