Shenandoah Large Cap Core Strategy -
Monthly and Cumulative Returns
The following summarizes the structure of the return series:
MegaCap Segment January 1998-December 2007: Back tested returns
Midcap Segment January 1998-December 2007: Back tested 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.
The chart below and the table of returns and statistics following it can
be downloaded
here:
SAM Large Core Simulation.xls
Returns and Statistics Table
| Large Cap Core Simulation | |||||
| Inception: | 1/1/1998 | ||||
| Beta | 0.972 | ||||
| AUM | Simulated Returns | ||||
| Periodic & Annualized | Large Cap Core Backtest/Simulation | Large Cap Core Simulation (Gross) | Large Cap Core Simulation (Net) | Russell 1000 Benchmark | 90-Day T-Bill |
| 1 Month | -8.93% | -9.53% | 0.32% | ||
| 3 Months | -9.28% | -9.35% | 0.68% | ||
| YTD | -16.91% | -19.51% | 2.18% | ||
| 1Year (annualized) | -20.37% | -22.11% | 3.32% | ||
| 3 Years (annualized) | 1.05% | 0.16% | 4.33% | ||
| 5 Years (annualized) | 8.06% | 5.51% | 3.34% | ||
| Since Inception (annualized) | 5.91% | 3.58% | 3.59% | ||
| Count (months) | 129 | 129 | 129 | ||
| Total Cumulative Return | 85.41% | 45.91% | 46.05% | ||
| Annualized Monthly Volatility | 16.14% | 15.89% | 0.54% | ||
| Mean Monthly Excess Return (vs. Benchmark) | 0.19% | ||||
| Annualized Monthly Excess Return (vs. Benchmark) | 2.33% | ||||
| Monthly Volatility of Excess Return (vs. Benchmark) | 0.95% | ||||
| Annualized Monthly Volatility of Excess Return (vs. Benchmark) | 3.34% | ||||
| Information Ratio | 0.70 | ||||
| Sharpe Ratio | 0.14 | ||||
| Annual | Large Cap Core Backtest/Simulation AUM | Large Cap Core Simulation (Gross) | Large Cap Core Simulation (Net) | Russell 1000 Benchmark | 90-Day T-Bill |
| 2008 | Simulated Returns | -16.91% | -19.51% | 2.18% | |
| 2007 | Backtested Returns | 5.14% | 5.88% | 5.09% | |
| 2006 | Backtested Returns | 16.77% | 15.43% | 4.78% | |
| 2005 | Backtested Returns | 9.10% | 6.31% | 3.01% | |
| 2004 | Backtested Returns | 17.53% | 11.44% | 1.42% | |
| 2003 | Backtested Returns | 34.44% | 29.91% | 1.04% | |
| 2002 | Backtested Returns | -20.11% | -21.56% | 1.63% | |
| 2001 | Backtested Returns | -2.97% | -12.74% | 3.47% | |
| 2000 | Backtested Returns | -8.44% | -7.89% | 6.17% | |
| 1999 | Backtested Returns | 16.98% | 20.53% | 4.86% | |
| 1998 | Backtested Returns | 27.00% | 26.82% | 5.02% | |
| Monthly | Large Cap Core Backtest/Simulation AUM | Large Cap Core Simulation (Gross) | Large Cap Core Simulation (Net) | Russell 1000 Benchmark | 90-Day T-Bill |
| Sep-08 | Simulated Returns | -8.93% | -9.53% | 0.32% | |
| Aug-08 | Simulated Returns | 1.98% | 1.38% | 0.14% | |
| Jul-08 | Simulated Returns | -2.32% | -1.16% | 0.22% | |
| Jun-08 | Simulated Returns | -6.57% | -8.31% | 0.15% | |
| May-08 | Simulated Returns | 2.61% | 1.83% | 0.04% | |
| Apr-08 | Simulated Returns | 4.63% | 5.07% | 0.13% | |
| Mar-08 | Simulated Returns | -1.20% | -0.68% | 0.36% | |
| Feb-08 | Simulated Returns | -3.00% | -3.06% | 0.20% | |
| Jan-08 | Simulated Returns | -4.72% | -6.00% | 0.60% | |
| Dec-07 | Backtested Returns | -0.86% | -0.65% | 0.23% | |
| Nov-07 | Backtested Returns | -4.68% | -4.26% | 0.57% | |
| Oct-07 | Backtested Returns | 1.41% | 1.74% | 0.31% | |
| Sep-07 | Backtested Returns | 3.21% | 3.82% | 0.41% | |
| Aug-07 | Backtested Returns | 0.96% | 1.37% | 0.58% | |
| Jul-07 | Backtested Returns | -3.79% | -3.05% | 0.37% | |
| Jun-07 | Backtested Returns | -1.37% | -1.85% | 0.41% | |
| May-07 | Backtested Returns | 3.72% | 3.60% | 0.46% | |
| Apr-07 | Backtested Returns | 5.02% | 4.22% | 0.42% | |
| Mar-07 | Backtested Returns | 1.35% | 1.05% | 0.47% | |
| Feb-07 | Backtested Returns | -1.25% | -1.73% | 0.39% | |
| Jan-07 | Backtested Returns | 1.79% | 1.90% | 0.36% | |
| Dec-06 | Backtested Returns | 0.74% | 1.27% | 0.48% | |
| Nov-06 | Backtested Returns | 2.63% | |||