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Hennessee Hedge Fund Index
Each month, over 1,000 hedge funds report their performance numbers to Hennessee Group LLC. 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-10) |
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Annualized Compound Return |
Annualized Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (versus Benchmark) |
Correlation (versus Benchmark) |
| Hennessee Hedge Fund Index |
10.20% |
6.70% |
1.45 |
2.47 |
N/A |
N/A |
| S&P 500 Price Index |
6.07% |
15.31% |
0.45 |
0.52 |
7.98% |
0.73 |
| Nasdaq Composite Index |
7.88% |
24.70% |
0.42 |
0.44 |
8.00% |
0.78 |
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Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (Invested at Inception) |
| Postive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Hedge Fund Index |
153 |
63 |
71% |
-21.54% |
16 |
Oct-07 |
Feb-09 |
$5,748 |
| S&P 500 Price Index |
135 |
81 |
63% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$2,886 |
| Nasdaq Composite Index |
125 |
91 |
58% |
-75.04% |
31 |
Feb-00 |
Sep-02 |
$3,919 |
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| Historical Performance (Jan-93 to Dec-10) |
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Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
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© 2007 Hennessee Group LLC, All Rights Reserved.
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