Low volatility index returns

Fig. Source: Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012

Low volatility index returns chronicles the annual returns of low volatility US and international stocks as measured by stock indexes. MSCI introduced its minimum volatility indexes in 2008 with backdated data available going back to 2001. S&P began its low volatility indexes in 2011 with backdated data available going back to 1991. Russell introduced its indexes in 2011 with data backdated to 2002.^{[note 1]}

For the the 1981-2011 period (see figure to the right), the volatility factor in the market was negative, with very high standard deviation; thus low volatility stocks (with low exposure to the volatility factor) provided premium returns over this period. Note that the index return histories below reflect this positive period.

Index returns

MSCI,^{[note 2]} Russell,^{[note 3]} and S&P^{[note 4]} provide minimum volatility and low volatility indexes covering both U.S. and international stock markets. The minimum volatility index seeks to lower volatility by using an optimization of variance minimization. The low volatility indexes employ a non-optimized approach based on historical volatities. A comparison of the two construction strategies is shown in the following figure:

The following tables provide comparative data for the low volatility indexes covering large cap US stocks, developed market international stocks, and emerging market stocks.

Table. US Large Cap indexes. ^[1]
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Table. International indexes ^[2]
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Investment options

Investors in the U.S. can invest in exchange traded funds based on MSCI minimum volatilty and S&P low volatility indexes. The table below provides a summary of available offerings. ^{[note 5]}

Low volatility stocks tend to be dividend paying stocks. As a result, the dividend yields of low volatility index funds tend to be higher than the yield of market index funds. As a result, low volatility index funds are candidates for placement in tax-advantaged accounts.

Table (as of 01-28-2016)
Fund	Sticker	Expense ratio	Holdings	Link	Morningstar link
iShares MSCI US Minimum Volatility ETF	USMV	0.15	168	link	USMV
Powershares S&P 500 Low Volatility ETF	SPLV	0.25	100	link	SPLV
Powershares S&P Mid Cap Low Volatility ETF	XMLV	0.25	78	link	XMLV
Powershares S&P Small Cap Low Volatility ETF	XSLV	0.28	118	link	XSLV
iShares MSCI Global Minimum Volatility ETF	ACWV	0.33	355	link	ACWV
iShares MSCI EAFE Minimum Volatility ETF	EFAV	0.33	217	link	EFAV
Powershares S&P International Developed Low Volatility ETF	IDLV	0.25	200	link	IDLV
iShares MSCI Emerging Markets Minimum Volatility ETF	EEMV	0.25	261	link	EEMV
Powershares S&P Emerging Markets Low Volatility ETF	EELV	0.29	201	link	EELV
SPDR Russell 1000 Low Volatility ETF	LGLV	0.12	84	link	LGLV

Notes

↑
Index providers have recently introduced indexes designed to capture the returns of low volatility stocks. Academic research, beginning with Haugen/Baker (1971, 1991, 2010). See Baker, Nardin L. and Haugen , Robert A., Low Risk Stocks Outperform within All Observable Markets of the World (April 27, 2012). Available at SSRN: http://ssrn.com/abstract=2055431 or http://dx.doi.org/10.2139/ssrn.2055431, and continuing with other researchers, have posited the following advantages of holding low volatility stocks in both US and international markets:
- Premium returns over market returns; higher risk adjusted returns;
- Lower volatility of returns compared to market returns;
- Lower drawdown losses than market returns during bear market declines.(See Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012)
Countering these advantages are potential drawbacks:
- Tracking error to the market as low volatility stocks tend to underperform the market during strong bull markets;
- Potentially higher turnover, and its attendant costs;
- Sector diversification tilts, as low volatility stocks tend to have higher market weightings to utility, health, and consumer staple sectors. (See The Low Volatility Effect: A Comprehensive Look, S&P Dow Jones Indexes, August 2012.(Current charts available at S&P 500 Low Volatility Index and S&P 500 Index)

↑ MSCI provides a wide ranging suite of minimum volatility indexes. MSCI currently calculates MSCI Minimum Volatility Indices for the following regions:

ACWI (All Country World Index)
Europe
EAFE
USA
Emerging Markets
World

According to MSCI, "the MSCI Minimum Volatility Indices are calculated by optimizing a parent MSCI Index by using an estimated security co-variance matrix to produce an index that has the lowest absolute volatility for a given set of constraints. The starting universe to determine a Minimum Volatility Index is an MSCI Equity Index and the estimated security co-variance matrix is based on the relevant Barra multi-factor equity model." (See MSCI Minimum Volatility Indices Methodology) The MSCI indexes are reconstituted semi-annually. The tables below provide data for the MSCI indexes currently being tracked by investable exchange traded funds. Note that the international funds table includes tabs providing data for three MSCI international indexes tracked by iShares etfs.

