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Hennessee High Yield Index
The Hennessee Fixed Income Index includes funds that typically typically have long and short equity positions in non-investment grade corporate bonds, which offer attractive coupon yields. Interest rate risk may or may not be hedged.
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 High Yield Index |
7.82% |
6.63% |
1.14 |
1.58 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.18% |
0.57 |
| Barclays High Yield Credit Bond Index |
8.22% |
9.00% |
0.90 |
1.26 |
2.84% |
0.81 |
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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 High Yield Index |
176 |
64 |
73% |
-23.57% |
13 |
Oct-07 |
Nov-08 |
$4,506 |
| 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 |
1.91% |
0.82% |
0.23% |
0.48% |
-0.69% |
-0.27% |
1.17% |
1.04% |
1.03% |
1.23% |
0.43% |
1.17% |
8.86% |
| 2011 |
2.10% |
1.34% |
0.21% |
0.69% |
0.07% |
-0.68% |
0.90% |
-0.40% |
-1.17% |
1.18% |
-0.92% |
0.04% |
3.36% |
| 2010 |
1.47% |
0.35% |
2.84% |
2.37% |
-3.15% |
0.20% |
2.55% |
0.34% |
2.29% |
1.95% |
-1.09% |
1.47% |
12.04% |
| 2009 |
2.23% |
0.13% |
0.07% |
3.34% |
4.45% |
1.94% |
4.28% |
1.92% |
3.48% |
0.75% |
1.29% |
1.37% |
28.23% |
| 2008 |
-1.53% |
-0.37% |
-0.84% |
1.89% |
1.47% |
-0.46% |
-1.15% |
-0.54% |
-6.87% |
-10.72% |
-4.84% |
0.01% |
-22.12% |
| 2007 |
1.50% |
1.37% |
0.80% |
1.32% |
1.25% |
0.17% |
-0.45% |
-0.77% |
1.51% |
1.51% |
-1.92% |
0.06% |
6.46% |
| 2006 |
1.94% |
1.12% |
1.13% |
1.37% |
0.55% |
0.11% |
0.61% |
0.85% |
0.84% |
1.65% |
1.47% |
1.75% |
14.22% |
| 2005 |
0.30% |
1.48% |
-0.85% |
-0.99% |
0.46% |
1.34% |
1.73% |
1.16% |
0.65% |
-0.29% |
0.75% |
1.15% |
7.05% |
| 2004 |
2.05% |
0.40% |
0.38% |
0.30% |
-0.57% |
0.93% |
0.50% |
0.47% |
0.67% |
1.09% |
1.21% |
1.15% |
8.90% |
| 2003 |
2.82% |
0.72% |
2.07% |
3.85% |
1.96% |
1.94% |
0.32% |
0.33% |
1.98% |
1.95% |
1.17% |
1.44% |
22.53% |
| 2002 |
1.74% |
-0.84% |
1.93% |
1.83% |
-0.80% |
-3.64% |
-7.04% |
-0.04% |
-1.33% |
-2.15% |
3.67% |
-0.23% |
-7.12% |
| 2001 |
5.67% |
2.49% |
-0.80% |
-0.45% |
1.95% |
-0.66% |
0.45% |
1.00% |
-3.94% |
2.00% |
1.44% |
1.25% |
10.59% |
| 2000 |
2.94% |
2.14% |
-1.67% |
-1.71% |
-1.54% |
1.78% |
-0.62% |
0.49% |
-2.23% |
-3.50% |
-3.05% |
-3.26% |
-10.01% |
| 1999 |
1.58% |
0.14% |
1.53% |
4.08% |
-0.79% |
-0.06% |
0.03% |
-0.23% |
-0.55% |
-0.16% |
1.31% |
1.26% |
8.34% |
| 1998 |
1.49% |
0.56% |
1.36% |
1.03% |
0.34% |
-0.37% |
-0.73% |
-8.41% |
-1.30% |
-0.56% |
4.88% |
0.85% |
-1.39% |
| 1997 |
1.50% |
1.90% |
-0.76% |
1.23% |
2.57% |
1.97% |
1.97% |
0.99% |
2.40% |
0.31% |
0.41% |
0.54% |
16.05% |
| 1996 |
2.38% |
2.14% |
1.05% |
2.67% |
2.11% |
0.99% |
0.63% |
2.33% |
2.90% |
1.15% |
1.64% |
0.99% |
23.08% |
| 1995 |
1.10% |
2.93% |
1.09% |
2.24% |
1.57% |
0.71% |
2.36% |
0.33% |
1.80% |
0.83% |
-0.32% |
1.85% |
17.74% |
| 1994 |
1.65% |
-0.02% |
-1.09% |
-0.50% |
-0.95% |
-0.13% |
0.54% |
0.07% |
0.16% |
-0.82% |
-1.19% |
-0.21% |
-2.50% |
| 1993 |
3.89% |
3.41% |
2.99% |
1.12% |
1.77% |
2.71% |
1.69% |
0.99% |
0.53% |
2.03% |
1.18% |
2.07% |
27.23% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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