US mega 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:



Mega cap blend index returns
Indexes: CRSP Mega Cap Index; MSCI Large Cap 300 Index; Russell Top 200 Index; S&P 100 Index

Mega cap growth index returns
Indexes: CRSP Mega Growth Index; MSCI Large Cap 300 Growth Index; Russell Top 200 Growth Index

Mega cap value index returns
Indexes: CRSP Mega Growth Index; MSCI Large Cap 300 Growth Index; Russell Top 200 Growth Index

Methodologies

 * CRSP
 * MSCI
 * Russell
 * S&P

Data sources
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CRSP

 * CRSP Constituents and Returns, spreadsheet: Total Market and Capitalization index monthly returns >> Growth and Value index monthly returns >>

MSCI

 * Vanguard 2011- 2002
 * MSCI performance calculator

Russell

 * Russell Index historical performance cycles 2009-2000
 * Russell Index Returns Calculator

S&P

 * Ishares 2011-2001
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