Hennessee Hedge Fund Index

The overall Hennessee Hedge Fund Index is calculated by taking an equally weighted average of all the underlying funds in each individual style.

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 Hedge Fund Index 9.25% 6.64% 1.33 2.22 N/A N/A
MSCI WORLD - Price - USD 5.08% 15.38% 0.38 0.43 7.22% 0.79
S&P 500 6.11% 15.11% 0.45 0.54 7.00% 0.74
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Hedge Fund Index 167 73 70% -21.54% 16 Oct-07 Feb-09 $5,867
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 2.43% 1.94% 0.57% -0.45% -2.24% 0.24% 0.49% 0.95% 1.22% -0.10% 0.37% 1.45% 7.00%
2011 0.76% 1.43% 0.18% 1.25% -0.62% -1.01% -0.29% -3.36% -4.04% 2.68% -1.06% -0.42% -4.60%
2010 -0.43% 0.87% 2.65% 1.42% -3.31% -1.36% 1.86% -0.72% 3.51% 1.97% 0.42% 2.80% 9.89%
2009 0.58% -1.11% 1.84% 4.21% 5.34% 0.78% 3.18% 1.71% 3.14% -0.50% 1.48% 2.23% 25.21%
2008 -2.93% 0.77% -2.10% 1.81% 1.96% -1.38% -1.86% -0.92% -6.75% -6.81% -3.17% -0.06% -19.84%
2007 1.32% 0.91% 1.01% 1.72% 2.20% 0.72% 0.30% -0.89% 2.30% 2.78% -1.92% 0.33% 11.22%
2006 3.39% 0.56% 1.77% 1.33% -1.30% -0.35% -0.25% 1.02% 0.15% 1.55% 1.78% 1.28% 11.40%
2005 -0.36% 1.39% -0.88% -1.62% 1.16% 1.59% 2.26% 0.73% 1.68% -1.42% 1.50% 1.66% 7.85%
2004 1.95% 0.98% 0.31% -0.97% -0.39% 0.52% -1.07% 0.11% 1.50% 0.56% 2.70% 1.82% 8.24%
2003 0.72% -0.23% 0.45% 2.63% 3.50% 1.35% 1.17% 1.58% 0.97% 2.48% 1.03% 1.76% 18.80%
2002 0.37% -0.69% 1.43% 0.01% -0.13% -2.19% -3.09% 0.51% -1.62% 0.90% 2.27% -0.56% -2.88%
2001 2.42% -0.91% -1.48% 1.42% 1.31% 0.38% -1.16% -0.27% -2.34% 1.37% 2.00% 1.67% 4.36%
2000 0.62% 6.83% 0.50% -3.16% -1.07% 3.39% -0.04% 3.39% -0.20% -1.46% -2.46% 1.96% 8.16%
1999 1.95% -0.97% 3.30% 5.02% 0.91% 3.88% 0.76% -0.15% 0.42% 1.20% 4.41% 6.70% 30.78%
1998 -0.52% 2.79% 2.89% 0.51% -1.53% 0.25% -0.59% -7.10% 0.04% 0.49% 2.89% 1.70% 1.41%
1997 3.06% 1.08% -0.67% 0.00% 3.41% 2.42% 3.60% 0.61% 3.28% -0.79% -0.18% 1.16% 18.19%
1996 2.81% 0.64% 1.18% 3.14% 2.46% 0.29% -1.32% 1.89% 1.59% 1.57% 2.22% 1.20% 19.08%
1995 0.18% 1.18% 1.05% 1.93% 1.29% 1.78% 2.45% 2.27% 1.50% -0.54% 1.71% 1.65% 17.70%
1994 2.14% -0.92% -1.80% -0.83% 0.67% 0.43% 0.73% 1.44% 0.68% -0.61% -1.50% -0.17% 0.18%
1993 2.30% 1.03% 2.57% 0.87% 2.16% 2.37% 2.16% 2.88% 1.13% 2.60% -0.43% 3.50% 25.68%

 

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