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Hennessee Long/Short Equity Index
The Hennessee Long/Short Equity Index includes funds that invest primarily in U.S. domestic stocks that the portfolio manager believes will appreciate in value and will short stocks that the portfolio manager believes will depreciate in value. Volatility and return expectations are generally higher than arbitrage/event driven funds because of the managers' utilization of market risk. The Hennessee Long/Short Equity Index includes funds from the following sub-sectors: financial equities, growth, healthcare and biotech, opportunistic, market neutral, media and telecom, short biased, technology and value.
| 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 Long/Short Equity Index |
9.43% |
7.49% |
1.21 |
2.03 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.92% |
0.74 |
| Nasdaq Composite Index |
7.76% |
23.91% |
0.42 |
0.45 |
6.79% |
0.84 |
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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 Long/Short Equity Index |
164 |
76 |
68% |
-20.60% |
16 |
Oct-07 |
Feb-09 |
$6,064 |
| S&P 500 |
149 |
91 |
62% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$3,273 |
| Nasdaq Composite Index |
138 |
102 |
58% |
-75.04% |
31 |
Feb-00 |
Sep-02 |
$4,460 |
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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 |
2.47% |
1.86% |
0.57% |
-0.45% |
-2.24% |
0.24% |
0.49% |
0.95% |
1.43% |
-0.35% |
0.12% |
0.84% |
6.01% |
| 2011 |
0.68% |
1.80% |
0.11% |
1.42% |
-0.37% |
-0.96% |
-0.68% |
-3.84% |
-4.30% |
3.55% |
-0.79% |
-0.60% |
-4.19% |
| 2010 |
-1.15% |
1.31% |
2.63% |
1.52% |
-3.21% |
-2.02% |
1.82% |
-1.43% |
3.78% |
1.76% |
0.78% |
2.95% |
8.81% |
| 2009 |
0.43% |
-1.51% |
2.09% |
3.81% |
4.71% |
0.81% |
2.77% |
1.49% |
2.82% |
-1.31% |
1.74% |
2.13% |
21.69% |
| 2008 |
-3.61% |
0.63% |
-2.14% |
1.99% |
2.41% |
-1.34% |
-1.50% |
-0.58% |
-6.65% |
-5.81% |
-3.23% |
-0.18% |
-18.64% |
| 2007 |
1.26% |
0.70% |
0.88% |
1.68% |
2.31% |
0.60% |
-0.12% |
-0.07% |
2.42% |
2.95% |
-1.77% |
0.45% |
11.79% |
| 2006 |
3.68% |
0.60% |
1.97% |
1.02% |
-1.65% |
-0.59% |
-0.50% |
1.42% |
0.32% |
1.52% |
1.90% |
0.99% |
11.09% |
| 2005 |
-0.91% |
1.26% |
-1.18% |
-1.95% |
1.88% |
1.87% |
2.65% |
0.39% |
1.33% |
-1.65% |
1.64% |
1.37% |
6.78% |
| 2004 |
2.03% |
1.01% |
-0.06% |
-1.57% |
0.08% |
0.72% |
-1.83% |
-0.15% |
1.99% |
0.46% |
2.92% |
2.03% |
7.78% |
| 2003 |
0.28% |
-0.83% |
0.41% |
2.68% |
4.54% |
1.45% |
1.82% |
1.69% |
0.46% |
2.65% |
1.37% |
1.49% |
19.45% |
| 2002 |
-0.31% |
-1.52% |
1.99% |
-0.55% |
-0.51% |
-2.62% |
-3.65% |
0.32% |
-2.28% |
1.40% |
2.92% |
-1.64% |
-6.46% |
| 2001 |
2.55% |
-1.63% |
-2.08% |
1.89% |
1.51% |
0.38% |
-1.65% |
-1.04% |
-3.08% |
1.65% |
2.42% |
2.16% |
2.89% |
| 2000 |
0.68% |
9.40% |
-0.68% |
-4.10% |
-1.59% |
4.51% |
0.19% |
4.69% |
0.07% |
-2.02% |
-3.24% |
2.65% |
10.21% |
| 1999 |
3.56% |
-2.19% |
2.89% |
4.42% |
1.45% |
3.92% |
1.09% |
-0.22% |
0.61% |
1.60% |
4.66% |
8.13% |
33.87% |
| 1998 |
-0.73% |
3.74% |
3.58% |
0.69% |
-1.51% |
2.03% |
-1.94% |
-8.14% |
2.23% |
0.87% |
3.76% |
3.15% |
7.30% |
| 1997 |
2.85% |
0.18% |
-1.39% |
-0.58% |
4.53% |
2.15% |
3.69% |
1.49% |
4.62% |
-0.02% |
-0.07% |
1.11% |
19.96% |
| 1996 |
1.55% |
1.42% |
1.09% |
3.34% |
2.79% |
-0.75% |
-1.78% |
2.43% |
1.80% |
1.50% |
2.05% |
1.40% |
18.07% |
| 1995 |
0.76% |
2.39% |
1.27% |
2.03% |
1.00% |
2.56% |
2.82% |
2.35% |
1.16% |
-0.88% |
2.52% |
1.39% |
21.11% |
| 1994 |
1.62% |
-0.64% |
-0.83% |
0.01% |
1.28% |
0.66% |
0.67% |
0.80% |
0.65% |
-0.22% |
-1.05% |
0.51% |
3.48% |
| 1993 |
2.56% |
0.08% |
2.28% |
0.12% |
1.60% |
1.77% |
1.84% |
3.22% |
1.66% |
1.95% |
-1.28% |
2.68% |
20.02% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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