Hennessee Distressed Index

The Hennessee Distressed Index includes funds whose primary investment focus involves securities of companies that have declared bankruptcy and/or may be undergoing reorganization. Investment holdings range from senior secured debt (uppermost tier of a company's capital structure) to the common stock of the company (lower tier of the capital structure).

 

Summary Statistics (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Distressed Index 11.07% 7.31% 1.45 2.17 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 9.08% 0.61
Barclays High Yield Credit Bond Index 8.22% 9.00% 0.90 1.26 6.23% 0.70
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Distressed Index 182 58 76% -31.12% 16 Oct-07 Feb-09 $8,167
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
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 2.89% 1.75% 1.32% -0.50% -1.82% -0.45% 0.90% 1.08% 1.51% 1.82% 1.32% 3.10% 13.61%
2011 2.12% 1.44% 0.35% 1.48% -0.15% -1.11% -0.90% -4.95% -5.77% 2.35% -1.40% 0.48% -6.24%
2010 2.48% 0.86% 3.42% 3.00% -3.84% -1.70% 1.91% -1.35% 2.67% 2.66% 0.72% 3.95% 15.47%
2009 1.14% -2.11% 0.98% 6.29% 7.41% 2.61% 3.67% 2.99% 5.01% 1.01% 2.78% 4.07% 41.87%
2008 -2.71% 0.06% -1.27% 1.35% 1.71% -1.65% -2.57% -0.84% -7.53% -9.82% -7.34% -2.77% -29.28%
2007 1.67% 1.56% 1.40% 2.00% 1.77% 0.51% -0.38% -1.81% 0.86% 2.16% -1.95% 0.33% 8.31%
2006 2.27% 0.53% 1.58% 2.17% 1.55% -0.09% -0.05% 0.99% 0.24% 1.93% 1.91% 1.75% 15.79%
2005 0.33% 1.36% 0.34% -0.60% -0.09% 1.14% 1.70% 1.17% 1.43% -0.42% 1.20% 1.62% 9.52%
2004 3.03% 0.57% 0.43% 1.21% 0.00% 2.02% 0.10% 0.88% 0.98% 1.51% 3.97% 2.89% 18.98%
2003 2.06% 0.62% 1.18% 3.29% 2.44% 2.30% 1.37% 1.27% 2.33% 2.78% 1.43% 2.12% 25.78%
2002 1.93% -0.67% 0.12% 1.31% 1.00% -1.62% -2.42% -0.05% -2.03% -0.50% 2.83% 2.12% 1.88%
2001 2.10% 0.23% -0.90% 0.49% 1.61% 3.44% -0.52% 0.68% 0.37% 1.31% 0.59% -0.79% 8.87%
2000 0.41% 4.91% -1.53% -1.35% -0.53% 1.69% 0.59% 1.15% 0.19% -0.03% -3.45% 0.52% 2.37%
1999 1.32% -0.18% 2.93% 3.40% 1.74% 3.91% 0.85% 1.30% 0.63% 0.56% 2.61% 3.40% 24.82%
1998 1.50% 2.04% 2.10% 1.13% -0.30% -0.40% -1.32% -8.13% -3.03% 0.52% 2.33% 0.18% -3.80%
1997 1.76% 1.92% 0.19% -0.35% 2.09% 1.94% 2.66% 0.58% 2.70% -0.27% 0.85% 0.65% 15.68%
1996 3.16% 0.91% 2.07% 3.34% 1.98% 1.47% -0.14% 2.11% 1.99% 1.29% 1.54% 1.40% 23.23%
1995 0.09% 2.38% 2.18% 1.96% 1.40% 2.27% 2.58% 1.81% 1.45% -0.93% 0.80% 3.39% 21.11%
1994 4.43% 0.33% -0.46% -1.13% 0.16% 0.91% 2.29% 1.73% 1.39% -0.71% -1.30% 0.11% 7.88%
1993 4.60% 1.85% 3.30% 1.87% 1.91% 3.78% 1.33% 1.21% 0.07% 0.86% 0.75% 2.53% 26.78%

 

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