US large cap index returns

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:



Large Cap Blend Index Returns
Indexes: 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

Large Cap Growth Index Returns
Indexes: 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

Large Cap Value Index Returns
Indexes: 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

Methodologies

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

Data sources
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Dow Jones Indexes

 * SPDR semi-annual reports 2009-2006
 * Dow Jones Indexes search for historical returns 2006-2002

Morningstar

 * Morningstar Market Barometer Ten-Year Recap 2000-2009
 * Morningstar Periodic Table 2008-1999
 * Morningstar Indexes Yearbook 2004 1998-1997

MSCI

 * Vanguard 2009-2006
 * MSCI US Equity Index Total Returns Enable browser cookies, then Agree to Terms of Use (at page bottom). Provides 10 year historical performance against selected dates.

Russell

 * Russell Index historical performance cycles 2009-2000
 * Blackrock Periodic Table of Returns 2008-1989 (use google search: Blackrock twenty year periodic table)
 * Portfolio Construction for Taxable Investors,Vanguard Investment Counseling & Research (1993-1980)

S&P

 * Ishares large cap overview pages 2009-2007
 * Fidelity Callan Chart (2003-1984) (style indexes)
 * S&P 500 Index Historic Calendar Year Returns 2007-1927
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