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 (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Macro Index 7.92% 7.77% 0.99 1.82 N/A N/A
MSCI WORLD - Price - USD 5.08% 15.38% 0.38 0.43 6.93% 0.39
S&P 500 6.11% 15.11% 0.45 0.54 6.84% 0.36
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Macro Index 146 94 61% -16.40% 12 Jan-94 Jan-95 $4,590
MSCI WORLD - Price - USD 143 97 60% -55.37% 16 Oct-07 Feb-09 $2,692
S&P 500 149 91 62% -52.56% 16 Oct-07 Feb-09 $3,273
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 0.31% 1.51% -0.47% -0.56% 0.02% -1.06% 3.10% 0.52% -1.26% -1.98% -0.25% 1.26% 1.04%
2011 -1.23% 0.68% -0.58% 2.18% -1.94% -1.11% 1.74% 0.61% -0.82% -0.24% 0.23% -0.35% -0.92%
2010 -0.75% 1.61% 1.43% 0.08% -1.49% -0.46% -1.08% 0.99% 2.99% 1.03% 0.01% 2.73% 7.20%
2009 0.53% -1.24% 0.40% 2.96% 3.93% -1.77% 2.18% 0.25% 1.97% -0.34% 2.14% -1.04% 10.25%
2008 1.21% 2.43% -2.07% 1.55% 1.49% 1.00% -1.42% -2.55% -2.16% -0.21% 2.21% 1.47% 2.80%
2007 0.34% 0.04% 0.61% 1.76% 2.17% 1.53% 1.28% -1.68% 4.18% 2.54% -1.57% 1.55% 13.35%
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%   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%

 

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