Hennessee Value Index

The funds in the Hennessee Value Index typically have long and short equity positions in undervalued companies which trade below their intrinsic value. Undervalued securities may be defined as, but not limited to, equities with low price-to-earnings ratios or low price-to-book value ratios. Managers also focus on companies that generate substantial free cash flow and utilize cash for debt retirement, share repurchase programs, and other methods utilized to realize shareholder value.

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 Value Index 9.67% 8.63% 1.09 1.62 N/A N/A
Dow Jones Industrial Average 7.14% 14.85% 0.52 0.66 6.40% 0.73
S&P 500 6.11% 15.11% 0.45 0.54 6.61% 0.80
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Value Index 164 76 68% -30.32% 16 Oct-07 Feb-09 $6,334
Dow Jones Industrial Average 147 93 61% -49.30% 16 Oct-07 Feb-09 $3,970
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 2.68% 2.46% 0.66% -0.69% -2.76% 0.72% 0.57% 0.90% 1.38% 0.30% 0.43% 1.52% 8.35%
2011 0.61% 1.73% 0.08% 1.04% -0.48% -1.08% -0.78% -4.27% -5.90% 5.34% -0.94% -0.27% -5.24%
2010 -0.82% 1.82% 3.22% 2.04% -4.04% -2.73% 2.69% -2.08% 4.80% 2.61% 1.12% 2.93% 11.74%
2009 -0.87% -2.77% 2.69% 6.29% 5.56% 0.89% 3.66% 1.89% 3.29% -1.27% 1.82% 2.75% 26.25%
2008 -3.67% 0.44% -2.38% 2.49% 2.86% -3.70% -2.05% 0.24% -8.20% -10.13% -5.16% 0.82% -25.73%
2007 1.50% 1.06% 1.10% 2.14% 2.72% 0.45% -0.36% -0.76% 1.93% 2.22% -2.80% 0.14% 9.60%
2006 3.45% 0.42% 1.99% 1.60% -1.71% -0.61% -0.86% 1.48% 0.52% 2.41% 2.06% 1.35% 12.67%
2005 -0.57% 2.08% -1.37% -2.14% 1.31% 2.18% 2.74% 0.82% 1.45% -2.20% 1.79% 1.79% 7.98%
2004 1.69% 1.38% 0.39% -0.82% -0.32% 1.45% -0.95% 0.04% 2.02% 0.71% 3.81% 2.37% 12.31%
2003 0.74% -0.86% 0.89% 3.70% 4.45% 2.10% 1.60% 1.50% 0.53% 2.61% 2.01% 2.52% 23.97%
2002 0.75% -0.06% 2.41% 0.65% -0.10% -2.89% -4.75% 0.99% -2.99% 1.26% 3.78% -1.69% -2.93%
2001 4.82% -0.14% -1.76% 2.64% 3.56% 0.77% -0.15% -1.01% -5.21% 1.41% 2.48% 3.75% 11.27%
2000 -1.50% 2.56% 4.31% -3.07% -1.47% 3.17% 1.41% 3.42% -0.50% -3.13% -2.95% 1.74% 3.63%
1999 2.90% -2.47% 1.01% 7.75% 3.00% 2.79% 0.83% -2.49% -0.81% -0.40% 3.33% 7.32% 24.57%
1998 -0.41% 4.41% 4.20% 1.39% -1.79% -1.17% -2.65% -10.20% 0.57% 2.14% 3.00% 0.81% -0.58%
1997 3.00% 1.71% -0.60% -0.23% 5.08% 2.71% 3.39% 1.56% 5.33% 0.45% -0.03% 1.53% 26.44%
1996 2.01% 2.03% 2.12% 1.77% 3.76% 0.03% -1.40% 2.64% 1.75% 1.42% 2.47% 2.08% 22.65%
1995 1.38% 1.74% 1.02% 1.74% 1.58% 2.06% 1.69% 3.04% 0.38% -1.44% 2.65% 2.09% 19.39%
1994 2.29% -1.16% -1.01% -0.57% 1.56% 0.15% 1.11% 1.54% -0.18% -1.18% -1.85% 0.43% 1.04%
1993 2.98% 0.15% 3.02% -0.11% 1.47% 1.60% 1.48% 3.51% 1.89% 3.26% -1.14% 2.30% 22.29%

 

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