US small cap index returns

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Main article: Small caps

US small cap index returns chronicles the annual returns of US small 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.



Small cap blend index returns

The following table provides returns data for U.S. small cap blend indexes.

Table.[3] [4][5][6][7][8]


Indexes: CRSP Small Cap Index;[note 1] 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
(View Google Spreadsheet in browser, then File --> Download as to download the file.)

Small cap growth index returns

The following table provides returns data for U.S. small cap growth indexes.

Table.[3][4][5][6][7][8]


Indexes: CRSP Small Growth Index;[note 1] 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
(View Google Spreadsheet in browser, then File --> Download as to download the file.)

Small cap value index returns

The following table provides returns data for U.S. small cap value indexes.

Table.[3][4][5][6][7][8]


Indexes: CRSP Small Value Index;[note 1] 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
(View Google Spreadsheet in browser, then File --> Download as to download the file.)

The table below provides the inception date for each index, as well as the initial date for any backdated data.

Index Inception Dates
Index Provider Inception Backdate data
Russell 1984 1984
S&P 1994 1994
MSCI 1996 1992
Morningstar 1998 1998
Dow Jones 2005 1991
CRSP[note 1] 2012 2001

Notes

  1. 1.0 1.1 1.2 1.3 CRSP is the The Center for Research in Security Prices, part of the University of Chicago Booth School of Business. See: Stock market indexing for a list of major index fund providers.

See also

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 Returns and constituents
  4. 4.0 4.1 4.2 Dow Jones Indexes Dow Jones Indexes, US total market factsheets, historical sheets unavailable • SPDR semi-annual reports 2009-2006
  5. 5.0 5.1 5.2 Morningstar IndexesMorningstar Market Barometer Ten-Year Recap 2000-2009Morningstar Periodic Table 2008-1999 • Morningstar Indexes Yearbook 2004 1998-1997 • "Morningstar Indexes". http://corporate.morningstar.com/US/asp/subject.aspx?xmlfile=11.xml.
  6. 6.0 6.1 6.2 US Equity Indices "Template:Citation error". https://www.msci.com/eqb/us/indexperf/dailyperf.html=MSCI US 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. • MSCI 10 Year Annual Returns 2005-1996
  7. 7.0 7.1 7.2 Russell index calculatorRussell Index historical performance cycles 2009-2000 • Fidelity Callan Chart 2003-1984 • Portfolio Construction for Taxable Investors,Vanguard Investment Counseling & Research (1993-1980) • "Russell index calculator". http://www.russell.com/indexes/americas/tools-resources/index-performance-calculator.page.
  8. 8.0 8.1 8.2 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) • "Vanguard Advisors, performance tab". https://advisors.vanguard.com/VGApp/iip/advisor/csa/investments/benchmarks/sp.

External links

Methodologies