Hennessee High Yield Index

The Hennessee Fixed Income Index includes funds that typically typically have long and short equity positions in non-investment grade corporate bonds, which offer attractive coupon yields. Interest rate risk may or may not be hedged.

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 High Yield Index 7.82% 6.63% 1.14 1.58 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 6.18% 0.57
Barclays High Yield Credit Bond Index 8.22% 9.00% 0.90 1.26 2.84% 0.81
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee High Yield Index 176 64 73% -23.57% 13 Oct-07 Nov-08 $4,506
S&P 500 149 91 62% -52.56% 16 Oct-07 Feb-09 $3,273
Barclays High Yield Credit Bond Index 177 63 74% -33.31% 18 May-07 Nov-08 $4,854
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 1.91% 0.82% 0.23% 0.48% -0.69% -0.27% 1.17% 1.04% 1.03% 1.23% 0.43% 1.17% 8.86%
2011 2.10% 1.34% 0.21% 0.69% 0.07% -0.68% 0.90% -0.40% -1.17% 1.18% -0.92% 0.04% 3.36%
2010 1.47% 0.35% 2.84% 2.37% -3.15% 0.20% 2.55% 0.34% 2.29% 1.95% -1.09% 1.47% 12.04%
2009 2.23% 0.13% 0.07% 3.34% 4.45% 1.94% 4.28% 1.92% 3.48% 0.75% 1.29% 1.37% 28.23%
2008 -1.53% -0.37% -0.84% 1.89% 1.47% -0.46% -1.15% -0.54% -6.87% -10.72% -4.84% 0.01% -22.12%
2007 1.50% 1.37% 0.80% 1.32% 1.25% 0.17% -0.45% -0.77% 1.51% 1.51% -1.92% 0.06% 6.46%
2006 1.94% 1.12% 1.13% 1.37% 0.55% 0.11% 0.61% 0.85% 0.84% 1.65% 1.47% 1.75% 14.22%
2005 0.30% 1.48% -0.85% -0.99% 0.46% 1.34% 1.73% 1.16% 0.65% -0.29% 0.75% 1.15% 7.05%
2004 2.05% 0.40% 0.38% 0.30% -0.57% 0.93% 0.50% 0.47% 0.67% 1.09% 1.21% 1.15% 8.90%
2003 2.82% 0.72% 2.07% 3.85% 1.96% 1.94% 0.32% 0.33% 1.98% 1.95% 1.17% 1.44% 22.53%
2002 1.74% -0.84% 1.93% 1.83% -0.80% -3.64% -7.04% -0.04% -1.33% -2.15% 3.67% -0.23% -7.12%
2001 5.67% 2.49% -0.80% -0.45% 1.95% -0.66% 0.45% 1.00% -3.94% 2.00% 1.44% 1.25% 10.59%
2000 2.94% 2.14% -1.67% -1.71% -1.54% 1.78% -0.62% 0.49% -2.23% -3.50% -3.05% -3.26% -10.01%
1999 1.58% 0.14% 1.53% 4.08% -0.79% -0.06% 0.03% -0.23% -0.55% -0.16% 1.31% 1.26% 8.34%
1998 1.49% 0.56% 1.36% 1.03% 0.34% -0.37% -0.73% -8.41% -1.30% -0.56% 4.88% 0.85% -1.39%
1997 1.50% 1.90% -0.76% 1.23% 2.57% 1.97% 1.97% 0.99% 2.40% 0.31% 0.41% 0.54% 16.05%
1996 2.38% 2.14% 1.05% 2.67% 2.11% 0.99% 0.63% 2.33% 2.90% 1.15% 1.64% 0.99% 23.08%
1995 1.10% 2.93% 1.09% 2.24% 1.57% 0.71% 2.36% 0.33% 1.80% 0.83% -0.32% 1.85% 17.74%
1994 1.65% -0.02% -1.09% -0.50% -0.95% -0.13% 0.54% 0.07% 0.16% -0.82% -1.19% -0.21% -2.50%
1993 3.89% 3.41% 2.99% 1.12% 1.77% 2.71% 1.69% 0.99% 0.53% 2.03% 1.18% 2.07% 27.23%

 

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