Shenandoah MegaCap Strategy -
Monthly and Cumulative Returns
The chart below and the table of returns and statistics following it can
be downloaded
here:
SAM MegaCap Simulation.xls
Returns and Statistics Table
| MegaCap Simulation | |||||
| Inception: | 1/1/1997 | ||||
| Beta | 0.980 | ||||
| AUM | Simulated Returns | ||||
| Periodic & Annualized | MegaCap Backtest/Simulation | MegaCap Simulation (Gross) | MegaCap Simulation (Net) | Russell Top200 Benchmark | 90-Day T-Bill |
| 1 Month | -7.55% | -8.40% | 0.32% | ||
| 3 Months | -7.78% | -7.86% | 0.68% | ||
| YTD | -16.70% | -19.51% | 2.18% | ||
| 1Year (annualized) | -20.59% | -22.00% | 3.32% | ||
| 3 Years (annualized) | 0.41% | 0.16% | 4.33% | ||
| 5 Years (annualized) | 6.50% | 4.33% | 3.34% | ||
| Since Inception (annualized) | 7.33% | 4.98% | 3.73% | ||
| Count (months) | 141 | 141 | 141 | ||
| Total Cumulative Return | 129.58% | 77.06% | 53.84% | ||
| Annualized Monthly Volatility | 16.97% | 16.47% | 0.53% | ||
| Mean Monthly Excess Return (vs. Benchmark) | 0.19% | ||||
| Annualized Monthly Excess Return (vs. Benchmark) | 2.35% | ||||
| Monthly Volatility of Excess Return (vs. Benchmark) | 1.09% | ||||
| Annualized Monthly Volatility of Excess Return (vs. Benchmark) | 3.85% | ||||
| Information Ratio | 0.61 | ||||
| Sharpe Ratio | 0.21 | ||||
| Annual | MegaCap Backtest/Simulation AUM | MegaCap Simulation (Gross) | MegaCap Simulation (Net) | Russell Top200 Benchmark | 90-Day T-Bill |
| 2008 | Simulated Returns | -16.70% | -19.51% | 2.18% | |
| 2007 | Backtested Returns | 4.28% | 5.89% | 5.09% | |
| 2006 | Backtested Returns | 16.52% | 15.53% | 4.78% | |
| 2005 | Backtested Returns | 5.42% | 3.77% | 3.01% | |
| 2004 | Backtested Returns | 14.91% | 8.31% | 1.42% | |
| 2003 | Backtested Returns | 30.37% | 26.68% | 1.04% | |
| 2002 | Backtested Returns | -22.62% | -23.35% | 1.63% | |
| 2001 | Backtested Returns | -4.48% | -14.57% | 3.47% | |
| 2000 | Backtested Returns | -12.89% | -12.14% | 6.17% | |
| 1999 | Backtested Returns | 18.76% | 21.79% | 4.86% | |
| 1998 | Backtested Returns | 33.42% | 33.98% | 5.02% | |
| 1997 | Backtested Returns | 40.79% | 34.53% | 5.33% | |
| Monthly | MegaCap Backtest/Simulation AUM | MegaCap Simulation (Gross) | MegaCap Simulation (Net) | Russell Top200 Benchmark | 90-Day T-Bill |
| Sep-08 | Simulated Returns | -7.55% | -8.40% | 0.32% | |
| Aug-08 | Simulated Returns | 1.99% | 1.18% | 0.14% | |
| Jul-08 | Simulated Returns | -2.19% | -0.58% | 0.22% | |
| Jun-08 | Simulated Returns | -6.83% | -8.44% | 0.15% | |
| May-08 | Simulated Returns | 1.58% | 0.74% | 0.04% | |
| Apr-08 | Simulated Returns | 4.11% | 4.41% | 0.13% | |
| Mar-08 | Simulated Returns | -0.65% | -0.37% | 0.36% | |
| Feb-08 | Simulated Returns | -3.48% | -3.36% | 0.20% | |
| Jan-08 | Simulated Returns | -4.41% | -5.79% | 0.60% | |
| Dec-07 | Backtested Returns | -0.92% | -0.79% | 0.23% | |
| Nov-07 | Backtested Returns | -4.68% | -4.06% | 0.57% | |
| Oct-07 | Backtested Returns | 0.94% | 1.80% | 0.31% | |
| Sep-07 | Backtested Returns | 3.40% | 4.04% | 0.41% | |
| Aug-07 | Backtested Returns | 1.36% | 1.87% | 0.58% | |
| Jul-07 | Backtested Returns | -3.06% | -2.82% | 0.37% | |
| Jun-07 | Backtested Returns | -1.13% | -1.76% | 0.41% | |
| May-07 | Backtested Returns | 3.45% | 3.53% | 0.46% | |
| Apr-07 | Backtested Returns | 5.14% | 4.37% | 0.42% | |
| Mar-07 | Backtested Returns | 1.33% | 1.14% | 0.47% | |
| Feb-07 | Backtested Returns | -2.12% | -2.48% | 0.39% | |
| Jan-07 | Backtested Returns | 0.94% | 1.35% | 0.36% | |
| Dec-06 | Backtested Returns | 1.10% | 1.81% | 0.48% | |