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

The growing proliferation of indexes from index providers, along with a corresponding growing number ofindex fundsandexchange-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 ofstocks, have different selection criteria for growth versus value, and are even maintained and rebalanced differently.2

Each index providers suite of index funds occupies the highlighted segment of the Index Strategy Box.

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

Indexes: CRSP Small Cap Index;note 1Dow 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 Spreadsheetin browser, then File –Download asto download the file.)

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

Indexes: CRSP Small Growth Index;note 1Dow 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 Spreadsheetin browser, then File –Download asto download the file.)

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

Indexes: CRSP Small Value Index;note 1Dow 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

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

CRSP is theThe Center for Research in Security Prices, part of the University of Chicago Booth School of Business. See:Stock market indexingfor a list of major index fund providers.

Stock market indexingfor information about the various major index providers.

Indexing in the 21st Century: Portfolio Solutions Inc.

The case for indexing, Christopher B. Philips, Vanguard research, 2011, pp.13. Viewed January 21, 2015.

Dow Jones Indexes Dow Jones Indexes, US total market factsheets, historical sheets unavailable •SPDR semi-annual reports2009-2006

Morningstar IndexesMorningstar Market Barometer Ten-Year Recap 2000-2009Morningstar Periodic Table2008-1999 •Morningstar Indexes Yearbook 20041998-1997 •

, performance tab for calculator Enable browser cookies, then

to Terms of Use (at page bottom). Provides 10 year historical performance against selected dates. •MSCI 10 Year Annual Returns2005-1996

Russell index calculatorRussell Index historical performance cycles2009-2000 •Fidelity Callan Chart2003-1984 •Portfolio Construction for Taxable Investors,Vanguard Investment Counseling & Research (1993-1980) •

Isharessmall cap overview pages 2009-2001 •S&P: A Tale Of Two Indexes2008-1994 •RiverSource Trust Emerging Growth Fund II2005-1996 (small growth) •American Express Trust Small Cap Value Fund II2004-1995 (small value) •

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 indexesChristopher 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).

CRSP equity indexesIndexingIndexing: theory & historyBond market indexingStock market indexing

US micro cap index returnsUS mid cap index returnsUS large cap index returnsUS mega cap index returnsUS total market index returnsUS completion index returnsUS equity REIT index returns

Global bond index returnsGlobal ex US market index returnsGlobal market index returns

Developed market index returnsEmerging markets index returnsInternational REIT index returnsInternational small cap index returns

Beta index returnsLow volatility index returnsMomentum index returnsPercentages of REITs present in Vanguard index fundsSPIVA scorecardsSurvivorship bias

US index returns – 2016US index returns – 2015US index returns – 2014US index returns – 2013US index returns – 2012US index returns – 2011US index returns – 2010

CRSP equity indexesIndexingIndexing: theory & historyBond market indexingStock market indexing

US micro cap index returnsUS mid cap index returnsUS large cap index returnsUS mega cap index returnsUS total market index returnsUS completion index returnsUS equity REIT index returns

Global bond index returnsGlobal ex US market index returnsGlobal market index returns

Developed market index returnsEmerging markets index returnsInternational REIT index returnsInternational small cap index returns

Beta index returnsLow volatility index returnsMomentum index returnsPercentages of REITs present in Vanguard index fundsSPIVA scorecardsSurvivorship bias

US index returns – 2016US index returns – 2015US index returns – 2014US index returns – 2013US index returns – 2012US index returns – 2011US index returns – 2010

This page was last edited on 22 January 2019, at 23:43.

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