US micro cap index returns

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US micro cap index returns chronicles the historical annual returns of US micro 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.


Micro cap index returns

The table below provides micro cap index returns.

Table.[3][4][5][6][7]


Indexes: CRSP US Micro Cap Index; Dow Jones U.S. Select Micro Cap Index; MSCI Micro Cap Index; Russell Micro Cap Index; Wilshire Micro Cap Index
(View Google Spreadsheet in browser, then File --> Download as to download the file.)

The following table provides the inception date for U.S. microcap indexes, as well as the initial date of backdated data.

Index Inception Dates
Index Provider Inception Backdate data
Wilshire 1979 1979
Russell 2001 2001
Dow Jones 2005 2005
MSCI 2004 2004
CRSP 2012 2002

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. CRSP Returns and constituents, downloads and factsheets
  4. Dow Jones Indexes Dow Jones Indexes, US total market factsheets, historical sheets unavailable • First Trust prospectus 2006 - onwards
  5. MSCI market cap indexes, select MSCI US Equity Index Total Returns tab for calculator, 2005 onwards
  6. Russell index calculatorRussell Index historical performance cycles 2011-2000
  7. Wilshire Returns Calculator

External links

Methodologies