The New Science of Asset Allocation: Risk Management in a Multi-Asset World

Glossary: Asset Class Benchmarks

EQUITY

S&P 500: The S&P 500 is a value-weighted index. The stocks included in the S&P 500 are those of large publicly held companies that trade on either of the two largest American stock market companies; the NYSE Euronext and the NASDAQ OMX. The index does include a handful of non-U.S. companies (six as of July 1, 2009). This group includes both former U.S. companies that have reincorporated outside the United States and firms that have never been incorporated in the United States. The components of the S &P 500 are selected by committee.

Russell 1000: A market capitalization-weighted benchmark index made up of the 1,000 highest-ranking U.S. stocks in the Russell 3000.

Russell 2000: The Russell 2000 Index is a small-cap stock market index of the bottom 2,000 stocks in the Russell 3000 Index.

MSCI EAFE: The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index designed to measure the equity market performance of developed markets, excluding the United States and Canada. As of June 2007, the MSCI EAFE Index consisted of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The index is maintained by Morgan Stanley Capital International/Barra; the EAFE acronym stands for Europe, Australasia, ...