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Hennessee Emerging Markets Index
The funds in the Hennessee Emerging Markets Index typically focus on investing in lesser-developed, non-G7 countries whose financial markets provide exploitable pricing inefficiencies. Popular geographic regions include Latin America, Eastern Europe, the Pacific Rim and Africa. Asset classes range from equities and bonds to local currencies.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Emerging Markets Index |
10.92% |
13.51% |
0.46 |
0.54 |
N/A |
N/A |
| MSCI World Index (USD) |
9.75% |
13.34% |
0.38 |
0.44 |
5.79% |
0.55 |
| MSCI Emerging Market Index (USD) |
7.90% |
22.49% |
0.23 |
0.15 |
6.57% |
0.81 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Emerging Markets Index |
111 |
57 |
66% |
-29.64% |
2 |
Aug-98 |
Sep-98 |
$4,266 |
| MSCI World Index (USD) |
109 |
59 |
65% |
-18.63% |
5 |
May-01 |
Sep-01 |
$3,677 |
| MSCI Emerging Market Index (USD) |
107 |
61 |
64% |
-29.29% |
1 |
Aug-98 |
Aug-98 |
$2,898 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2006 |
4.56% |
0.91% |
0.59% |
2.38% |
(2.74%) |
(1.09%) |
0.84% |
1.05% |
0.32% |
1.94% |
2.17% |
1.89% |
13.40% |
| 2005 |
0.81% |
2.72% |
(2.01%) |
(0.53%) |
0.74% |
0.92% |
2.10% |
0.30% |
3.08% |
(1.96%) |
1.60% |
2.07% |
10.14% |
| 2004 |
1.60% |
1.55% |
1.35% |
(0.75%) |
(1.04%) |
(0.06%) |
(0.14%) |
1.18% |
2.20% |
1.36% |
3.15% |
1.81% |
12.82% |
| 2003 |
(0.25%) |
0.57% |
(0.37%) |
4.40% |
3.66% |
2.15% |
0.75% |
2.71% |
1.53% |
2.72% |
0.74% |
3.61% |
24.46% |
| 2002 |
2.62% |
1.17% |
1.97% |
0.51% |
(0.23%) |
(2.35%) |
(1.42%) |
1.26% |
(2.20%) |
1.98% |
1.75% |
(0.01%) |
5.00% |
| 2001 |
5.09% |
(1.25%) |
(2.19%) |
0.70% |
2.63% |
1.32% |
(3.13%) |
0.81% |
(2.57%) |
2.33% |
4.44% |
3.44% |
11.80% |
| 2000 |
0.13% |
5.20% |
1.02% |
(7.23%) |
(3.96%) |
3.50% |
(1.36%) |
2.88% |
(4.37%) |
(2.77%) |
(2.35%) |
0.27% |
(9.34%) |
| 1999 |
(0.86%) |
0.80% |
4.42% |
9.96% |
(0.34%) |
8.56% |
(1.24%) |
(1.87%) |
(0.82%) |
2.46% |
6.96% |
12.51% |
47.13% |
| 1998 |
(4.83%) |
2.99% |
3.47% |
0.02% |
(10.91%) |
(6.13%) |
0.26% |
(23.95%) |
(7.48%) |
1.60% |
2.75% |
(1.05%) |
(38.18%) |
| 1997 |
7.04% |
5.21% |
(0.88%) |
0.99% |
2.88% |
6.05% |
6.68% |
0.80% |
3.07% |
(6.49%) |
(3.84%) |
2.37% |
25.48% |
| 1996 |
8.76% |
(1.90%) |
(0.61%) |
3.64% |
2.54% |
1.60% |
(2.04%) |
0.98% |
2.61% |
0.56% |
2.45% |
1.39% |
21.40% |
| 1995 |
(6.30%) |
(4.56%) |
(3.56%) |
7.00% |
2.70% |
(0.47%) |
2.24% |
1.05% |
1.99% |
(3.37%) |
(1.65%) |
2.23% |
(3.44%) |
| 1994 |
6.09% |
(0.08%) |
(3.62%) |
(4.87%) |
1.41% |
(0.18%) |
2.99% |
9.64% |
1.59% |
(0.96%) |
(0.64%) |
(1.95%) |
8.90% |
| 1993 |
(1.27%) |
2.28% |
5.46% |
2.31% |
5.70% |
2.09% |
2.15% |
3.62% |
2.93% |
9.29% |
4.39% |
7.37% |
56.91% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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