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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Value Index |
12.76% |
7.76% |
0.93 |
1.40 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.92% |
0.72 |
| NASDAQ |
9.52% |
25.25% |
0.29 |
0.23 |
10.19% |
0.69 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Value Index |
118 |
50 |
70% |
-15.15% |
4 |
May-98 |
Aug-98 |
$5,372 |
| 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 |
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% |
To download the monthly performance data in an excel spreadsheet, click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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