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Hennessee Macro Index
The Hennessee Macro Index includes funds whose dominant investment theme is to capitalize on changes in the global macroeconomic environment through participation in the various capital markets. A top-down methodology allows managers of this strategy to utilize all asset classes (equities, bonds, currencies, derivatives) available in the global capital markets.
| 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 Macro Index |
7.92% |
7.77% |
0.99 |
1.82 |
N/A |
N/A |
| MSCI WORLD - Price - USD |
5.08% |
15.38% |
0.38 |
0.43 |
6.93% |
0.39 |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.84% |
0.36 |
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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 Macro Index |
146 |
94 |
61% |
-16.40% |
12 |
Jan-94 |
Jan-95 |
$4,590 |
| 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 |
0.31% |
1.51% |
-0.47% |
-0.56% |
0.02% |
-1.06% |
3.10% |
0.52% |
-1.26% |
-1.98% |
-0.25% |
1.26% |
1.04% |
| 2011 |
-1.23% |
0.68% |
-0.58% |
2.18% |
-1.94% |
-1.11% |
1.74% |
0.61% |
-0.82% |
-0.24% |
0.23% |
-0.35% |
-0.92% |
| 2010 |
-0.75% |
1.61% |
1.43% |
0.08% |
-1.49% |
-0.46% |
-1.08% |
0.99% |
2.99% |
1.03% |
0.01% |
2.73% |
7.20% |
| 2009 |
0.53% |
-1.24% |
0.40% |
2.96% |
3.93% |
-1.77% |
2.18% |
0.25% |
1.97% |
-0.34% |
2.14% |
-1.04% |
10.25% |
| 2008 |
1.21% |
2.43% |
-2.07% |
1.55% |
1.49% |
1.00% |
-1.42% |
-2.55% |
-2.16% |
-0.21% |
2.21% |
1.47% |
2.80% |
| 2007 |
0.34% |
0.04% |
0.61% |
1.76% |
2.17% |
1.53% |
1.28% |
-1.68% |
4.18% |
2.54% |
-1.57% |
1.55% |
13.35% |
| 2006 |
2.66% |
0.42% |
0.56% |
1.92% |
-1.54% |
0.14% |
-0.04% |
-1.13% |
-1.26% |
1.01% |
1.72% |
1.04% |
5.54% |
| 2005 |
-0.28% |
1.62% |
-0.15% |
-0.68% |
1.01% |
0.70% |
0.75% |
0.65% |
3.14% |
-1.23% |
1.23% |
1.37% |
8.35% |
| 2004 |
0.59% |
1.61% |
0.99% |
-2.05% |
-1.37% |
-0.50% |
-0.04% |
0.38% |
0.39% |
0.79% |
3.14% |
0.59% |
4.51% |
| 2003 |
1.71% |
2.40% |
-0.64% |
1.04% |
4.33% |
-0.10% |
-1.78% |
2.87% |
2.76% |
0.82% |
-0.42% |
3.66% |
17.76% |
| 2002 |
0.37% |
-0.68% |
-0.59% |
0.52% |
0.37% |
-2.07% |
-2.29% |
1.03% |
0.49% |
-1.83% |
0.32% |
0.88% |
-3.50% |
| 2001 |
-0.03% |
-0.95% |
0.02% |
-0.99% |
-0.70% |
-0.16% |
-0.70% |
-0.34% |
0.29% |
1.07% |
-0.86% |
0.44% |
-2.89% |
| 2000 |
-1.46% |
1.94% |
0.37% |
-4.41% |
-1.52% |
0.49% |
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3.17% |
-0.31% |
-1.19% |
2.42% |
6.64% |
5.87% |
| 1999 |
-0.61% |
-1.28% |
0.67% |
3.26% |
0.30% |
2.26% |
-1.14% |
-1.17% |
-2.31% |
-0.64% |
3.04% |
5.55% |
7.90% |
| 1998 |
0.37% |
2.14% |
6.96% |
-0.73% |
-0.11% |
0.58% |
0.59% |
-7.68% |
-0.80% |
-2.24% |
2.21% |
3.14% |
3.83% |
| 1997 |
4.87% |
1.66% |
-1.42% |
-1.01% |
1.63% |
1.96% |
6.39% |
-1.26% |
2.33% |
-1.11% |
0.05% |
3.79% |
19.00% |
| 1996 |
6.88% |
-4.04% |
0.75% |
3.31% |
2.04% |
0.65% |
-3.91% |
2.11% |
1.67% |
3.09% |
6.64% |
-0.56% |
19.56% |
| 1995 |
-0.09% |
0.06% |
1.65% |
-0.39% |
1.33% |
-1.35% |
3.01% |
6.14% |
1.80% |
-0.74% |
3.60% |
2.98% |
19.26% |
| 1994 |
0.13% |
-7.95% |
-5.22% |
-1.01% |
0.81% |
1.22% |
-1.69% |
-0.61% |
1.34% |
-1.94% |
-1.33% |
-0.90% |
-16.22% |
| 1993 |
1.48% |
5.75% |
1.02% |
3.13% |
1.64% |
8.21% |
5.20% |
4.43% |
-0.22% |
3.55% |
-0.72% |
8.05% |
49.73% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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