In months when the Russell 2000 was up 5% or more, our valuation discipline meant that we lagged roughly 63% of the time, as of 03/31/15. We outpaced only 19 out of 51 months since inception (07/28/95). On average, we trailed by 66 basis points. That average drops to 47 basis points if we exclude the speculative spike of February 2000.
Months When Small Caps Were Down 5% or More
We've Outperformed in Sharply Falling Markets
We’ve shined in big down markets. As of 03/31/15, we outpaced the Russell 2000 in 29 out of the 37 months that the Russell 2000 was down 5% or more since inception (07/28/95), or 78% of the time. On average we gained 190 basis points of relative performance. Excluding the Dot Com bust of March 2000, the average is 161 basis points.
Past performance is not a guarantee of future results. Many factors affect performance, including changes in market conditions and interest rates, as well as other economic, political and financial developments. You should not assume that investment decisions we make in the future will be profitable or will equal the investment performance of the past.
The portfolio is actively managed, so holdings, sector weightings and other portfolio characteristics may have changed since the date shown. They should not be considered recommendations to buy or sell any security or of a particular allocation. You should not presume that any holding or allocation shown has been or will be profitable. The information in the Small-Cap and SMid-Cap commentaries supplements the related Composite Presentations available on our website (click here for the Equity Composite Presentation: Small-Cap, here for the Equity Composite Presentation: SMid-Cap).
The information in each commentary is current as of the date of the commentary, and may have changed by the time you read this. Daruma has obtained some of the information in this presentation from third-party sources we believe to be accurate. However, we cannot guarantee the accuracy of such information.
Statements in any commentary that were not historical facts at the date of that commentary reflect our opinions, beliefs or expectations as of that date. Subsequent events will have, or may yet impact whether they prove to be correct.
Charts included in any commentary are included to demonstrate certain information or conclusions. You should not make any investment decision relying only on these charts.
The appropriate comparison benchmark for the Small-Cap Equity strategy is the Russell 2000. The Russell 2000 includes approximately 2000 of the smallest U.S. common stocks based on a combination of their market cap and current membership in the Russell 3000. The Russell 2000 Value Index includes those Russell 2000 Index companies with lower price-to-book ratios and lower forecasted growth values, while the Russell 2000 Growth Index includes those with higher price-to-value ratios and higher forecasted growth values.
The appropriate comparison benchmark for the SMid-Cap Equity strategy is the Russell 2500. The Russell 2500 includes approximately 2500 of the smallest U.S. common stocks based on a combination of their market cap and current membership in the Russell 3000. The Russell 2500 Value Index includes those Russell 2500 Index companies with lower price-to-book ratios and lower forecasted growth values, while the Russell 2500 Growth Index includes those with higher-price-to-value ratios and higher forecasted growth values.
The Small-Cap and SMid-Cap Equity strategies are concentrated strategies that are not managed to a benchmark, so there are material differences in characteristics, such as the number of holdings and sector and industry weightings. In addition, benchmark performance does not include any fees or expenses. Because of these differences, benchmarks should not be considered a completely accurate comparison.