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Hennessee Financial Equities Index
The funds in the Hennessee Financial Equities Index typically have long and short equity positions within the financial sector (banks, thrifts, brokerage, insurance, etc.)
| 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 Financial Equities Index |
13.35% |
10.73% |
1.21 |
1.86 |
N/A |
N/A |
| Dow Jones Industrial Average |
7.14% |
14.85% |
0.52 |
0.66 |
10.10% |
0.61 |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
10.52% |
0.62 |
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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 Financial Equities Index |
166 |
74 |
69% |
-26.97% |
6 |
Apr-98 |
Oct-98 |
$12,257 |
| 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 |
3.95% |
3.81% |
1.66% |
-1.47% |
-3.51% |
1.33% |
-0.27% |
1.39% |
2.37% |
1.99% |
-0.68% |
2.85% |
13.95% |
| 2011 |
0.92% |
1.90% |
-0.08% |
0.89% |
-1.11% |
-1.52% |
-0.58% |
-4.20% |
-5.89% |
3.91% |
-1.34% |
-1.11% |
-8.26% |
| 2010 |
0.16% |
0.97% |
3.31% |
2.13% |
-3.85% |
-2.76% |
2.43% |
-3.19% |
2.80% |
2.57% |
0.56% |
5.31% |
10.44% |
| 2009 |
1.93% |
0.71% |
0.94% |
1.74% |
6.31% |
2.61% |
2.18% |
3.70% |
2.19% |
-2.27% |
0.77% |
1.76% |
24.79% |
| 2008 |
-0.84% |
1.02% |
-5.14% |
-1.19% |
0.50% |
-4.51% |
0.42% |
0.42% |
-7.42% |
-1.66% |
0.69% |
0.24% |
-16.50% |
| 2007 |
1.04% |
0.45% |
-0.13% |
0.76% |
0.56% |
-1.01% |
-0.61% |
2.08% |
1.87% |
2.70% |
-1.22% |
-0.16% |
6.43% |
| 2006 |
1.95% |
0.70% |
1.38% |
1.89% |
-0.63% |
0.03% |
-0.12% |
1.05% |
1.48% |
1.10% |
0.96% |
1.26% |
11.60% |
| 2005 |
-0.78% |
0.11% |
-1.49% |
-1.56% |
1.81% |
1.90% |
2.12% |
-0.54% |
-0.18% |
-0.84% |
2.18% |
0.82% |
3.49% |
| 2004 |
2.88% |
2.33% |
0.09% |
-3.76% |
0.81% |
0.44% |
-1.34% |
1.80% |
2.05% |
0.34% |
2.73% |
2.83% |
11.55% |
| 2003 |
-0.39% |
-1.40% |
0.85% |
8.01% |
5.97% |
1.38% |
3.12% |
2.15% |
1.23% |
5.64% |
1.78% |
3.06% |
35.81% |
| 2002 |
1.04% |
0.82% |
4.28% |
1.95% |
1.57% |
-1.73% |
-5.20% |
2.09% |
-4.72% |
2.94% |
3.53% |
0.04% |
6.28% |
| 2001 |
4.94% |
-0.41% |
-0.87% |
1.91% |
3.51% |
2.14% |
2.04% |
-1.24% |
-3.98% |
1.28% |
2.06% |
2.99% |
14.99% |
| 2000 |
-4.31% |
-2.10% |
7.87% |
-1.45% |
3.13% |
0.03% |
4.90% |
7.24% |
4.16% |
1.71% |
-2.67% |
7.25% |
27.81% |
| 1999 |
1.50% |
-0.34% |
0.25% |
4.26% |
0.49% |
3.72% |
0.40% |
-4.18% |
-3.04% |
4.90% |
-1.58% |
-1.40% |
4.64% |
| 1998 |
-4.22% |
6.04% |
4.14% |
1.95% |
-2.60% |
-0.18% |
-1.58% |
-19.96% |
-1.26% |
-3.43% |
4.71% |
-0.07% |
-17.60% |
| 1997 |
7.15% |
4.81% |
-6.08% |
-0.78% |
5.64% |
6.60% |
6.88% |
-0.54% |
7.60% |
0.18% |
0.17% |
4.42% |
41.25% |
| 1996 |
2.09% |
1.98% |
2.15% |
0.36% |
1.20% |
1.33% |
-0.11% |
3.74% |
3.81% |
3.75% |
6.50% |
0.26% |
30.43% |
| 1995 |
2.71% |
4.98% |
1.33% |
3.32% |
3.36% |
2.74% |
4.73% |
6.12% |
2.01% |
-0.59% |
2.30% |
1.12% |
39.76% |
| 1994 |
6.12% |
-1.12% |
0.49% |
1.64% |
7.01% |
2.77% |
2.01% |
1.40% |
0.93% |
-1.47% |
-3.26% |
0.28% |
17.62% |
| 1993 |
5.55% |
3.94% |
4.75% |
-2.15% |
-0.18% |
1.85% |
6.52% |
2.62% |
3.54% |
1.39% |
-0.01% |
2.26% |
34.14% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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