Table. US index
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: MSCI USA Minimum Volatility, factsheet

Table. International indexes
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: MSCI ACWI Minimum Volatility, factsheet; MSCI EAFE Minimum Volatility, factsheet;MSCI EM Minimum Volatility Index, factsheet

↑ Russell-Axioma low volatility indexes are constructed by ranking stocks by volatility. For U.S. indexes, the selection process starts with the lowest volatility stock, then a target portfolio is created by adding the next lowest volatility stocks until the target portfolio has a total capitalization of 35% of the Russell 1000 or Russell 2000 Index. This target portfolio is referred to as the “naïve factor index.” The Index then selects a portfolio of up to 200 stocks for the Russell 1000 Index or a portfolio of up to 400 stocks for the Russell 2000 Index. The indexes seek to "optimally track the returns of the target portfolio while managing turnover and neutralizing exposure to other factors, such as beta and momentum." (See Russell Long-only Factor Indexes construction-methodology) The indexes are reconstituted monthly.

The Russell-Axioma US Large Low Volatility and US Small Low Volatility indexes seek to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. For Russell's perspective see Benefits of Optimized Factor Indexes and The Russell-Axioma U.S. Long-only Factor Indexes

A similar index construction methodology is used in the Russell-Axioma Developed ex-US Large Cap Low Volatility Index. The index holds approximately 400 stocks of the Russell Developed ex-US Large Cap Index and is reconstituted monthly. The Russell-Axioma Developed-ex US Low Volatility Index is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma AX WW 2.1 World-Wide ex-USA Equity Factor Risk Model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. See Russell Developed ex-US Factor indexes for further perspective.

Currently, State Street provides an exchange traded fund that tracks the Russell 1000 low volatility index. Russell brought to market etfs tracking the firm's volatility, beta, and momentum indexes in 2011, but subsequently closed them in October, 2012, due to low asset accumulation. See Russell To Close All But One Of Its ETFs, news article, August 19,2012.

Table. US indexes
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: Russell-Axioma Large Cap Low Volatility Index, factsheet; Russell-Axioma Small Cap Low Volatility Index, factsheet

Table. International index
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: Russell-Axioma Developed ex-US Low Volatility Index, factsheet

↑ S&P provides a family of low volatility indexes which include US, regional, and international indexes. The indexes are rebalanced quarterly. The indexes rank and weigh the least volatile stocks in its respective index. The indexes are designed to hold:

S&P 500: the 100 least volatile stocks
S&P 400: the 80 least volatile stocks
S&P 600: the 120 least volatile stocks
S&P BMI Developed ex-US: the 200 least volatile stocks
S&P BMI Emerging: the 200 least volatile stocks
S&P Europe 350: the 100 least volatile stocks
S&P Pan Asia: the 50 least volatile stocks

In 2012 S&P also launched an optimized S&P 500 Minimum Volatility Index. The S&P 500 Minimum Volatility Index is optimized by using the Northfield Open Optimizer and the Northfield U.S Fundamental Equity risk model. The tables below include data for the US indexes and the two currently investable international indexes: the developed market and emerging market indexes. Note that the US index table includes tabs for the S&P 500, S&P Mid Cap 400, and the S&P Small Cap 600 low volatility indexes, along with the S&P 500 Minimum Volatility Index. The international table includes tabs for the two S&P international indexes tracked by Powershares etfs.

Table. US indexes.
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: S&P 500 Low Volatility Index, factsheet

Table. International indexes
(View Google Spreadsheet in browser, then File --> Download as to download the file.) Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: S&P BMI International Developed Low Volatility Index, factsheet; S&P BMI Emerging Markets Low Volatility Index, factsheet

