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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Distressed Index |
13.80% |
5.48% |
1.46 |
2.39 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
12.06% |
0.46 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
13.83% |
0.01 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Distressed Index |
135 |
33 |
80% |
-12.70% |
5 |
May-98 |
Sep-98 |
$6,109 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
121 |
47 |
72% |
-5.03% |
3 |
Feb-94 |
Apr-94 |
$2,402 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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