Shaw did many big band remote broadcasts. Throughout the autumn and winter of 1938, he was often heard from the Blue Room of the Hotel Lincoln in New York. After touring in 1939, he led the house band at the Cafe Rouge of the Hotel Pennsylvania in New York. He was the headliner of a radio series with comedian Robert Benchley as emcee. Shaw broadcast on CBS from November 20, 1938 until November 14, 1939. At the Cafe Rouge he quit his band that week and went to Mexico. The band continued without him into January but eventually broke up. After Shaw returned from Mexico in 1940, and still under contract to RCA Victor, he experimented with a group of session musicians in Hollywood, trying to combine strings and woodwinds with a jazz band. The result was the hit "Frenesi".