Returns Data Sources
Arrive at this page looking for index returns?
Domestic Index Returns
Bond Index Returns
Total US Market - LCB:
CRSP Market Decile 1-10 1972-1992
Vanguards Total Stock Market Index Fund 1993-2008
Large Cap Value - LCV:
Fama and French 1972-1978
Russell 1000 Value Index 1979-1992
Vanguards Value Index Fund 1993-2008
Large Cap Blend - S&P 500:
S&P 500: Standard & Poors 1972-1976
Vanguards 500 Index Fund 1977-2008
Large Cap Growth - LCG:
Fama and French 1972-1978
Russell 1000 Growth Index 1979-1992
Vanguards Growth Index Fund 1993-2008
Mid-Cap Blend - MCB:
CRSP Decile 3-5 1972-1978
Russell Mid Cap Index 1979-1998
Vanguards Mid Cap Index Fund 1999-2008
Small Cap Value - SCV:
Ibbotson 1972-1978
Russell 2000 Value Index 1979-1998
Vanguards Small Cap Value Index Fund 1999-2008
Small Cap Blend - SCB:
Ibbotson 1972-1978
Russell 2000 Index 1979-1991
Vanguards Small Cap Index Fund 1992-2008
Small Cap Growth - SCG:
Ibbotson 1972–1978
Russell 2000 Growth Index 1979-1998
Vanguards Small Cap Growth Index Fund (VISGX) 1999-2008
Micro Cap:
CRSP Decile 10 1972-1997
BRSIX Bridgeway Ultra Small Market 1998-2008
REIT (Real Estate Investment Trust):
Nat. Assn. of Real Estate Inv Trusts 1972-1996
Vanguards REIT Index Fund - 1997-2008
International Developed - EAFE:
MSCI EAFE Index 1972-2000 (Developed Only)
Vanguard Developed Markets Index 2001-2008
Emerging Market - EM:
IFA website(added back expenses):1972-1987
Allocated 50% IFA Intl Value Index and 50% IFA Intl Small
MSCI Emerging Mkts Index 1988-1994
Vanguard Emerging Mkts Idx - 1995-2008
Total International (85% EAFE/15%EM):
MSCI EAFE Index 1972-1987 (Developed Only)
85% EAFE Index
Vanguards Total International Index Fund 1997-2008
International Pacific:
MSCI Data 1972-1990
Vanguard Pacific Stock Index (VPACX) 1991-2008
International Europe:
MSCI Data 1972-1984
Vanguard Europe Stock Index (VEURX) 1991-2008
International Value:
IFA Intl Value 1972-1974
MSCI EAFE Value 1975-1996
Vanguard Intl Value (VTRIX) 1997-2008
Commodities:
Collaterallized Chase Index 1972-1990
DJ-AIJ plus T-Bills 1991-1996
DJ-AIG plus Yahoo's IPS 'category' returns 1997-2001 (prior to VIPSX)
DJ-AIJ plus VIPSX - 2001-2002
Pimco PCRIX 2003-2008
Long Term Goverment Bonds:
Tamasset Spreadsheet 1972-1986
Vanguards Long Term Treasury (VUSTX) 1987-2008
5 Year T-Bills:
Tamasset Spreadsheet 1972-1991
Vanguards InterTerm Treasury Fund (VFITX) 1992-2008
Money Market:
T-Bills 1972-1983
Vanguard Treasury Money Market Fund (VMPXX) 1984-2008
Synthetic TIPS:
Synthetic TIPS data provided by Cb (Data from Kothari's paper)
Vanguard Inflation-Protected Security Fund (VIPSX) 2001-2008
2 Year ST Treasury
ST Treasury (2F) IFA website: 1972-1991
Vanguard Short Term Treasury (VFISX) 1992-2008
http://www.fpanet.org/journal/articles/2006_Issues/jfp0206-art7.cfm
MSCI data
CPI-U data was collected from here