Hennessee Global/Macro Index

The Hennessee Global/Macro Index includes funds that invest in securities (equity, fixed income, currencies, or commodities) with an international scope. Strategies range from long/short equity to macro hedge funds. Volatility and return expectations are generally equivalent to long/short equity funds because of the utilization of market risk. The Hennessee Global/Macro Index includes funds from the following sub-sectors: emerging markets, latin america, macro, asia-pacific, europe and international.

 

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 Global/Macro Index 9.26% 9.47% 0.96 1.55 N/A N/A
MSCI WORLD - Price - USD 5.08% 15.38% 0.38 0.43 6.82% 0.72
S&P 500 6.11% 15.11% 0.45 0.54 6.70% 0.64
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Global/Macro Index 154 86 64% -23.63% 16 Oct-07 Feb-09 $5,882
MSCI WORLD - Price - USD 143 97 60% -55.37% 16 Oct-07 Feb-09 $2,692
S&P 500 149 91 62% -52.56% 16 Oct-07 Feb-09 $3,273
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 2.55% 2.73% -0.01% -0.55% -3.39% -0.42% 1.10% 0.81% 1.13% -0.50% 0.48% 2.29% 6.22%
2011 -0.27% 0.36% 0.56% 1.67% -1.52% -1.42% 0.52% -2.90% -4.68% 1.91% -2.24% -0.69% -8.54%
2010 -0.95% 0.16% 2.95% 0.94% -4.05% -0.62% 1.78% -0.07% 4.29% 2.38% -0.20% 2.97% 9.72%
2009 -0.82% -1.30% 1.33% 4.85% 6.91% -0.05% 3.97% 1.55% 3.43% -0.50% 1.09% 1.91% 24.40%
2008 -3.28% 2.21% -2.74% 1.91% 1.42% -2.20% -2.52% -2.31% -6.45% -7.12% -1.98% 0.77% -20.57%
2007 0.99% 0.66% 1.23% 2.21% 2.62% 1.54% 1.80% -2.21% 3.33% 3.75% -2.16% 0.39% 14.89%
2006 3.78% 0.59% 1.60% 1.84% -3.13% -0.57% -0.26% 0.50% 0.11% 1.76% 2.14% 1.87% 10.53%
2005 0.59% 2.28% -1.07% -0.73% 1.00% 1.33% 1.87% 1.21% 3.48% -1.72% 2.23% 3.05% 14.23%
2004 1.68% 1.37% 1.34% -1.65% -1.64% 0.17% -0.60% 0.36% 1.79% 0.73% 3.09% 1.85% 8.70%
2003 0.03% -0.04% 0.49% 3.77% 3.56% 1.92% 0.78% 3.73% 2.16% 4.17% 0.50% 3.67% 27.56%
2002 1.19% 1.13% 0.78% 0.41% 0.34% -2.32% -3.14% 1.29% -2.30% 0.60% 1.16% -0.45% -1.44%
2001 2.23% -1.68% -2.18% 0.91% 0.77% 0.44% -2.16% -0.07% -2.72% 0.97% 3.08% 2.12% 1.52%
2000 -1.07% 5.57% 1.86% -5.82% -1.89% 3.35% -0.90% 2.30% -1.71% -1.02% -1.56% 2.74% 1.34%
1999 -1.08% -0.28% 5.12% 7.95% -0.39% 6.21% -0.34% -0.71% -0.20% 1.81% 7.66% 11.33% 42.71%
1998 -1.84% 3.25% 4.86% -0.82% -4.41% -2.82% 1.18% -13.00% -2.96% 0.38% 4.38% 0.20% -12.19%
1997 5.35% 3.47% -1.00% 0.62% 3.29% 4.10% 5.45% -1.48% 1.93% -4.30% -2.03% 2.06% 18.31%
1996 6.31% -1.92% 0.31% 3.78% 2.65% 1.56% -3.03% 1.59% 1.82% 1.78% 4.10% 0.87% 21.31%
1995 -2.61% -1.32% -0.42% 2.71% 2.03% -0.38% 2.55% 3.03% 1.91% -1.64% 1.05% 2.60% 9.70%
1994 3.36% -3.36% -3.69% -2.02% 0.21% 0.23% 0.70% 3.01% 0.68% -1.55% -1.49% -1.47% -5.52%
1993 1.33% 3.23% 2.56% 2.94% 3.21% 4.41% 3.33% 4.22% 0.43% 5.48% 0.15% 8.03% 46.88%

 

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