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Hennessee Market Neutral Index
The funds in the Hennessee Market Neutral Index typically have long and short equity positions with approximately zero net dollar exposure. In addition, some funds will attempt to be beta, sector, and market cap neutral to further reduce equity market risk. Funds within this style utilize a range of methods from quantitative modeling to fundamental pairs trading.
| 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 Market Neutral Index |
5.44% |
3.69% |
1.39 |
2.03 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
4.95% |
0.31 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
5.28% |
0.03 |
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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 Market Neutral Index |
180 |
60 |
75% |
-16.83% |
6 |
Jun-08 |
Dec-08 |
$2,885 |
| S&P 500 |
149 |
91 |
62% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$3,273 |
| Barclays Aggregate Bond Index |
168 |
72 |
70% |
-5.15% |
5 |
Jan-94 |
Jun-94 |
$3,422 |
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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 |
1.37% |
0.20% |
0.82% |
0.74% |
-0.77% |
-0.41% |
1.21% |
0.62% |
0.10% |
0.22% |
0.77% |
0.57% |
5.55% |
| 2011 |
1.14% |
1.03% |
1.66% |
1.67% |
-0.27% |
0.37% |
-0.26% |
-1.42% |
-1.57% |
1.92% |
0.10% |
-0.01% |
4.38% |
| 2010 |
-0.40% |
0.61% |
0.87% |
0.05% |
-1.58% |
-0.82% |
1.80% |
-0.72% |
2.98% |
1.13% |
0.08% |
0.93% |
4.97% |
| 2009 |
1.09% |
0.12% |
0.23% |
0.04% |
1.86% |
0.66% |
1.22% |
0.86% |
1.31% |
-0.52% |
1.11% |
0.97% |
9.30% |
| 2008 |
-1.88% |
1.39% |
-1.41% |
-0.34% |
1.08% |
2.62% |
-1.88% |
-1.02% |
-6.05% |
-1.98% |
-0.60% |
-6.45% |
-15.68% |
| 2007 |
0.83% |
0.72% |
1.15% |
0.98% |
1.15% |
0.65% |
0.30% |
-1.86% |
1.77% |
2.33% |
-0.70% |
0.66% |
8.21% |
| 2006 |
0.81% |
0.63% |
0.78% |
0.41% |
-0.05% |
0.82% |
0.32% |
0.76% |
0.36% |
0.49% |
0.66% |
1.01% |
7.23% |
| 2005 |
0.55% |
0.73% |
0.03% |
-0.20% |
0.43% |
0.70% |
0.44% |
0.26% |
0.91% |
-0.16% |
0.65% |
0.31% |
4.75% |
| 2004 |
0.77% |
0.55% |
0.18% |
-1.03% |
0.20% |
0.13% |
0.02% |
-0.05% |
0.90% |
0.00% |
1.02% |
0.36% |
3.08% |
| 2003 |
0.31% |
-0.15% |
-0.17% |
-0.32% |
0.74% |
-0.03% |
-0.29% |
0.05% |
0.68% |
0.95% |
0.11% |
0.21% |
2.10% |
| 2002 |
0.47% |
-0.27% |
-0.06% |
0.41% |
0.54% |
0.71% |
0.56% |
0.84% |
-0.52% |
-0.61% |
-1.27% |
0.92% |
1.71% |
| 2001 |
1.01% |
1.09% |
0.99% |
0.83% |
0.65% |
0.34% |
0.45% |
0.54% |
-0.92% |
-0.09% |
0.67% |
0.76% |
6.49% |
| 2000 |
-0.75% |
1.43% |
-0.86% |
1.53% |
-0.37% |
0.33% |
1.45% |
1.21% |
0.51% |
1.24% |
0.22% |
1.00% |
7.12% |
| 1999 |
-0.81% |
-1.66% |
-1.18% |
-1.00% |
0.36% |
1.09% |
1.55% |
-0.24% |
1.03% |
-0.12% |
-0.01% |
0.20% |
-0.84% |
| 1998 |
-0.23% |
0.54% |
1.40% |
0.47% |
0.91% |
0.80% |
-0.23% |
-1.20% |
0.14% |
0.11% |
0.86% |
1.02% |
4.66% |
| 1997 |
1.64% |
0.95% |
0.89% |
0.79% |
0.46% |
1.57% |
3.34% |
0.31% |
1.53% |
1.27% |
0.69% |
0.63% |
14.97% |
| 1996 |
2.01% |
1.05% |
0.82% |
1.35% |
0.78% |
1.23% |
1.47% |
1.33% |
0.72% |
2.56% |
1.57% |
1.10% |
17.20% |
| 1995 |
-0.16% |
1.15% |
0.78% |
1.33% |
1.09% |
0.57% |
1.39% |
0.51% |
1.27% |
1.92% |
0.35% |
0.57% |
11.30% |
| 1994 |
0.61% |
1.32% |
0.54% |
-0.03% |
0.69% |
0.50% |
1.07% |
-0.66% |
0.06% |
1.27% |
0.48% |
0.96% |
7.01% |
| 1993 |
2.11% |
-0.17% |
1.51% |
-0.39% |
1.11% |
1.74% |
1.35% |
1.67% |
1.08% |
-0.33% |
-1.11% |
0.62% |
9.52% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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