 |
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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee High Yield Index |
9.05% |
6.13% |
0.61 |
0.80 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
7.14% |
0.47 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
8.88% |
0.03 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee High Yield Index |
124 |
44 |
74% |
14.24% |
6 |
May-02 |
Oct-02 |
$3,362 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
121 |
47 |
72% |
-5.03% |
3 |
Feb-94 |
Apr-94 |
$2,402 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
|
 |
