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Hennessee Market Neutral Index
The funds in the Hennessee Market Neutral Index typically have long and short equity positions with approximately zero net dollar exposure. In addition, some funds will attempt to be beta, sector, and market cap neutral to further reduce equity market risk. Funds within this style utilize a range of methods from quantitative modeling to fundamental pairs trading.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Market Neutral Index |
6.77% |
2.60% |
0.57 |
0.86 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
6.51% |
0.16 |
| NASDAQ |
9.52% |
25.25% |
0.29 |
0.23 |
6.66% |
0.11 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Market Neutral Index |
131 |
37 |
78% |
-4.57% |
4 |
Jan-99 |
Apr-99 |
$2,502 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| NASDAQ |
96 |
72 |
57% |
-41.26% |
4 |
Sep-00 |
Dec-00 |
$3,570 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2006 |
0.81% |
0.63% |
0.78% |
0.41% |
(0.05%) |
0.82% |
0.32% |
0.76% |
0.36% |
0.49% |
0.66% |
1.01% |
7.23% |
| 2005 |
0.55% |
0.73% |
0.03% |
(0.20%) |
0.43% |
0.70% |
0.44% |
0.26% |
0.91% |
(0.16%) |
0.65% |
0.31% |
4.75% |
| 2004 |
0.77% |
0.55% |
0.18% |
(1.03%) |
0.20% |
0.13% |
0.02% |
(0.05%) |
0.90% |
0.00% |
1.02% |
0.36% |
3.08% |
| 2003 |
0.31% |
(0.15%) |
(0.17%) |
(0.32%) |
0.74% |
(0.03%) |
(0.29%) |
0.05% |
0.68% |
0.95% |
0.11% |
0.21% |
2.10% |
| 2002 |
0.47% |
(0.27%) |
(0.06%) |
0.41% |
0.54% |
0.71% |
0.56% |
0.84% |
(0.52%) |
(0.61%) |
(1.27%) |
0.92% |
1.71% |
| 2001 |
1.01% |
1.09% |
0.99% |
0.83% |
0.65% |
0.34% |
0.45% |
0.54% |
(0.92%) |
(0.09%) |
0.67% |
0.76% |
6.49% |
| 2000 |
(0.75%) |
1.43% |
(0.86%) |
1.53% |
(0.37%) |
0.33% |
1.45% |
1.21% |
0.51% |
1.24% |
0.22% |
1.00% |
7.12% |
| 1999 |
(0.81%) |
(1.66%) |
(1.18%) |
(1.00%) |
0.36% |
1.09% |
1.55% |
(0.24%) |
1.03% |
(0.12%) |
(0.01%) |
0.20% |
(0.84%) |
| 1998 |
(0.23%) |
0.54% |
1.40% |
0.47% |
0.91% |
0.80% |
(0.23%) |
(1.20%) |
0.14% |
0.11% |
0.86% |
1.02% |
4.66% |
| 1997 |
1.64% |
0.95% |
0.89% |
0.79% |
0.46% |
1.57% |
3.34% |
0.31% |
1.53% |
1.27% |
0.69% |
0.63% |
14.97% |
| 1996 |
2.01% |
1.05% |
0.82% |
1.35% |
0.78% |
1.23% |
1.47% |
1.33% |
0.72% |
2.56% |
1.57% |
1.10% |
17.20% |
| 1995 |
(0.16%) |
1.15% |
0.78% |
1.33% |
1.09% |
0.57% |
1.39% |
0.51% |
1.27% |
1.92% |
0.35% |
0.57% |
11.30% |
| 1994 |
0.61% |
1.32% |
0.54% |
(0.03%) |
0.69% |
0.50% |
1.07% |
(0.66%) |
0.06% |
1.27% |
0.48% |
0.96% |
7.01% |
| 1993 |
2.11% |
(0.17%) |
1.51% |
(0.39%) |
1.11% |
1.74% |
1.35% |
1.67% |
1.08% |
(0.33%) |
(1.11%) |
0.62% |
9.52% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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