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Hennessee Global/Macro Index
The Hennessee Global/Macro Index includes funds that invest in securities (equity, fixed income, currencies, or commodities) with an international scope. Strategies range from long/short equity to macro hedge funds. Volatility and return expectations are generally equivalent to long/short equity funds because of the utilization of market risk. The Hennessee Global/Macro Index includes funds from the following sub-sectors: emerging markets, latin america, macro, asia-pacific, europe and international.
| 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 Global/Macro Index |
9.26% |
9.47% |
0.96 |
1.55 |
N/A |
N/A |
| MSCI WORLD - Price - USD |
5.08% |
15.38% |
0.38 |
0.43 |
6.82% |
0.72 |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.70% |
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 Global/Macro Index |
154 |
86 |
64% |
-23.63% |
16 |
Oct-07 |
Feb-09 |
$5,882 |
| MSCI WORLD - Price - USD |
143 |
97 |
60% |
-55.37% |
16 |
Oct-07 |
Feb-09 |
$2,692 |
| S&P 500 |
149 |
91 |
62% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$3,273 |
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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 |
2.55% |
2.73% |
-0.01% |
-0.55% |
-3.39% |
-0.42% |
1.10% |
0.81% |
1.13% |
-0.50% |
0.48% |
2.29% |
6.22% |
| 2011 |
-0.27% |
0.36% |
0.56% |
1.67% |
-1.52% |
-1.42% |
0.52% |
-2.90% |
-4.68% |
1.91% |
-2.24% |
-0.69% |
-8.54% |
| 2010 |
-0.95% |
0.16% |
2.95% |
0.94% |
-4.05% |
-0.62% |
1.78% |
-0.07% |
4.29% |
2.38% |
-0.20% |
2.97% |
9.72% |
| 2009 |
-0.82% |
-1.30% |
1.33% |
4.85% |
6.91% |
-0.05% |
3.97% |
1.55% |
3.43% |
-0.50% |
1.09% |
1.91% |
24.40% |
| 2008 |
-3.28% |
2.21% |
-2.74% |
1.91% |
1.42% |
-2.20% |
-2.52% |
-2.31% |
-6.45% |
-7.12% |
-1.98% |
0.77% |
-20.57% |
| 2007 |
0.99% |
0.66% |
1.23% |
2.21% |
2.62% |
1.54% |
1.80% |
-2.21% |
3.33% |
3.75% |
-2.16% |
0.39% |
14.89% |
| 2006 |
3.78% |
0.59% |
1.60% |
1.84% |
-3.13% |
-0.57% |
-0.26% |
0.50% |
0.11% |
1.76% |
2.14% |
1.87% |
10.53% |
| 2005 |
0.59% |
2.28% |
-1.07% |
-0.73% |
1.00% |
1.33% |
1.87% |
1.21% |
3.48% |
-1.72% |
2.23% |
3.05% |
14.23% |
| 2004 |
1.68% |
1.37% |
1.34% |
-1.65% |
-1.64% |
0.17% |
-0.60% |
0.36% |
1.79% |
0.73% |
3.09% |
1.85% |
8.70% |
| 2003 |
0.03% |
-0.04% |
0.49% |
3.77% |
3.56% |
1.92% |
0.78% |
3.73% |
2.16% |
4.17% |
0.50% |
3.67% |
27.56% |
| 2002 |
1.19% |
1.13% |
0.78% |
0.41% |
0.34% |
-2.32% |
-3.14% |
1.29% |
-2.30% |
0.60% |
1.16% |
-0.45% |
-1.44% |
| 2001 |
2.23% |
-1.68% |
-2.18% |
0.91% |
0.77% |
0.44% |
-2.16% |
-0.07% |
-2.72% |
0.97% |
3.08% |
2.12% |
1.52% |
| 2000 |
-1.07% |
5.57% |
1.86% |
-5.82% |
-1.89% |
3.35% |
-0.90% |
2.30% |
-1.71% |
-1.02% |
-1.56% |
2.74% |
1.34% |
| 1999 |
-1.08% |
-0.28% |
5.12% |
7.95% |
-0.39% |
6.21% |
-0.34% |
-0.71% |
-0.20% |
1.81% |
7.66% |
11.33% |
42.71% |
| 1998 |
-1.84% |
3.25% |
4.86% |
-0.82% |
-4.41% |
-2.82% |
1.18% |
-13.00% |
-2.96% |
0.38% |
4.38% |
0.20% |
-12.19% |
| 1997 |
5.35% |
3.47% |
-1.00% |
0.62% |
3.29% |
4.10% |
5.45% |
-1.48% |
1.93% |
-4.30% |
-2.03% |
2.06% |
18.31% |
| 1996 |
6.31% |
-1.92% |
0.31% |
3.78% |
2.65% |
1.56% |
-3.03% |
1.59% |
1.82% |
1.78% |
4.10% |
0.87% |
21.31% |
| 1995 |
-2.61% |
-1.32% |
-0.42% |
2.71% |
2.03% |
-0.38% |
2.55% |
3.03% |
1.91% |
-1.64% |
1.05% |
2.60% |
9.70% |
| 1994 |
3.36% |
-3.36% |
-3.69% |
-2.02% |
0.21% |
0.23% |
0.70% |
3.01% |
0.68% |
-1.55% |
-1.49% |
-1.47% |
-5.52% |
| 1993 |
1.33% |
3.23% |
2.56% |
2.94% |
3.21% |
4.41% |
3.33% |
4.22% |
0.43% |
5.48% |
0.15% |
8.03% |
46.88% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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