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Hennessee Fixed Income Index
The Hennessee Fixed Income Index includes funds that typically employ a variety of fixed income related strategies ranging from relative value based trades (basis, TEDs, yield curve, etc.) to directional bets on interest rate shifts. Style also includes credit related arbitrage, which typically involves the purchasing (or selling) of corporate issues and the simultaneous selling (or purchasing) of government issues.
| 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 Fixed Income Index |
7.00% |
6.24% |
1.08 |
1.69 |
N/A |
N/A |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
6.36% |
0.08 |
| Barclays High Yield Credit Bond Index |
8.22% |
9.00% |
0.90 |
1.26 |
4.88% |
0.38 |
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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 Fixed Income Index |
176 |
64 |
73% |
-16.07% |
9 |
Mar-98 |
Dec-98 |
$3,872 |
| Barclays Aggregate Bond Index |
168 |
72 |
70% |
-5.15% |
5 |
Jan-94 |
Jun-94 |
$3,422 |
| 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 |
1.64% |
0.89% |
0.97% |
0.34% |
-0.39% |
0.62% |
1.30% |
0.66% |
-0.29% |
0.56% |
0.55% |
0.95% |
8.05% |
| 2011 |
1.64% |
1.03% |
-0.20% |
1.08% |
0.67% |
0.12% |
0.17% |
-1.74% |
-0.58% |
0.85% |
-0.24% |
0.49% |
3.29% |
| 2010 |
1.69% |
0.48% |
1.53% |
1.22% |
-1.47% |
0.83% |
1.13% |
1.06% |
1.41% |
0.95% |
1.10% |
0.38% |
10.79% |
| 2009 |
2.17% |
1.12% |
0.25% |
2.11% |
3.01% |
1.34% |
2.27% |
2.28% |
2.49% |
1.65% |
0.36% |
1.87% |
23.01% |
| 2008 |
-0.83% |
-5.63% |
-1.15% |
2.81% |
1.84% |
-0.49% |
-0.12% |
0.57% |
-3.94% |
-4.70% |
0.44% |
-0.14% |
-11.10% |
| 2007 |
0.76% |
0.40% |
0.08% |
0.81% |
0.41% |
0.88% |
1.70% |
-0.69% |
1.58% |
0.90% |
-1.98% |
0.70% |
5.64% |
| 2006 |
0.82% |
0.29% |
0.84% |
1.56% |
0.80% |
0.39% |
0.15% |
0.30% |
-0.12% |
0.12% |
0.13% |
0.22% |
5.61% |
| 2005 |
0.51% |
0.89% |
-0.29% |
0.34% |
0.59% |
0.31% |
0.77% |
0.49% |
0.65% |
0.35% |
0.44% |
0.45% |
5.62% |
| 2004 |
0.64% |
0.49% |
0.21% |
0.88% |
-0.19% |
-0.05% |
0.53% |
0.22% |
-0.22% |
1.38% |
1.57% |
-0.24% |
5.33% |
| 2003 |
1.26% |
0.48% |
-0.44% |
0.83% |
1.37% |
-0.26% |
-0.44% |
0.19% |
-0.32% |
-0.86% |
-0.38% |
0.33% |
1.75% |
| 2002 |
0.56% |
0.37% |
0.52% |
0.97% |
0.95% |
0.81% |
-0.09% |
0.92% |
-0.76% |
-0.78% |
0.12% |
1.65% |
5.34% |
| 2001 |
0.66% |
0.27% |
1.06% |
0.48% |
1.04% |
-0.60% |
0.14% |
2.21% |
-0.59% |
1.28% |
0.03% |
1.45% |
7.65% |
| 2000 |
-0.24% |
1.88% |
0.65% |
0.05% |
-1.12% |
0.65% |
-1.33% |
1.98% |
0.52% |
0.31% |
0.60% |
1.07% |
5.08% |
| 1999 |
0.43% |
2.58% |
1.96% |
2.31% |
0.00% |
1.72% |
0.05% |
0.11% |
2.04% |
1.20% |
-0.36% |
1.75% |
14.63% |
| 1998 |
0.51% |
1.23% |
2.01% |
-0.50% |
-0.28% |
-0.24% |
0.33% |
-8.56% |
-6.20% |
-1.07% |
2.75% |
-3.07% |
-12.89% |
| 1997 |
4.99% |
2.19% |
0.15% |
-0.03% |
-0.79% |
2.21% |
4.16% |
-1.19% |
1.00% |
-3.73% |
0.40% |
1.28% |
10.84% |
| 1996 |
3.84% |
0.42% |
1.01% |
2.39% |
1.08% |
1.28% |
-0.57% |
1.31% |
2.15% |
4.65% |
1.69% |
0.49% |
21.49% |
| 1995 |
3.12% |
-0.67% |
-2.15% |
-0.42% |
1.64% |
1.26% |
4.03% |
2.27% |
1.90% |
0.88% |
1.78% |
2.72% |
17.45% |
| 1994 |
1.08% |
-2.10% |
-5.38% |
-3.06% |
2.76% |
-0.82% |
1.16% |
8.29% |
1.83% |
-0.57% |
-1.05% |
-2.14% |
-0.64% |
| 1993 |
0.37% |
-1.77% |
5.27% |
-2.98% |
8.25% |
-0.36% |
3.15% |
0.08% |
-0.95% |
4.59% |
1.69% |
2.69% |
21.30% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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