 |
Hennessee Macro Index
The Hennessee Macro Index includes funds whose dominant investment theme is to capitalize on changes in the global macroeconomic environment through participation in the various capital markets. A top-down methodology allows managers of this strategy to utilize all asset classes (equities, bonds, currencies, derivatives) available in the global capital markets.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Macro Index |
8.97% |
8.58% |
0.45 |
0.68 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
6.96% |
0.38 |
| MSCI World Index (USD) |
9.75% |
13.34% |
0.38 |
0.44 |
6.40% |
0.42 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Macro Index |
102 |
66 |
61% |
-13.64% |
3 |
Feb-94 |
Apr-94 |
$3,330 |
| 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 |
2.66% |
0.42% |
0.56% |
1.92% |
(1.54%) |
0.14% |
(0.04%) |
(1.13%) |
(1.26%) |
1.01% |
1.72% |
1.04% |
5.54% |
| 2005 |
(0.28%) |
1.62% |
(0.15%) |
(0.68%) |
1.01% |
0.70% |
0.75% |
0.65% |
3.14% |
(1.23%) |
1.23% |
1.37% |
8.35% |
| 2004 |
0.59% |
1.61% |
0.99% |
(2.05%) |
(1.37%) |
(0.50%) |
(0.04%) |
0.38% |
0.39% |
0.79% |
3.14% |
0.59% |
4.51% |
| 2003 |
1.71% |
2.40% |
(0.64%) |
1.04% |
4.33% |
(0.10%) |
(1.78%) |
2.87% |
2.76% |
0.82% |
(0.42%) |
3.66% |
17.76% |
| 2002 |
0.37% |
(0.68%) |
(0.59%) |
0.52% |
0.37% |
(2.07%) |
(2.29%) |
1.03% |
0.49% |
(1.83%) |
0.32% |
0.88% |
(3.50%) |
| 2001 |
(0.03%) |
(0.95%) |
0.02% |
(0.99%) |
(0.70%) |
(0.16%) |
(0.70%) |
(0.34%) |
0.29% |
1.07% |
(0.86%) |
0.44% |
(2.89%) |
| 2000 |
(1.46%) |
1.94% |
0.37% |
(4.41%) |
(1.52%) |
0.49% |
0.00% |
3.17% |
(0.31%) |
(1.19%) |
2.42% |
6.64% |
5.87% |
| 1999 |
(0.61%) |
(1.28%) |
0.67% |
3.26% |
0.30% |
2.26% |
(1.14%) |
(1.17%) |
(2.31%) |
(0.64%) |
3.04% |
5.55% |
7.90% |
| 1998 |
0.37% |
2.14% |
6.96% |
(0.73%) |
(0.11%) |
0.58% |
0.59% |
(7.68%) |
(0.80%) |
(2.24%) |
2.21% |
3.14% |
3.83% |
| 1997 |
4.87% |
1.66% |
(1.42%) |
(1.01%) |
1.63% |
1.96% |
6.39% |
(1.26%) |
2.33% |
(1.11%) |
0.05% |
3.79% |
19.00% |
| 1996 |
6.88% |
(4.04%) |
0.75% |
3.31% |
2.04% |
0.65% |
(3.91%) |
2.11% |
1.67% |
3.09% |
6.64% |
(0.56%) |
19.56% |
| 1995 |
(0.09%) |
0.06% |
1.65% |
(0.39%) |
1.33% |
(1.35%) |
3.01% |
6.14% |
1.80% |
(0.74%) |
3.60% |
2.98% |
19.26% |
| 1994 |
0.13% |
(7.95%) |
(5.22%) |
(1.01%) |
0.81% |
1.22% |
(1.69%) |
(0.61%) |
1.34% |
(1.94%) |
(1.33%) |
(0.90%) |
(16.22%) |
| 1993 |
1.48% |
5.75% |
1.02% |
3.13% |
1.64% |
8.21% |
5.20% |
4.43% |
(0.22%) |
3.55% |
(0.72%) |
8.05% |
49.73% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
|
 |
