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Hennessee Value Index
The funds in the Hennessee Value Index typically have long and short equity positions in undervalued companies which trade below their intrinsic value. Undervalued securities may be defined as, but not limited to, equities with low price-to-earnings ratios or low price-to-book value ratios. Managers also focus on companies that generate substantial free cash flow and utilize cash for debt retirement, share repurchase programs, and other methods utilized to realize shareholder 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 Value Index |
9.67% |
8.63% |
1.09 |
1.62 |
N/A |
N/A |
| Dow Jones Industrial Average |
7.14% |
14.85% |
0.52 |
0.66 |
6.40% |
0.73 |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.61% |
0.80 |
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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 Value Index |
164 |
76 |
68% |
-30.32% |
16 |
Oct-07 |
Feb-09 |
$6,334 |
| Dow Jones Industrial Average |
147 |
93 |
61% |
-49.30% |
16 |
Oct-07 |
Feb-09 |
$3,970 |
| 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 |
2.68% |
2.46% |
0.66% |
-0.69% |
-2.76% |
0.72% |
0.57% |
0.90% |
1.38% |
0.30% |
0.43% |
1.52% |
8.35% |
| 2011 |
0.61% |
1.73% |
0.08% |
1.04% |
-0.48% |
-1.08% |
-0.78% |
-4.27% |
-5.90% |
5.34% |
-0.94% |
-0.27% |
-5.24% |
| 2010 |
-0.82% |
1.82% |
3.22% |
2.04% |
-4.04% |
-2.73% |
2.69% |
-2.08% |
4.80% |
2.61% |
1.12% |
2.93% |
11.74% |
| 2009 |
-0.87% |
-2.77% |
2.69% |
6.29% |
5.56% |
0.89% |
3.66% |
1.89% |
3.29% |
-1.27% |
1.82% |
2.75% |
26.25% |
| 2008 |
-3.67% |
0.44% |
-2.38% |
2.49% |
2.86% |
-3.70% |
-2.05% |
0.24% |
-8.20% |
-10.13% |
-5.16% |
0.82% |
-25.73% |
| 2007 |
1.50% |
1.06% |
1.10% |
2.14% |
2.72% |
0.45% |
-0.36% |
-0.76% |
1.93% |
2.22% |
-2.80% |
0.14% |
9.60% |
| 2006 |
3.45% |
0.42% |
1.99% |
1.60% |
-1.71% |
-0.61% |
-0.86% |
1.48% |
0.52% |
2.41% |
2.06% |
1.35% |
12.67% |
| 2005 |
-0.57% |
2.08% |
-1.37% |
-2.14% |
1.31% |
2.18% |
2.74% |
0.82% |
1.45% |
-2.20% |
1.79% |
1.79% |
7.98% |
| 2004 |
1.69% |
1.38% |
0.39% |
-0.82% |
-0.32% |
1.45% |
-0.95% |
0.04% |
2.02% |
0.71% |
3.81% |
2.37% |
12.31% |
| 2003 |
0.74% |
-0.86% |
0.89% |
3.70% |
4.45% |
2.10% |
1.60% |
1.50% |
0.53% |
2.61% |
2.01% |
2.52% |
23.97% |
| 2002 |
0.75% |
-0.06% |
2.41% |
0.65% |
-0.10% |
-2.89% |
-4.75% |
0.99% |
-2.99% |
1.26% |
3.78% |
-1.69% |
-2.93% |
| 2001 |
4.82% |
-0.14% |
-1.76% |
2.64% |
3.56% |
0.77% |
-0.15% |
-1.01% |
-5.21% |
1.41% |
2.48% |
3.75% |
11.27% |
| 2000 |
-1.50% |
2.56% |
4.31% |
-3.07% |
-1.47% |
3.17% |
1.41% |
3.42% |
-0.50% |
-3.13% |
-2.95% |
1.74% |
3.63% |
| 1999 |
2.90% |
-2.47% |
1.01% |
7.75% |
3.00% |
2.79% |
0.83% |
-2.49% |
-0.81% |
-0.40% |
3.33% |
7.32% |
24.57% |
| 1998 |
-0.41% |
4.41% |
4.20% |
1.39% |
-1.79% |
-1.17% |
-2.65% |
-10.20% |
0.57% |
2.14% |
3.00% |
0.81% |
-0.58% |
| 1997 |
3.00% |
1.71% |
-0.60% |
-0.23% |
5.08% |
2.71% |
3.39% |
1.56% |
5.33% |
0.45% |
-0.03% |
1.53% |
26.44% |
| 1996 |
2.01% |
2.03% |
2.12% |
1.77% |
3.76% |
0.03% |
-1.40% |
2.64% |
1.75% |
1.42% |
2.47% |
2.08% |
22.65% |
| 1995 |
1.38% |
1.74% |
1.02% |
1.74% |
1.58% |
2.06% |
1.69% |
3.04% |
0.38% |
-1.44% |
2.65% |
2.09% |
19.39% |
| 1994 |
2.29% |
-1.16% |
-1.01% |
-0.57% |
1.56% |
0.15% |
1.11% |
1.54% |
-0.18% |
-1.18% |
-1.85% |
0.43% |
1.04% |
| 1993 |
2.98% |
0.15% |
3.02% |
-0.11% |
1.47% |
1.60% |
1.48% |
3.51% |
1.89% |
3.26% |
-1.14% |
2.30% |
22.29% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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