Thanks in large part to today’s rally, the S&P 500 closed up 1.81 percent for the quarter.

That might not seem like much, but if you annualize it, it works out to an annualized return of around 7.5 percent.  I’m not saying that the market will return 7.5 percent for the year since there are nine months to go, but I am saying that what the market earned in the first quarter is highly respectable.

It’s also worth noting that while the market was down in January, the annualized volatility of the first quarter was 15.2 percent, well below the historic average.  Today, the CBOE Volatility Index (or VIX) closed at 13.85, which suggests that investors think the S&P 500 will be even less volatile in the next three months.

Within the US, mid-cap stocks fared the best, earning 3.04 percent, ahead of the small cap index earned 1.13 percent.  Since small cap stocks underperformed large cap stocks, we can say that the ‘size premium,’ the tendency for small stocks to outperform large stocks, was not evident in the first quarter.

Value stocks outperformed growth stocks in the first quarter, regardless of the market capitalization – the ‘value premium’ worked in large, mid and small cap stocks whether you look at S&P or Russell indexes.

Within the sectors, all had positive performance except for Consumer Discretionary stocks, which fell -2.80 percent.  The best performing stocks were utilities, which gained 10.09 percent.

Stocks markets overseas didn’t fare as well this year compared to the US.  The FTSE index that tracks developed markets gained 0.49 percent in the first quarter.  Small cap developed market stocks gained more than two percent, so while the size premium didn’t happen in the US, it did in developed markets – another reason that diversification pays.

Emerging markets stocks, as measured by the FTSE index, fell by -0.13 percent, rebounding strongly enough to nearly break even after an -8.43 percent drop in January.

Perhaps most interesting was that Real Estate Investment Trusts (REITs), that own commercial properties, gained 10.09 percent in the first quarter.  While a lot of investors were concerned about owning real estate coming out of the crisis, the annualized returns for REITs over the past five years was 28.79 percent.  Looking back 10 years, the index gained 8.20 percent, outpacing the S&P 500 by nearly a percent, despite being at the center of the storm during the crisis.

Surprisingly, bonds earned almost as much as stocks in the first quarter, with the Barclays Aggregate bond index earning 1.87 percent. The yield on the 10-year US Treasury bond closed at 2.73 percent, down from 3.00 percent yield on the first of the year.

Longer-term bonds fared better than shorter-term bonds and corporate bonds outperformed government bonds.

This is a first look at the data and more will be released in the coming days.  The best data from academia tends to make its way to the market after about a month or so.  In the coming weeks, I hope to have more insights to add to this review.