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Hennessee Fixed Income Index
The Hennessee Fixed Income Index includes funds that typically employ a variety of fixed income related strategies ranging from relative value based trades (basis, TEDs, yield curve, etc.) to directional bets on interest rate shifts. Style also includes credit related arbitrage, which typically involves the purchasing (or selling) of corporate issues and the simultaneous selling (or purchasing) of government issues.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Fixed Income Index |
7.38% |
6.67% |
0.34 |
0.45 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
6.27% |
0.28 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
6.94% |
0.05 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Fixed Income Index |
121 |
47 |
72% |
15.15% |
3 |
Aug-98 |
Oct-98 |
$2,711 |
| 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 |
0.82% |
0.29% |
0.84% |
1.56% |
0.80% |
0.39% |
0.15% |
0.30% |
(0.12%) |
0.12% |
0.13% |
0.22% |
5.61% |
| 2005 |
0.51% |
0.89% |
(0.29%) |
0.34% |
0.59% |
0.31% |
0.77% |
0.49% |
0.65% |
0.35% |
0.44% |
0.45% |
5.62% |
| 2004 |
0.64% |
0.49% |
0.21% |
0.88% |
(0.19%) |
(0.05%) |
0.53% |
0.22% |
(0.22%) |
1.38% |
1.57% |
(0.24%) |
5.33% |
| 2003 |
1.26% |
0.48% |
(0.44%) |
0.83% |
1.37% |
(0.26%) |
(0.44%) |
0.19% |
(0.32%) |
(0.86%) |
(0.38%) |
0.33% |
1.75% |
| 2002 |
0.56% |
0.37% |
0.52% |
0.97% |
0.95% |
0.81% |
(0.09%) |
0.92% |
(0.76%) |
(0.78%) |
0.12% |
1.65% |
5.34% |
| 2001 |
0.66% |
0.27% |
1.06% |
0.48% |
1.04% |
(0.60%) |
0.14% |
2.21% |
(0.59%) |
1.28% |
0.03% |
1.45% |
7.65% |
| 2000 |
(0.24%) |
1.88% |
0.65% |
0.05% |
(1.12%) |
0.65% |
(1.33%) |
1.98% |
0.52% |
0.31% |
0.60% |
1.07% |
5.08% |
| 1999 |
0.43% |
2.58% |
1.96% |
2.31% |
0.00% |
1.72% |
0.05% |
0.11% |
2.04% |
1.20% |
(0.36%) |
1.75% |
14.63% |
| 1998 |
0.51% |
1.23% |
2.01% |
(0.50%) |
(0.28%) |
(0.24%) |
0.33% |
(8.56%) |
(6.20%) |
(1.07%) |
2.75% |
(3.07%) |
(12.89%) |
| 1997 |
4.99% |
2.19% |
0.15% |
(0.03%) |
(0.79%) |
2.21% |
4.16% |
(1.19%) |
1.00% |
(3.73%) |
0.40% |
1.28% |
10.84% |
| 1996 |
3.84% |
0.42% |
1.01% |
2.39% |
1.08% |
1.28% |
(0.57%) |
1.31% |
2.15% |
4.65% |
1.69% |
0.49% |
21.49% |
| 1995 |
3.12% |
(0.67%) |
(2.15%) |
(0.42%) |
1.64% |
1.26% |
4.03% |
2.27% |
1.90% |
0.88% |
1.78% |
2.72% |
17.45% |
| 1994 |
1.08% |
(2.10%) |
(5.38%) |
(3.06%) |
2.76% |
(0.82%) |
1.16% |
8.29% |
1.83% |
(0.57%) |
(1.05%) |
(2.14%) |
(0.64%) |
| 1993 |
0.37% |
(1.77%) |
5.27% |
(2.98%) |
8.25% |
(0.36%) |
3.15% |
0.08% |
(0.95%) |
4.59% |
1.69% |
2.69% |
21.30% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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