HCN Aggressive Growth Index

HCN Aggressive Growth Index
HCN Aggressive Growth Index -November 2014 Report
Year
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
YTD
S&P 500
2014
(0.23%)
1.72%
(0.56%)
(1.62%)
1.08%
2%
(1.15%)
1.37%
(0.2%)
(1.13%)
0.8%
-
2.02%
13.97%
2013
3.5%
0.51%
0.48%
0.33%
0.67%
(2.25%)
2.52%
(0.66%)
1.96%
1.32%
4.77%
2.74%
16.86%
32.4%
2012
1.11%
0.53%
(0.51%)
0.56%
(2.83%)
0.43%
1.14%
1.1%
0.91%
(1%)
0.3%
1.59%
3.29%
15.99%
2011
(1.1%)
2.43%
(2.17%)
3.02%
(2.48%)
(0.8%)
2.88%
5.74%
1.4%
2.03%
(2.42%)
(0.95%)
7.44%
2.11%
2010
(0.9%)
0.52%
2.08%
0.49%
(2.43%)
(0.81%)
1.03%
1.22%
5.32%
2.99%
2.19%
5.05%
17.76%
15.07%
2009
0.12%
(0.65%)
1.56%
5.85%
8.38%
0.24%
3.17%
0.73%
3.29%
(2.23%)
0.96%
0.32%
23.48%
26.46%
2008
(2.54%)
1.78%
(3.22%)
3.28%
2.82%
(1.64%)
0.02%
(2.25%)
(7.1%)
(7.61%)
4.04%
2.88%
(9.93%)
(37%)
2007
1.38%
0.42%
0.87%
1.56%
2.31%
0.69%
(0.88%)
(0.87%)
3.79%
5.02%
(1.59%)
1.05%
14.43%
5.49%
Performance Statistics
Distribution of Returns
HCN-AG
S&P500
Average Annual Return
9.52%
8.25%
Average Monthly Return
0.75%
0.69%
Average Monthly Gain
2.01%
3.4%
Highest Monthly Return
8.38%
10.93%
Lowest Monthly Return
(7.61%)
(16.8%)
Previous 12 Months
4.82%
16.85%
Previous 36 Months
21.98%
76.81%
Annualized Standard Deviation
8.56%
16.15%
Compounded Rate of Return
0.72%
0.58%
Ann. Compounded Rate of Return
9.03%
7.16%
Cumulative Return
98.28%
72.86%
Profitable Percentage
67.37%
64.21%
(17.46%)
(50.95%)
HCN-AG
S&P500
Max Drawdown
Rolling 12 Month Performance
Quantitative Statistics
Annualized Return
9.03%
7.16%
Annualized Standard Deviation
8.56%
16.15%
Annualized Sharpe Ratio (0%)
1.06
0.51
Annualized Sharpe Ratio (5%)
0.48
0.21
Annualized Sharpe Ratio (10%)
(0.06)
(0.08)
Annualized Sortino Ratio (0%)
1.77
0.61
Annualized Sortino Ratio (5%)
0.69
0.17
Annualized Sortino Ratio (10%)
(0.15)
(0.21)
Ann. Downside Deviation (10%)
1.79%
3.67%
NAV Growth Since Index Inception
Correlation to Benchmarks
Alpha (annualized)
Beta
2
R
Drawdown Analysis
Depth Length of Drawdown
(17.46%)
5 months
(4.53%)
5 months
(4.5%)
7 months
S&P500
0.54
0.31
0.34
Months to Recover
Start
End
7 months
06-2008 05-2009
2 months
11-2007 05-2008
8 months
11-2011 01-2013
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HedgeCo Index Team • Tel: (561) 835-8690 • [email protected] • http:// www.hedgeco.net
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