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Hennessee Hedge Fund Index
The overall Hennessee Hedge Fund Index is calculated by taking an equally weighted average of all the underlying funds in each individual style.
| 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 Hedge Fund Index |
9.25% |
6.64% |
1.33 |
2.22 |
N/A |
N/A |
| MSCI WORLD - Price - USD |
5.08% |
15.38% |
0.38 |
0.43 |
7.22% |
0.79 |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
7.00% |
0.74 |
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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 Hedge Fund Index |
167 |
73 |
70% |
-21.54% |
16 |
Oct-07 |
Feb-09 |
$5,867 |
| 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 |
2.43% |
1.94% |
0.57% |
-0.45% |
-2.24% |
0.24% |
0.49% |
0.95% |
1.22% |
-0.10% |
0.37% |
1.45% |
7.00% |
| 2011 |
0.76% |
1.43% |
0.18% |
1.25% |
-0.62% |
-1.01% |
-0.29% |
-3.36% |
-4.04% |
2.68% |
-1.06% |
-0.42% |
-4.60% |
| 2010 |
-0.43% |
0.87% |
2.65% |
1.42% |
-3.31% |
-1.36% |
1.86% |
-0.72% |
3.51% |
1.97% |
0.42% |
2.80% |
9.89% |
| 2009 |
0.58% |
-1.11% |
1.84% |
4.21% |
5.34% |
0.78% |
3.18% |
1.71% |
3.14% |
-0.50% |
1.48% |
2.23% |
25.21% |
| 2008 |
-2.93% |
0.77% |
-2.10% |
1.81% |
1.96% |
-1.38% |
-1.86% |
-0.92% |
-6.75% |
-6.81% |
-3.17% |
-0.06% |
-19.84% |
| 2007 |
1.32% |
0.91% |
1.01% |
1.72% |
2.20% |
0.72% |
0.30% |
-0.89% |
2.30% |
2.78% |
-1.92% |
0.33% |
11.22% |
| 2006 |
3.39% |
0.56% |
1.77% |
1.33% |
-1.30% |
-0.35% |
-0.25% |
1.02% |
0.15% |
1.55% |
1.78% |
1.28% |
11.40% |
| 2005 |
-0.36% |
1.39% |
-0.88% |
-1.62% |
1.16% |
1.59% |
2.26% |
0.73% |
1.68% |
-1.42% |
1.50% |
1.66% |
7.85% |
| 2004 |
1.95% |
0.98% |
0.31% |
-0.97% |
-0.39% |
0.52% |
-1.07% |
0.11% |
1.50% |
0.56% |
2.70% |
1.82% |
8.24% |
| 2003 |
0.72% |
-0.23% |
0.45% |
2.63% |
3.50% |
1.35% |
1.17% |
1.58% |
0.97% |
2.48% |
1.03% |
1.76% |
18.80% |
| 2002 |
0.37% |
-0.69% |
1.43% |
0.01% |
-0.13% |
-2.19% |
-3.09% |
0.51% |
-1.62% |
0.90% |
2.27% |
-0.56% |
-2.88% |
| 2001 |
2.42% |
-0.91% |
-1.48% |
1.42% |
1.31% |
0.38% |
-1.16% |
-0.27% |
-2.34% |
1.37% |
2.00% |
1.67% |
4.36% |
| 2000 |
0.62% |
6.83% |
0.50% |
-3.16% |
-1.07% |
3.39% |
-0.04% |
3.39% |
-0.20% |
-1.46% |
-2.46% |
1.96% |
8.16% |
| 1999 |
1.95% |
-0.97% |
3.30% |
5.02% |
0.91% |
3.88% |
0.76% |
-0.15% |
0.42% |
1.20% |
4.41% |
6.70% |
30.78% |
| 1998 |
-0.52% |
2.79% |
2.89% |
0.51% |
-1.53% |
0.25% |
-0.59% |
-7.10% |
0.04% |
0.49% |
2.89% |
1.70% |
1.41% |
| 1997 |
3.06% |
1.08% |
-0.67% |
0.00% |
3.41% |
2.42% |
3.60% |
0.61% |
3.28% |
-0.79% |
-0.18% |
1.16% |
18.19% |
| 1996 |
2.81% |
0.64% |
1.18% |
3.14% |
2.46% |
0.29% |
-1.32% |
1.89% |
1.59% |
1.57% |
2.22% |
1.20% |
19.08% |
| 1995 |
0.18% |
1.18% |
1.05% |
1.93% |
1.29% |
1.78% |
2.45% |
2.27% |
1.50% |
-0.54% |
1.71% |
1.65% |
17.70% |
| 1994 |
2.14% |
-0.92% |
-1.80% |
-0.83% |
0.67% |
0.43% |
0.73% |
1.44% |
0.68% |
-0.61% |
-1.50% |
-0.17% |
0.18% |
| 1993 |
2.30% |
1.03% |
2.57% |
0.87% |
2.16% |
2.37% |
2.16% |
2.88% |
1.13% |
2.60% |
-0.43% |
3.50% |
25.68% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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