↑ Both the retiring Vanguard CIO Gus Sauter and incoming Vanguard CIO Tim Buckley have rendered comments on low-volatility indexing. Sauter: "In the late 1990s, for example, low volatility stocks were significant underperformers. In that environment it would be difficult to attract and retain investors in this type of strategy. But that’s exactly when investors should have assigned funds to low-volatility strategies because once the tech bubble burst, low volatility stocks outperformed the market.” A low-volatility strategy might also enable an investor to diversify the growth asset portfolio. Sauter says: “This might allow investors to put more money in equities because it keeps a lid on the risk budget.” Making Sense of Low Volatility Funds, indexuniverse.com., September 25, 2012. Buckley on developing Vanguard low volatility index funds/etfs: “We’re having a hard look at it, honestly. If you can minimize the volatility in some of these portfolios, especially in (investors’) retirement years when they’re drawing (their nest eggs) down, that could make a difference,” Vanguard Mulls Low-Volatility ETFs as Category Thrives, ETF Trends, November 1, 2012. In December 2012 Vanguard introduced an actively managed global minimum volatility fund. As of 2016, the fund has a $3,000 minimum investment, and has a low 0.30% expense ratio. Admiral shares are available for a $50,000 minimum balance; expense ratio 0.20%. The fund hedges currency to the US dollar. (See Strategy and policy, Vanguard)

References

↑ Source of returns: S&P 500 Low Volatility Index, factsheet, S&P 500® Minimum Volatility Index, factsheet, MSCI index calculator, factsheet
↑ Source of returns: S&P BMI International Developed Low Volatility Index, factsheet; S&P BMI Emerging Markets Low Volatility Index, factsheet;Russell-Axioma Developed ex-US Low Volatility Index, factsheet ; MSCI index calculator

External links

Low beta investing, finiki, the Canadian financial wiki

Indexes

Methodology

MSCI Minimum Volatility Indices Methodology
Russell Long-only Factor Indexes construction-methodology
S&P 500 Low Volatility Index, download methodology
S&P 500 Minimum Volatility Index, download methodology

Articles

Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012.
Factor Indexing, Barry Feldman and Gareth Parker, Journal of Indexes Europe, March/April 2012.
The Low Volatility Effect: A Comprehensive Look, S&P Dow Jones Indexes, August 2012.

Bibliography

Baker, Malcolm, Bradley, Brendan and Wurgle, Jeffrey, Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly, Financial Analysts Journal January/February 2011, Vol. 67, No. 1, 15 pages
Baker, Nardin L. and Haugen , Robert A., Low Risk Stocks Outperform within All Observable Markets of the World (April 27, 2012). Available at SSRN.
Blitz, David and Van Vliet, Pim, The Volatility Effect: Lower Risk Without Lower Return (April 2007 7,). Journal of Portfolio Management, pp. 102-113, Fall 2007; ERIM Report Series Reference No. ERS-2007-044-F&A. Available at SSRN.
Brockman, Paul and Yan, Xuemin (Sterling), The Time-Series Behavior and Pricing of Idiosyncratic Volatility:Evidence from 1926 to 1962.
Carvalho, Raul Leote de, Lu, Xiao and Moulin, Pierre , Demystifying Equity Risk–Based Strategies: A Simple Alpha plus Beta Description, The Journal of Portfolio Management Spring 2012, Vol. 38, No. 3: pp. 56-70.
Choueifaty, Yves, and Coignard Yves, Toward Maximum Diversification The Journal of Portfolio Management Fall 2008, Vol. 35, No. 1: pp. 40-51.
Clarke, Roger G, de Silva, Harindra and Thorley,Steven, Minimum-Variance Portfolios in the U.S. Equity Market, The Journal of Portfolio Management Fall 2006, Vol. 33, No. 1: pp. 10-24.
Haugen, Robert A., and Baker Nardin L., The efficient market inefficiency of capitalization–weighted stock portfolios, The Journal of Portfolio Management Spring 1991, Vol. 17, No. 3: pp. 35-40.
Haugen , Robert A. and Heins, A. James, On the Evidence Supporting the Existence of Risk Premiums in the Capital Market (December 1, 1972). Available at SSRN.

‎

[1] Index providers have recently introduced indexes designed to capture the returns of low volatility stocks. Academic research, beginning with Haugen/Baker (1971, 1991, 2010). See Baker, Nardin L. and Haugen , Robert A., Low Risk Stocks Outperform within All Observable Markets of the World (April 27, 2012). Available at SSRN: http://ssrn.com/abstract=2055431 or http://dx.doi.org/10.2139/ssrn.2055431, and continuing with other researchers, have posited the following advantages of holding low volatility stocks in both US and international markets:
Premium returns over market returns; higher risk adjusted returns;

Lower volatility of returns compared to market returns;

Lower drawdown losses than market returns during bear market declines.(See Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012)
Countering these advantages are potential drawbacks:
Tracking error to the market as low volatility stocks tend to underperform the market during strong bull markets;

Potentially higher turnover, and its attendant costs;

