US mega cap index returns

From Bogleheads
Jump to: navigation, search

US mega cap index returns chronicles the annual returns of US mega cap stocks as measured by stock indexes.

Fig.1. Index Strategy Box[1]

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.



Mega cap blend index returns

The following table provides returns for the U.S. mega cap stock indexes.

Table.[3][4][5][6]


Indexes: CRSP Mega Cap Index; MSCI Large Cap 300 Index; Russell Top 200 Index; S&P 100 Index
(View Google Spreadsheet in browser, then File --> Download as to download the file.)


Mega cap growth index returns

The following table provides returns for the U.S. mega cap growth stock indexes.

Table.[3][4][5][6]


Indexes: CRSP Mega Growth Index; MSCI Large Cap 300 Growth Index; Russell Top 200 Growth Index
(View Google Spreadsheet in browser, then File --> Download as to download the file.)

Mega cap value index returns

The following table provides returns for the U.S. mega cap value stock indexes.

Table.[3][4][5][6]


Indexes: CRSP Mega Growth Index; MSCI Large Cap 300 Growth Index; Russell Top 200 Growth Index
(View Google Spreadsheet in browser, then File --> Download as to download the file.)


The following table provides the inception date of each index, and well as the initial date of backdated data.

Index Inception Dates
Index Provider Inception Backdate data
Russell 1984 (?) 1984 (?)
S&P 1994 1994
MSCI 1996 1992
CRSP 2012 2001

References

  1. Indexing in the 21st Century: Portfolio Solutions Inc.
  2. The case for indexing, Christopher B. Philips, Vanguard research, 2011, pp.13. Viewed January 21, 2015.
  3. 3.0 3.1 3.2 CRSP Constituents and Returns
  4. 4.0 4.1 4.2 Vanguard historical 2011- 2002 , MSCI market cap weighted indexes select MSCI US Equity Index Total Returns, and performance calculator
  5. 5.0 5.1 5.2 Russell Index historical performance cycles 2009-2000, Russell Index Returns Calculator
  6. 6.0 6.1 6.2 Ishares 2015-2001

External links

Methodologies