|
|
ETF - Exchange Traded Funds
Historical data for some major ETFs
Relative price change of the major ETFs.
DIA - Diamonds Trust Ser 1. It corresponds to the performance
of the Dow Jones Industrial Average.
MDY - MidCap SPDR Trust. It
corresponds to the performance of the S&P MidCap 400 Index.
QQQQ - Nasdaq-100 Trust, Ser I.
It corresponds to the performance of the NASDAQ-100 Index.
Data for the period from March 10, 1999 to January 1, 2006. All data are
dividend and stock split corrected.
Table 1 Historical
annual returns of some major ETFs.
| ETF |
2005 |
2004 |
2003 |
2002 |
2001 |
DIA
DIAMOND Trust Ser 1. -Dow Jones Industrial Average |
1.6 |
5.02 |
27.9 |
-14.7 |
-5.2 |
QQQQ
Nasdaq-100 Trust, Seri I |
1.5 |
10.5 |
49.6 |
-37.4 |
-33.3 |
MDY
S&P Mid Deposit Rcpt - MidCap 400 Index |
12.5 |
15.9 |
35.3 |
-14.5 |
-0.8 |
IJR
iShare S&P SmallCap 600 Index |
7.5 |
22.4 |
38.5 |
-14.3 |
6.4 |
IWF
Russell 1000 Growth Index |
4.7 |
6.2 |
30.1 |
-28.1 |
-20.8 |
IWD
Russell 1000 Value Index |
6.6 |
16.1 |
30.7 |
-15.6 |
-6.2 |
XLY
Consumer Discretionary Select Sector Index |
2.0 |
12.9 |
37.2 |
-18.6 |
12.6 |
XLE
Energy Select Sector Index |
40.2 |
33.9 |
25.8 |
-14.6 |
-18.4 |
XLF
Financial Select Sector Index |
6.2 |
10.8 |
30.5 |
-14.8 |
-9.8 |
XLV
Health Care Select Sector Index |
6.4 |
1.3 |
14.9 |
-0.7 |
-1.0 |
XLI
Industrial Select Sector Index |
2.7 |
17.7 |
31.8 |
-24.5 |
-10.5 |
IYM
Dow Jones U.S. Basic Materials Sector Index |
4.1 |
12.2 |
35.2 |
-9.0 |
-0.2 |
IYK
Dow Jones U.S. Consumer Goods Sector Index |
1.5 |
11.9 |
21.0 |
-5.4 |
1.6 |
IYC
Dow Jones U.S. Consumer Services Sector Index |
-2.3 |
10.7 |
32.6 |
-24.6 |
0 |
IYR
Dow Jones U.S. Real Estate Index |
7.5 |
30.1 |
36.9 |
3.4 |
10.56 |
IYW
Dow Jones U.S. Technology Sector Index
|
2.7 |
1.3 |
49.2 |
-38.9 |
-28.6 |
IYZ
Dow Jones U.S. Telecommunications Sector Index |
-4.3 |
18.2 |
13.7 |
-38.6 |
-18.2 |
IDU
Dow Jones U.S. Utilities Sector Index |
13.6 |
23.1 |
25.6 |
-22.2 |
-25.8 |
IYT
Dow Jones Transportation Index |
10.8 |
- |
- |
- |
- |
GLD
Gold Trust |
5.7 |
- |
- |
- |
- |
Table 2 Average
daily returns, risks and correlations of DIA, MDY QQQQ from 1999 to 2006.
| |
DIA (1) |
MDY (2) |
QQQQ (3) |
Correlation |
| 1999 |
| Daily return,% |
0.09 |
0.10 |
0.38 |
c12=0.69
c13=0.57
c23=0.69 |
| Standard deviation (risk) |
1.1 |
1.1 |
2.3 |
| 2000 |
| Daily return,% |
-0.02 |
0.07 |
-0.15 |
c12=0.61
c13=0.55
c23=0.83 |
| Standard deviation (risk) |
1.3 |
1.9 |
3.3 |
| 2001 |
| Daily return,% |
-0.02 |
0.01 |
-0.11 |
c12=0.84
c13=0.65
c23=0.79 |
| Standard deviation (risk) |
1.3 |
1.4 |
2.9 |
| 2002 |
| Daily return,% |
-0.06 |
-0.6 |
-.16 |
c12=0.89
c13=0.78
c23=0.83 |
| Standard deviation (risk) |
1.4 |
1.4 |
1.8 |
| 2003 |
| Daily return,% |
0.09 |
0.12 |
0.17 |
c12=0.84
c13=0.81
c23=0.86 |
| Standard deviation (risk) |
1.0 |
1.1 |
1.8 |
| 2004 |
| Daily return,% |
0.02 |
0.06 |
0.04 |
c12=0.81
c13=0.79
c23=0.83 |
| Standard deviation (risk) |
0.67 |
0.87 |
1.1 |
| 2005 |
| Daily return,% |
0.007 |
0.05 |
0.01 |
c12=0.82
c13=0.77
c23=0.77 |
| Standard deviation (risk) |
0.62 |
0.80 |
0.80 |
We showed these data to help investors to build efficient investment
portfolio. Read
more about building efficient portfolios.
|
