US large cap index returns
US large cap index returns chronicles the annual returns of US large cap 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.
Large cap blend index returns
The following table provides returns data for U.S, large cap blend indexes.
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Large cap growth index returns
The table below provides returns data for U.S. large cap growth indexes.
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Large cap value index returns
The following table provides returns data for U.S. large cap value indexes.
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The inception date for each index, along with initial dates for any backdated data, are included in the table below.
| Index Provider | Inception | Backdate data |
| S&P | 1954 | 1926 |
| Russell | 1984 | 1984 |
| MSCI | 1996 | 1992 |
| Morningstar | 1998 | 1998 |
| Dow Jones | 2005 | 1991 |
| CRSP | 2012 | 2001 |
References
- ↑ Indexing in the 21st Century: Portfolio Solutions Inc.
- ↑ The case for indexing, Christopher B. Philips, Vanguard research, 2011, pp.13. Viewed January 21, 2015.
- ↑ 3.0 3.1 3.2 CRSP Constituents and Returns
- ↑ 4.0 4.1 4.2 SPDR semi-annual reports 2009-2006, Dow Jones Indexes search for historical returns 2006-2002
- ↑ 5.0 5.1 5.2 Morningstar Market Barometer Ten-Year Recap 2000-2009, Morningstar Periodic Table 2008-1999, Morningstar Indexes Yearbook 2004 1998-1997, "Morningstar Indexes".
- ↑ 6.0 6.1 6.2 Vanguard 2009-2006, "MSCI USA Equity Indices"., performance tab for calculator Enable browser cookies, then Agree to Terms of Use (at page bottom). Provides 10 year historical performance against selected dates.
- ↑ 7.0 7.1 7.2 Russell Index historical performance, 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), "Russell index calculator".
- ↑ 8.0 8.1 8.2 Ishares large cap overview pages 2009-2007, Fidelity Callan Chart (2003-1984) (style indexes), S&P 500 Index Historic Calendar Year Returns 2007-1927, "Vanguard Advisors, performance tab".
External links
- Variance Among Indexes, Craig Israelsen, JOI, May /June 2007.
- Looking at how different indexes affect performance., Craig Israelsen, JOI, September /October 2012.
- 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