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 (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Fixed Income Index 7.00% 6.24% 1.08 1.69 N/A N/A
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 6.36% 0.08
Barclays High Yield Credit Bond Index 8.22% 9.00% 0.90 1.26 4.88% 0.38
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Fixed Income Index 176 64 73% -16.07% 9 Mar-98 Dec-98 $3,872
Barclays Aggregate Bond Index 168 72 70% -5.15% 5 Jan-94 Jun-94 $3,422
Barclays High Yield Credit Bond Index 177 63 74% -33.31% 18 May-07 Nov-08 $4,854
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 1.64% 0.89% 0.97% 0.34% -0.39% 0.62% 1.30% 0.66% -0.29% 0.56% 0.55% 0.95% 8.05%
2011 1.64% 1.03% -0.20% 1.08% 0.67% 0.12% 0.17% -1.74% -0.58% 0.85% -0.24% 0.49% 3.29%
2010 1.69% 0.48% 1.53% 1.22% -1.47% 0.83% 1.13% 1.06% 1.41% 0.95% 1.10% 0.38% 10.79%
2009 2.17% 1.12% 0.25% 2.11% 3.01% 1.34% 2.27% 2.28% 2.49% 1.65% 0.36% 1.87% 23.01%
2008 -0.83% -5.63% -1.15% 2.81% 1.84% -0.49% -0.12% 0.57% -3.94% -4.70% 0.44% -0.14% -11.10%
2007 0.76% 0.40% 0.08% 0.81% 0.41% 0.88% 1.70% -0.69% 1.58% 0.90% -1.98% 0.70% 5.64%
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%

 

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