| Summary Statistics (Jan-93 to Dec-12) |
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Annualized Compound Return |
Annualized Standard Deviation |
Sharpe
Ratio |
Sortino
Ratio |
Annualized Alpha
(versus Benchmark) |
Correlation
(versus Benchmark) |
| Hennessee Distressed Index |
11.07% |
7.31% |
1.45 |
2.17 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
9.08% |
0.61 |
| Barclays High Yield Credit Bond Index |
8.22% |
9.00% |
0.90 |
1.26 |
6.23% |
0.70 |
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Number of Months |
% of Months
Positive |
Largest Consecutive Loss |
Value of $1000
(Invested at Inception) |
| Postive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Distressed Index |
182 |
58 |
76% |
-31.12% |
16 |
Oct-07 |
Feb-09 |
$8,167 |
| S&P 500 |
149 |
91 |
62% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$3,273 |
| Barclays High Yield Credit Bond Index |
177 |
63 |
74% |
-33.31% |
18 |
May-07 |
Nov-08 |
$4,854 |
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| Historical Performance (Jan-93 to Dec-12) |
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Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2012 |
2.89% |
1.75% |
1.32% |
-0.50% |
-1.82% |
-0.45% |
0.90% |
1.08% |
1.51% |
1.82% |
1.32% |
3.10% |
13.61% |
| 2011 |
2.12% |
1.44% |
0.35% |
1.48% |
-0.15% |
-1.11% |
-0.90% |
-4.95% |
-5.77% |
2.35% |
-1.40% |
0.48% |
-6.24% |
| 2010 |
2.48% |
0.86% |
3.42% |
3.00% |
-3.84% |
-1.70% |
1.91% |
-1.35% |
2.67% |
2.66% |
0.72% |
3.95% |
15.47% |
| 2009 |
1.14% |
-2.11% |
0.98% |
6.29% |
7.41% |
2.61% |
3.67% |
2.99% |
5.01% |
1.01% |
2.78% |
4.07% |
41.87% |
| 2008 |
-2.71% |
0.06% |
-1.27% |
1.35% |
1.71% |
-1.65% |
-2.57% |
-0.84% |
-7.53% |
-9.82% |
-7.34% |
-2.77% |
-29.28% |
| 2007 |
1.67% |
1.56% |
1.40% |
2.00% |
1.77% |
0.51% |
-0.38% |
-1.81% |
0.86% |
2.16% |
-1.95% |
0.33% |
8.31% |
| 2006 |
2.27% |
0.53% |
1.58% |
2.17% |
1.55% |
-0.09% |
-0.05% |
0.99% |
0.24% |
1.93% |
1.91% |
1.75% |
15.79% |
| 2005 |
0.33% |
1.36% |
0.34% |
-0.60% |
-0.09% |
1.14% |
1.70% |
1.17% |
1.43% |
-0.42% |
1.20% |
1.62% |
9.52% |
| 2004 |
3.03% |
0.57% |
0.43% |
1.21% |
0.00% |
2.02% |
0.10% |
0.88% |
0.98% |
1.51% |
3.97% |
2.89% |
18.98% |
| 2003 |
2.06% |
0.62% |
1.18% |
3.29% |
2.44% |
2.30% |
1.37% |
1.27% |
2.33% |
2.78% |
1.43% |
2.12% |
25.78% |
| 2002 |
1.93% |
-0.67% |
0.12% |
1.31% |
1.00% |
-1.62% |
-2.42% |
-0.05% |
-2.03% |
-0.50% |
2.83% |
2.12% |
1.88% |
| 2001 |
2.10% |
0.23% |
-0.90% |
0.49% |
1.61% |
3.44% |
-0.52% |
0.68% |
0.37% |
1.31% |
0.59% |
-0.79% |
8.87% |
| 2000 |
0.41% |
4.91% |
-1.53% |
-1.35% |
-0.53% |
1.69% |
0.59% |
1.15% |
0.19% |
-0.03% |
-3.45% |
0.52% |
2.37% |
| 1999 |
1.32% |
-0.18% |
2.93% |
3.40% |
1.74% |
3.91% |
0.85% |
1.30% |
0.63% |
0.56% |
2.61% |
3.40% |
24.82% |
| 1998 |
1.50% |
2.04% |
2.10% |
1.13% |
-0.30% |
-0.40% |
-1.32% |
-8.13% |
-3.03% |
0.52% |
2.33% |
0.18% |
-3.80% |
| 1997 |
1.76% |
1.92% |
0.19% |
-0.35% |
2.09% |
1.94% |
2.66% |
0.58% |
2.70% |
-0.27% |
0.85% |
0.65% |
15.68% |
| 1996 |
3.16% |
0.91% |
2.07% |
3.34% |
1.98% |
1.47% |
-0.14% |
2.11% |
1.99% |
1.29% |
1.54% |
1.40% |
23.23% |
| 1995 |
0.09% |
2.38% |
2.18% |
1.96% |
1.40% |
2.27% |
2.58% |
1.81% |
1.45% |
-0.93% |
0.80% |
3.39% |
21.11% |
| 1994 |
4.43% |
0.33% |
-0.46% |
-1.13% |
0.16% |
0.91% |
2.29% |
1.73% |
1.39% |
-0.71% |
-1.30% |
0.11% |
7.88% |
| 1993 |
4.60% |
1.85% |
3.30% |
1.87% |
1.91% |
3.78% |
1.33% |
1.21% |
0.07% |
0.86% |
0.75% |
2.53% |
26.78% |
