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Hennessee Emerging Markets Index
The funds in the Hennessee Emerging Markets Index typically focus on investing in lesser-developed, non-G7 countries whose financial markets provide exploitable pricing inefficiencies. Popular geographic regions include Latin America, Eastern Europe, the Pacific Rim and Africa. Asset classes range from equities and bonds to local currencies.
| 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 Emerging Markets Index |
8.33% |
13.16% |
0.66 |
0.86 |
N/A |
N/A |
| MSCI EMERGING MARKETS - Price - USD |
6.23% |
24.09% |
0.37 |
0.34 |
4.88% |
0.84 |
| MSCI WORLD - Price - USD |
5.08% |
15.38% |
0.38 |
0.43 |
5.68% |
0.64 |
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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 Emerging Markets Index |
151 |
89 |
63% |
-44.91% |
12 |
Sep-97 |
Sep-98 |
$4,950 |
| MSCI EMERGING MARKETS - Price - USD |
144 |
96 |
60% |
-62.67% |
16 |
Oct-07 |
Feb-09 |
$3,351 |
| MSCI WORLD - Price - USD |
143 |
97 |
60% |
-55.37% |
16 |
Oct-07 |
Feb-09 |
$2,692 |
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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 |
4.24% |
2.85% |
-1.02% |
-0.71% |
-7.36% |
-0.94% |
1.00% |
1.08% |
3.18% |
-0.16% |
-0.04% |
3.49% |
5.21% |
| 2011 |
0.18% |
0.47% |
1.64% |
1.23% |
-1.92% |
-2.07% |
0.94% |
-3.76% |
-8.50% |
2.98% |
-3.89% |
-0.93% |
-13.32% |
| 2010 |
-0.62% |
-0.35% |
4.49% |
1.35% |
-4.64% |
-0.52% |
3.10% |
-0.34% |
5.28% |
2.58% |
-0.76% |
3.26% |
13.12% |
| 2009 |
-0.76% |
-0.32% |
2.32% |
6.40% |
9.27% |
-0.41% |
5.51% |
1.96% |
5.61% |
0.88% |
1.19% |
2.75% |
39.65% |
| 2008 |
-3.35% |
2.70% |
-2.78% |
1.31% |
1.59% |
-2.68% |
-3.17% |
-3.47% |
-7.91% |
-11.78% |
-4.36% |
-0.95% |
-30.47% |
| 2007 |
0.30% |
0.35% |
1.35% |
2.37% |
2.44% |
1.36% |
2.54% |
-2.99% |
3.68% |
4.47% |
-1.53% |
0.68% |
15.82% |
| 2006 |
4.56% |
0.91% |
0.59% |
2.38% |
-2.74% |
-1.09% |
0.84% |
1.05% |
0.32% |
1.94% |
2.17% |
1.89% |
13.40% |
| 2005 |
0.81% |
2.72% |
-2.01% |
-0.53% |
0.74% |
0.92% |
2.10% |
0.30% |
3.08% |
-1.96% |
1.60% |
2.07% |
10.14% |
| 2004 |
1.60% |
1.55% |
1.35% |
-0.75% |
-1.04% |
-0.06% |
-0.14% |
1.18% |
2.20% |
1.36% |
3.15% |
1.81% |
12.82% |
| 2003 |
-0.25% |
0.57% |
-0.37% |
4.40% |
3.66% |
2.15% |
0.75% |
2.71% |
1.53% |
2.72% |
0.74% |
3.61% |
24.46% |
| 2002 |
2.62% |
1.17% |
1.97% |
0.51% |
-0.23% |
-2.35% |
-1.42% |
1.26% |
-2.20% |
1.98% |
1.75% |
-0.01% |
5.00% |
| 2001 |
5.09% |
-1.25% |
-2.19% |
0.70% |
2.63% |
1.32% |
-3.13% |
0.81% |
-2.57% |
2.33% |
4.44% |
3.44% |
11.80% |
| 2000 |
0.13% |
5.20% |
1.02% |
-7.23% |
-3.96% |
3.50% |
-1.36% |
2.88% |
-4.37% |
-2.77% |
-2.35% |
0.27% |
-9.34% |
| 1999 |
-0.86% |
0.80% |
4.42% |
9.96% |
-0.34% |
8.56% |
-1.24% |
-1.87% |
-0.82% |
2.46% |
6.96% |
12.51% |
47.13% |
| 1998 |
-4.83% |
2.99% |
3.47% |
0.02% |
-10.91% |
-6.13% |
0.26% |
-23.95% |
-7.48% |
1.60% |
2.75% |
-1.05% |
-38.18% |
| 1997 |
7.04% |
5.21% |
-0.88% |
0.99% |
2.88% |
6.05% |
6.68% |
0.80% |
3.07% |
-6.49% |
-3.84% |
2.37% |
25.48% |
| 1996 |
8.76% |
-1.90% |
-0.61% |
3.64% |
2.54% |
1.60% |
-2.04% |
0.98% |
2.61% |
0.56% |
2.45% |
1.39% |
21.40% |
| 1995 |
-6.30% |
-4.56% |
-3.56% |
7.00% |
2.70% |
-0.47% |
2.24% |
1.05% |
1.99% |
-3.37% |
-1.65% |
2.23% |
-3.44% |
| 1994 |
6.09% |
-0.08% |
-3.62% |
-4.87% |
1.41% |
-0.18% |
2.99% |
9.64% |
1.59% |
-0.96% |
-0.64% |
-1.95% |
8.90% |
| 1993 |
-1.27% |
2.28% |
5.46% |
2.31% |
5.70% |
2.09% |
2.15% |
3.62% |
2.93% |
9.29% |
4.39% |
7.37% |
56.91% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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