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

The growing proliferation of indexes from index providers, along with a corresponding growing number ofindex fundsandETFs, 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.1Each index providers suite of index funds occupies the following segment of the Index Strategy Box:

The following table provides returns data for U.S. mid cap index returns.

Indexes: CRSP Mid Cap Index; Dow Jones U.S. Mid-Cap Total Stock Market Index; Morningstar Mid Cap Index; MSCI US Mid Cap 450 Index; Russell Midcap Index; S&P MidCap 400 Index

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The following tables provide returns data for U.S. mid cap growth indexes.

Indexes: CRSP Mid Growth Index; Dow Jones U.S. Mid-Cap Growth Total Stock Market Index; Morningstar Mid Growth Index, MSCI US Mid Cap Growth Index; Russell Midcap Growth Index; S&P MidCap 400 Growth Index

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The following tables provide returns data for U.S. mid cap value indexes.

Indexes: CRSP Mid Cap Index; Dow Jones U.S. Mid-Cap Value Total Stock Market Index; Morningstar Mid Value Index; MSCI US Mid Cap Value Index; Russell Midcap Value Index; S&P MidCap 400 Value Index

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

The Case For Indexing, Christopher B. Philips and Frank J. Ambrosio, Vanguard Investment Counseling & Research, 2009, pp.12-13.

Indexing in the 21st Century: Portfolio Solutions Inc.

CRSP data source:CRSP Constituents and Returns, spreadsheet: Total Market and Capitalization index monthly returns: Growth and Value index monthly returns

Dow Jones Indexessearch for historical returns 2006-2002

Morningstar Market Barometer Ten-Year Recap 2000-2009

Russell Index historical performance cycles2009-2000

Janus Periodic Table of Investment Returns (1997-2011)

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 indexes•Indexing•Indexing: theory & history•Bond market indexing•Stock market indexing

US micro cap index returns•US small cap index returns••US large cap index returns•US mega cap index returns•US total market index returns•US completion index returns•US equity REIT index returns

Global bond index returns•Global ex US market index returns•Global market index returns

Developed market index returns•Emerging markets index returns•International REIT index returns•International small cap index returns

Beta index returns•Low volatility index returns•Momentum index returns•Percentages of REITs present in Vanguard index funds•SPIVA scorecards•Survivorship bias

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

CRSP equity indexes•Indexing•Indexing: theory & history•Bond market indexing•Stock market indexing

US micro cap index returns•US small cap index returns••US large cap index returns•US mega cap index returns•US total market index returns•US completion index returns•US equity REIT index returns

Global bond index returns•Global ex US market index returns•Global market index returns

Developed market index returns•Emerging markets index returns•International REIT index returns•International small cap index returns

Beta index returns•Low volatility index returns•Momentum index returns•Percentages of REITs present in Vanguard index funds•SPIVA scorecards•Survivorship bias

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

This page was last edited on 22 January 2019, at 23:45.

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