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Hennessee International Index
The funds included in the Hennessee International Index typically have long and short equity positions in the stocks of international companies. Positions can be either growth or value and, in addition to global investments, funds typically have exposure to U.S. companies.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee International Index |
14.85% |
8.12% |
1.12 |
2.14 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.17% |
0.44 |
| MSCI World Index (USD) |
9.75% |
13.34% |
0.38 |
0.44 |
10.58% |
0.67 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee International Index |
118 |
50 |
70% |
-8.38% |
3 |
Aug-98 |
Oct-98 |
$6,945 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| MSCI World Index (USD) |
109 |
59 |
65% |
-18.63% |
5 |
May-01 |
Sep-01 |
$3,677 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2006 |
3.71% |
0.41% |
1.92% |
1.97% |
(3.33%) |
(0.96%) |
0.53% |
1.71% |
0.31% |
1.86% |
2.41% |
1.56% |
12.60% |
| 2005 |
0.18% |
2.00% |
(1.03%) |
(1.00%) |
1.19% |
1.15% |
2.10% |
1.50% |
2.93% |
(1.98%) |
2.71% |
2.68% |
13.00% |
| 2004 |
2.41% |
1.27% |
2.00% |
(1.27%) |
(1.15%) |
0.11% |
(1.78%) |
(0.16%) |
1.75% |
1.43% |
2.87% |
2.51% |
10.30% |
| 2003 |
0.02% |
0.02% |
(0.69%) |
3.58% |
4.27% |
2.37% |
1.00% |
2.81% |
2.21% |
3.82% |
0.47% |
3.31% |
25.63% |
| 2002 |
1.25% |
0.96% |
(0.22%) |
1.38% |
1.11% |
(1.76%) |
(2.69%) |
1.60% |
(0.98%) |
1.12% |
2.01% |
(1.04%) |
2.64% |
| 2001 |
0.34% |
(0.73%) |
(1.60%) |
0.31% |
0.58% |
0.99% |
(1.26%) |
1.52% |
(1.07%) |
0.53% |
3.11% |
1.70% |
4.40% |
| 2000 |
(2.55%) |
2.97% |
2.96% |
(3.13%) |
(1.05%) |
2.99% |
(1.26%) |
3.27% |
1.33% |
0.50% |
0.58% |
2.44% |
9.12% |
| 1999 |
0.68% |
(0.69%) |
4.85% |
8.63% |
(1.58%) |
6.65% |
0.89% |
(1.81%) |
1.61% |
3.13% |
6.09% |
9.63% |
44.32% |
| 1998 |
(1.19%) |
2.16% |
5.00% |
(0.75%) |
0.64% |
(1.09%) |
1.18% |
(6.42%) |
(1.78%) |
(0.33%) |
2.30% |
2.10% |
1.38% |
| 1997 |
4.90% |
3.00% |
(1.21%) |
0.34% |
2.68% |
4.17% |
6.08% |
(1.61%) |
3.92% |
(2.48%) |
0.07% |
3.07% |
24.98% |
| 1996 |
3.20% |
(0.39%) |
1.05% |
4.29% |
3.23% |
2.17% |
(3.53%) |
1.92% |
0.97% |
2.25% |
4.14% |
1.34% |
22.40% |
| 1995 |
(1.30%) |
0.51% |
0.75% |
1.49% |
1.98% |
0.52% |
2.45% |
2.29% |
1.93% |
(0.71%) |
1.32% |
2.60% |
14.65% |
| 1994 |
4.60% |
(1.00%) |
(2.21%) |
(0.76%) |
(1.43%) |
(0.47%) |
1.26% |
1.25% |
(0.86%) |
(1.66%) |
(2.36%) |
(1.58%) |
(5.30%) |
| 1993 |
2.51% |
1.72% |
2.32% |
3.08% |
3.55% |
1.77% |
2.06% |
4.28% |
(0.12%) |
5.36% |
(1.40%) |
8.29% |
38.60% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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