US 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:



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

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 10 Year Annual Returns 2005-1996

Russell

 * Russell Index historical performance cycles 2009-2000
 * Fidelity Callan Chart 2003-1984
 * Portfolio Construction for Taxable Investors,Vanguard Investment Counseling & Research (1993-1980)

S&P

 * Ishares small cap overview pages 2009-2001
 * S&P: A Tale Of Two Indexes 2008-1994
 * RiverSource Trust Emerging Growth Fund II 2005-1996 (small growth)
 * American Express Trust Small Cap Value Fund II 2004-1995 (small value)
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