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Hennessee Europe Index
The funds included in the Hennessee Europe Index typically have long and short equity positions in European companies located in the United Kingdom, Western Europe, and Eastern Europe.
Summary Statistics (1998 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Europe Index |
12.01% |
9.59% |
0.70 |
1.41 |
N/A |
N/A |
| S&P 500 Index |
4.31% |
15.19% |
0.02 |
-0.08 |
11.00% |
0.40 |
| MSCI Europe Index (USD) |
5.96% |
16.23% |
0.12 |
0.06 |
9.94% |
0.55 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Europe Index |
70 |
38 |
65% |
-8.52% |
3 |
Aug-98 |
Oct-98 |
$2,776 |
| S&P 500 Index |
64 |
44 |
59% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$1,462 |
| MSCI Europe Index (USD) |
63 |
45 |
58% |
-27.35% |
6 |
Apr-02 |
Sep-02 |
$1,684 |
Monthly Returns (1998 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2006 |
3.87% |
1.98% |
2.12% |
2.09% |
(3.50%) |
(0.45%) |
(0.86%) |
1.07% |
0.47% |
1.67% |
1.14% |
3.38% |
13.54% |
| 2005 |
1.77% |
2.07% |
(0.70%) |
(1.18%) |
1.06% |
2.79% |
2.69% |
1.97% |
1.96% |
(3.05%) |
2.18% |
3.25% |
15.64% |
| 2004 |
3.47% |
1.80% |
(0.97%) |
(0.59%) |
(1.76%) |
0.57% |
(0.67%) |
0.18% |
2.01% |
(0.11%) |
1.64% |
2.47% |
8.19% |
| 2003 |
(0.62%) |
0.19% |
1.04% |
0.71% |
2.67% |
0.97% |
0.62% |
2.69% |
(0.63%) |
3.04% |
0.53% |
1.10% |
12.94% |
| 2002 |
0.47% |
0.98% |
0.96% |
0.36% |
0.09% |
0.22% |
(2.55%) |
(0.81%) |
(1.62%) |
(1.43%) |
0.81% |
(1.19%) |
(3.72%) |
| 2001 |
0.09% |
(1.21%) |
(1.22%) |
1.02% |
0.36% |
(0.27%) |
(0.57%) |
(0.47%) |
(0.97%) |
(0.68%) |
0.16% |
1.12% |
(2.64%) |
| 2000 |
1.43% |
13.25% |
0.98% |
(4.30%) |
(1.32%) |
0.98% |
0.21% |
1.25% |
(0.83%) |
1.10% |
(1.08%) |
1.93% |
13.46% |
| 1999 |
2.02% |
(0.78%) |
0.64% |
4.37% |
(0.03%) |
2.20% |
2.16% |
(0.06%) |
(0.10%) |
(0.22%) |
8.76% |
13.59% |
36.58% |
| 1998 |
6.37% |
4.80% |
9.09% |
2.07% |
1.56% |
(0.92%) |
1.58% |
(7.62%) |
(0.83%) |
(0.14%) |
2.32% |
0.31% |
19.13% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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