Sector diversification tilts, as low volatility stocks tend to have higher market weightings to utility, health, and consumer staple sectors. (See The Low Volatility Effect: A Comprehensive Look, S&P Dow Jones Indexes, August 2012.(Current charts available at S&P 500 Low Volatility Index and S&P 500 Index)

[2] Premium returns over market returns; higher risk adjusted returns;

[3] Lower volatility of returns compared to market returns;

[4] Lower drawdown losses than market returns during bear market declines.(See Evaluating Alternate Beta Strategies, Xiaowei Kang, Journal of Indexes Europe, March/April 2012)

[5] Tracking error to the market as low volatility stocks tend to underperform the market during strong bull markets;

[6] Potentially higher turnover, and its attendant costs;

[7] Sector diversification tilts, as low volatility stocks tend to have higher market weightings to utility, health, and consumer staple sectors. (See The Low Volatility Effect: A Comprehensive Look, S&P Dow Jones Indexes, August 2012.(Current charts available at S&P 500 Low Volatility Index and S&P 500 Index)

[2] MSCI provides a wide ranging suite of minimum volatility indexes. MSCI currently calculates MSCI Minimum Volatility Indices for the following regions:
ACWI (All Country World Index)

Europe

EAFE

USA

Emerging Markets

World
According to MSCI, "the MSCI Minimum Volatility Indices are calculated by optimizing a parent MSCI Index by using an estimated security co-variance matrix to produce an index that has the lowest absolute volatility for a given set of constraints. The starting universe to determine a Minimum Volatility Index is an MSCI Equity Index and the estimated security co-variance matrix is based on the relevant Barra multi-factor equity model." (See MSCI Minimum Volatility Indices Methodology) The MSCI indexes are reconstituted semi-annually. The tables below provide data for the MSCI indexes currently being tracked by investable exchange traded funds. Note that the international funds table includes tabs providing data for three MSCI international indexes tracked by iShares etfs.

Table. US index

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: MSCI USA Minimum Volatility, factsheet

Table. International indexes

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: MSCI ACWI Minimum Volatility, factsheet; MSCI EAFE Minimum Volatility, factsheet;MSCI EM Minimum Volatility Index, factsheet

[9] ACWI (All Country World Index)

[10] Europe

[11] EAFE

[12] USA

[13] Emerging Markets

[14] World

[3] Russell-Axioma low volatility indexes are constructed by ranking stocks by volatility. For U.S. indexes, the selection process starts with the lowest volatility stock, then a target portfolio is created by adding the next lowest volatility stocks until the target portfolio has a total capitalization of 35% of the Russell 1000 or Russell 2000 Index. This target portfolio is referred to as the “naïve factor index.” The Index then selects a portfolio of up to 200 stocks for the Russell 1000 Index or a portfolio of up to 400 stocks for the Russell 2000 Index. The indexes seek to "optimally track the returns of the target portfolio while managing turnover and neutralizing exposure to other factors, such as beta and momentum." (See Russell Long-only Factor Indexes construction-methodology) The indexes are reconstituted monthly.

The Russell-Axioma US Large Low Volatility and US Small Low Volatility indexes seek to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma U.S. Equity Medium Horizon Fundamental Factor Risk model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. For Russell's perspective see Benefits of Optimized Factor Indexes and The Russell-Axioma U.S. Long-only Factor Indexes

A similar index construction methodology is used in the Russell-Axioma Developed ex-US Large Cap Low Volatility Index. The index holds approximately 400 stocks of the Russell Developed ex-US Large Cap Index and is reconstituted monthly. The Russell-Axioma Developed-ex US Low Volatility Index is designed to deliver exposure to stocks with low volatility as determined by a screening and ranking methodology applied to the output of the Axioma AX WW 2.1 World-Wide ex-USA Equity Factor Risk Model. Volatility is a measure of a stock’s variability in total returns based on its historical behavior over the last sixty days. See Russell Developed ex-US Factor indexes for further perspective.

Currently, State Street provides an exchange traded fund that tracks the Russell 1000 low volatility index. Russell brought to market etfs tracking the firm's volatility, beta, and momentum indexes in 2011, but subsequently closed them in October, 2012, due to low asset accumulation. See Russell To Close All But One Of Its ETFs, news article, August 19,2012.

