Returns and Statistics Table
The full simulated return history can
be downloaded
here:
Large Core Simulation
|
Periodic & Annualized |
Large Core Simulation (Gross) |
Russell 1000 |
Excess (Gross) |
90-Day T-Bill |
|
1 Month (Mar 2010) |
5.59% |
6.14% |
-0.55% |
0.01% |
|
3 Months (1Q 2010) |
5.99% |
5.70% |
0.30% |
0.02% |
|
YTD |
5.99% |
5.70% |
0.30% |
0.02% |
|
1 Year |
53.55% |
51.57% |
1.98% |
0.19% |
|
3 Yrs (annualized) |
-2.89% |
-3.95% |
1.06% |
2.23% |
|
5 Yrs (annualized) |
3.51% |
2.33% |
1.18% |
3.03% |
|
Since Inception (annualized) |
5.74% |
3.56% |
2.18% |
3.20% |
|
Count (months) |
147 |
147 |
147 |
147 |
|
Total Cumulative Return |
98.03% |
45.24% |
52.79% |
47.06% |
|
Annualized Monthly Volatility |
17.89% |
17.53% |
3.29% |
0.58% |
|
Mean Monthly Excess Return (vs.
Benchmark) |
0.17% |
|
|
|
|
Annualized Monthly Excess Return
(vs. Benchmark) |
2.18% |
|
|
|
|
Monthly Volatility of Excess
Return (vs. Benchmark) |
0.92% |
|
|
|
|
Annualized Monthly Volatility of
Excess Return (vs. Benchmark) |
3.17% |
|
|
|
|
Information Ratio |
0.69 |
|
|
|
|
Sharpe Ratio |
0.14 |
|
|
|
The following summarizes the structure of the return series:
MegaCap Segment January 1998-December 2007: Backtested returns
Midcap Segment January 1998-December 2007: Backtested returns
MegaCap Segment January 2008 forward: Simulated returns
Midcap Segment January 2008 forward: Actual composite returns
Aggregation: Each month the MegaCap and Midcap returns series are
combined in the same proportion as they existed in the Russell 1000
index universe at the beginning of the respective month.
HYPOTHETICAL PERFORMANCE
DISCLOSURE
Past Hypothetical Performance does not guarantee future actual results.
Hypothetical results have many inherent limitations. No representation
is being made that any account will or is likely to achieve returns
similar to those shown. In fact, there are frequently sharp differences
between hypothetical performance results and the actual results
subsequently achieved by any particular investment strategy.
One of the limitations of hypothetical performance results is that they
are generally prepared with the benefit of hindsight. In addition,
hypothetical investment does not involve financial risk, and no
hypothetical investment record can completely account for the impact of
financial risk in actual investing. For example, the ability to
withstand losses or to adhere to a particular investment strategy in
spite of investment losses are material points which can also adversely
affect actual investment results. There are numerous other factors
related to the markets in general or to the implementation of any
specific investment strategy which cannot be fully accounted for in the
preparation of hypothetical performance results and all of which can
adversely affect actual investment results.
Performance for periods greater than one year is annualized. Gross
returns (including realized and unrealized capital gains, reinvestment
of dividends and interest) are before fees and administrative expenses.
Net returns reflect the return to investors after all fees and
administrative expenses. Net returns are NOT provided here as they are a
determined by the fee level, which is a function of the assets under
management in the client's specific application. We will be happy to
provide simulated net returns by applying a fee level based upon a
client-specified asset level. Sources
Russell Top 200®, Midcap®, and 1000® Indexes
are registered trademarks of the
Russell Investment Group
Plan Sponsor Network (PSN) is a product of
Informa
Investment Solutions
Global Industry Classification Standards (GICS®)
are a registered trademark of Standard & Poor's and MSCI BARRA
Portfolio characteristics compiled from data supplied by The Applied
Finance Group, LTD. |
