Can Indexes Generate Alpha?

February 17, 2010

 

Appendix II: Benchmark Indices

Dow Jones Dow Jones Wilshire
Large Growth DJ Style US Growth Large Cap DJ Wilshire Large Cap Growth
Large Blend DJ US Large Cap DJ Wilshire Large Cap
Large Value DJ Style US Value Large Cap DJ Wilshire Large Cap Value
Mid-Cap Growth DJ Style US Growth Mid Cap DJ Wilshire Mid Cap Growth
Mid-Cap Blend DJ US Mid Cap DJ Wilshire Mid Cap
Mid-Cap Value DJ Style US Value Mid Cap DJ Wilshire Mid Cap Value
Small Growth DJ Style US Growth Small Cap DJ Wilshire Small Cap Growth
Small Blend DJ US Small Cap DJ Wilshire Small Cap
Small Value DJ Style US Value Small Cap DJ Wilshire Small Cap Value
Morningstar MSCI
Large Growth Morningstar Large Growth MSCI US Large Cap Growth
Large Blend Morningstar Large Core MSCI US Large Cap 300
Large Value Morningstar Large Value MSCI US Large Cap Value
Mid-Cap Growth Morningstar Mid Growth MSCI US Mid Cap Growth
Mid-Cap Blend Morningstar Mid Core MSCI US Mid Cap 450
Mid-Cap Value Morningstar Mid Value MSCI US Mid Cap Value
Small Growth Morningstar Small Growth MSCI US Small Cap Growth
Small Blend Morningstar Small Core MSCI US Small Cap 1750
Small Value Morningstar Small Value MSCI US Small Cap Value
S&P S&P Pure
Large Growth S&P 500/Citi Growth S&P 500/Citi Pure Growth
Large Blend S&P 500 S&P 500
Large Value S&P 500/Citi Value S&P 500/Citi Pure Value
Mid-Cap Growth S&P MidCap 400/Citi Growth S&P MidCap 400/Citi Pure Growth
Mid-Cap Blend S&P MidCap 400 S&P MidCap 400
Mid-Cap Value S&P MidCap 400/Citi Value S&P MidCap 400/Citi Pure Value
Small Growth S&P SmallCap 600/Citi Growth S&P SmallCap 600/Citi Pure Growth
Small Blend S&P SmallCap 600 S&P SmallCap 600
Small Value S&P SmallCap 600/Citi Value S&P SmallCap 600/Citi Pure Value
Russell
Large Growth Russell 1000 Growth
Large Blend Russell 1000
Large Value Russell 1000 Value
Mid-Cap Growth Russell Mid Cap Growth
Mid-Cap Blend Russell Mid Cap
Mid-Cap Value Russell Mid Cap Value
Small Growth Russell 2000 Growth
Small Blend Russell 2000
Small Value Russell 2000 Value

 


Works Cited

“2009 Investment Company Fact Book,” Investment Company Institute. http://www.icifactbook.org/.

Carhart, Mark M. 1997. “On Persistence in Mutual Fund Performance,” Journal of Finance, vol. 52: No. 1, 57-82.

Cremers, Martijn, Antti Petajisto, and Eric Zitzewitz. 2008. “Should Benchmark Indices Have Alpha? Revisiting Performance Evaluation,” Working paper version July 31, 2008.

Fama, Eugene F., and Kenneth R. French. 1993. “Common Risk Factors in the Returns on Bonds and Stocks,” Journal of Financial Economics, vol. 33: 3-53.

French, Kenneth R., http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html

Israelsen, Craig. 2007. “Variance Among Indexes,” Journal of Indexes, May/June: 26-29

 

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