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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Hedge Fund Index |
11.66% |
6.08% |
1.01 |
1.68 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.81% |
0.67 |
| NASDAQ |
9.52% |
25.25% |
0.29 |
0.23 |
9.35% |
0.77 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Hedge Fund Index |
122 |
46 |
73% |
-7.65% |
2 |
Jul-98 |
Aug-98 |
N/A |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
0.67 |
| NASDAQ |
96 |
72 |
57% |
-41.26% |
4 |
Sep-00 |
Dec-00 |
0.77 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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