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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Global/Macro Index |
11.96% |
9.72% |
0.69 |
1.04 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.81% |
0.67 |
| MSCI World Index (USD) |
9.75% |
13.34% |
0.38 |
0.44 |
7.09% |
0.66 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Global/Macro Index |
113 |
55 |
67% |
-15.58% |
2 |
Aug-98 |
Sep-98 |
$4,861 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| MSCI World Index (USD) |
109 |
59 |
65% |
-18.63% |
5 |
May-01 |
Sep-01 |
$3,677 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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