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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Financial Equities Index |
17.51% |
11.33% |
1.04 |
1.52 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
12.72% |
0.63 |
| NASDAQ |
9.52% |
25.25% |
0.29 |
0.23 |
15.72% |
0.40 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Financial Equities Index |
121 |
47 |
72% |
-26.97% |
6 |
May-98 |
Oct-98 |
$9,573 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| NASDAQ |
96 |
72 |
57% |
-41.26% |
4 |
Sep-00 |
Dec-00 |
$3,570 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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