Table. US indexes

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: Russell-Axioma Large Cap Low Volatility Index, factsheet; Russell-Axioma Small Cap Low Volatility Index, factsheet

Table. International index

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: Russell-Axioma Developed ex-US Low Volatility Index, factsheet

[4] S&P provides a family of low volatility indexes which include US, regional, and international indexes. The indexes are rebalanced quarterly. The indexes rank and weigh the least volatile stocks in its respective index. The indexes are designed to hold:
S&P 500: the 100 least volatile stocks

S&P 400: the 80 least volatile stocks

S&P 600: the 120 least volatile stocks

S&P BMI Developed ex-US: the 200 least volatile stocks

S&P BMI Emerging: the 200 least volatile stocks

S&P Europe 350: the 100 least volatile stocks

S&P Pan Asia: the 50 least volatile stocks
In 2012 S&P also launched an optimized S&P 500 Minimum Volatility Index. The S&P 500 Minimum Volatility Index is optimized by using the Northfield Open Optimizer and the Northfield U.S Fundamental Equity risk model. The tables below include data for the US indexes and the two currently investable international indexes: the developed market and emerging market indexes. Note that the US index table includes tabs for the S&P 500, S&P Mid Cap 400, and the S&P Small Cap 600 low volatility indexes, along with the S&P 500 Minimum Volatility Index. The international table includes tabs for the two S&P international indexes tracked by Powershares etfs.

Table. US indexes.

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: S&P 500 Low Volatility Index, factsheet

Table. International indexes

(View Google Spreadsheet in browser, then File --> Download as to download the file.)
Note: If the spreadsheet is blank, select a different sheet, then back to that sheet. The image will be refreshed.

Source of returns: S&P BMI International Developed Low Volatility Index, factsheet; S&P BMI Emerging Markets Low Volatility Index, factsheet

[17] S&P 500: the 100 least volatile stocks

[18] S&P 400: the 80 least volatile stocks

[19] S&P 600: the 120 least volatile stocks

[20] S&P BMI Developed ex-US: the 200 least volatile stocks

[21] S&P BMI Emerging: the 200 least volatile stocks

[22] S&P Europe 350: the 100 least volatile stocks

[23] S&P Pan Asia: the 50 least volatile stocks

[7] Both the retiring Vanguard CIO Gus Sauter and incoming Vanguard CIO Tim Buckley have rendered comments on low-volatility indexing. Sauter: "In the late 1990s, for example, low volatility stocks were significant underperformers. In that environment it would be difficult to attract and retain investors in this type of strategy. But that’s exactly when investors should have assigned funds to low-volatility strategies because once the tech bubble burst, low volatility stocks outperformed the market.” A low-volatility strategy might also enable an investor to diversify the growth asset portfolio. Sauter says: “This might allow investors to put more money in equities because it keeps a lid on the risk budget.” Making Sense of Low Volatility Funds, indexuniverse.com., September 25, 2012. Buckley on developing Vanguard low volatility index funds/etfs: “We’re having a hard look at it, honestly. If you can minimize the volatility in some of these portfolios, especially in (investors’) retirement years when they’re drawing (their nest eggs) down, that could make a difference,” Vanguard Mulls Low-Volatility ETFs as Category Thrives, ETF Trends, November 1, 2012. In December 2012 Vanguard introduced an actively managed global minimum volatility fund. As of 2016, the fund has a $3,000 minimum investment, and has a low 0.30% expense ratio. Admiral shares are available for a $50,000 minimum balance; expense ratio 0.20%. The fund hedges currency to the US dollar. (See Strategy and policy, Vanguard)

[5] Source of returns: S&P 500 Low Volatility Index, factsheet, S&P 500® Minimum Volatility Index, factsheet, MSCI index calculator, factsheet

[6] Source of returns: S&P BMI International Developed Low Volatility Index, factsheet; S&P BMI Emerging Markets Low Volatility Index, factsheet;Russell-Axioma Developed ex-US Low Volatility Index, factsheet ; MSCI index calculator

[note 1]

[note 2]

[note 3]

[note 4]

[1]

[2]

[note 5]

v t e Indexing
	Indexing	CRSP equity indexes • Indexing • Indexing: theory & history • Bond market indexing • Stock market indexing
	US index returns	US micro cap index returns • US small cap index returns • US mid 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 index returns	Global bond index returns • Global ex US market index returns • Global market index returns
	International index returns	Developed market index returns • Emerging markets index returns • International REIT index returns • International small cap index returns
	Index performance	Beta index returns • Low volatility index returns • Momentum index returns • Percentages of REITs present in Vanguard index funds • SPIVA scorecards • Survivorship bias
	US annual data	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