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Hennessee Arbitrage/Event Driven Index
The Hennessee Arbitrage/Event Driven Index includes funds that invest in arbitrage opportunities or event driven situations. Volatility and return expectations are generally lower than long/short equity funds because of the managers' desire to minimize market risk. The Hennessee Arbitrage/Event Driven Index includes funds from the following sub-sector indices: convertible arbitrage, distressed, event driven, merger arbitrage, multiple arbitrage, PIPES/private financing, high yield and fixed income.
| Summary Statistics (Jan-93 to Dec-12) |
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Annualized Compound Return |
Annualized Standard Deviation |
Sharpe
Ratio |
Sortino
Ratio |
Annualized Alpha
(versus Benchmark) |
Correlation
(versus Benchmark) |
| Hennessee Arbitrage/Event Driven Index |
9.29% |
5.11% |
1.72 |
2.61 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
7.76% |
0.65 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
9.09% |
0.04 |
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Number of Months |
% of Months
Positive |
Largest Consecutive Loss |
Value of $1000
(Invested at Inception) |
| Postive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Arbitrage/Event Driven Index |
193 |
47 |
80% |
-22.03% |
14 |
Oct-07 |
Dec-08 |
$5,909 |
| S&P 500 |
149 |
91 |
62% |
-52.56% |
16 |
Oct-07 |
Feb-09 |
$3,273 |
| Barclays Aggregate Bond Index |
168 |
72 |
70% |
-5.15% |
5 |
Jan-94 |
Jun-94 |
$3,422 |
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| Historical Performance (Jan-93 to Dec-12) |
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Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 2012 |
2.29% |
1.55% |
0.85% |
-0.01% |
-1.23% |
-0.05% |
0.72% |
1.08% |
0.80% |
0.55% |
0.81% |
1.61% |
9.30% |
| 2011 |
1.46% |
1.56% |
0.01% |
0.85% |
-0.30% |
-0.81% |
-0.22% |
-2.90% |
-3.10% |
1.83% |
-0.72% |
0.15% |
-2.31% |
| 2010 |
1.10% |
0.84% |
2.48% |
1.72% |
-2.74% |
-0.99% |
1.99% |
-0.13% |
2.53% |
1.99% |
0.33% |
2.43% |
12.05% |
| 2009 |
2.02% |
-0.34% |
1.78% |
4.24% |
4.80% |
1.59% |
3.20% |
2.29% |
3.35% |
0.75% |
1.42% |
2.73% |
31.51% |
| 2008 |
-1.66% |
-0.31% |
-1.56% |
1.39% |
1.59% |
-1.04% |
-1.53% |
-0.05% |
-6.81% |
-7.79% |
-3.88% |
-0.69% |
-20.59% |
| 2007 |
1.70% |
1.36% |
0.97% |
1.37% |
1.63% |
0.32% |
-0.21% |
-1.13% |
1.25% |
1.76% |
-1.87% |
0.05% |
7.36% |
| 2006 |
2.51% |
0.63% |
1.50% |
1.41% |
0.46% |
0.19% |
0.13% |
0.74% |
0.02% |
1.38% |
1.29% |
1.41% |
12.29% |
| 2005 |
-0.10% |
0.90% |
-0.31% |
-1.55% |
0.05% |
1.22% |
1.75% |
0.89% |
1.10% |
-0.82% |
0.82% |
1.20% |
5.22% |
| 2004 |
1.96% |
0.73% |
0.38% |
0.33% |
-0.48% |
0.31% |
-0.20% |
0.38% |
0.52% |
0.65% |
2.10% |
1.53% |
8.49% |
| 2003 |
1.84% |
0.63% |
0.52% |
1.99% |
1.80% |
0.93% |
0.33% |
0.31% |
1.31% |
1.43% |
0.80% |
1.17% |
13.85% |
| 2002 |
1.17% |
-0.31% |
0.75% |
0.72% |
0.28% |
-1.39% |
-2.19% |
0.42% |
-0.28% |
0.11% |
1.80% |
1.12% |
2.15% |
| 2001 |
2.38% |
0.85% |
0.00% |
0.82% |
1.39% |
0.49% |
0.39% |
1.01% |
-0.98% |
1.20% |
0.64% |
0.48% |
8.98% |
| 2000 |
1.88% |
3.20% |
0.90% |
0.44% |
0.02% |
1.71% |
0.63% |
1.76% |
0.51% |
-0.37% |
-1.45% |
-0.05% |
9.49% |
| 1999 |
1.70% |
0.58% |
1.91% |
3.12% |
1.55% |
1.98% |
0.74% |
0.51% |
0.89% |
0.45% |
2.01% |
2.46% |
19.40% |
| 1998 |
0.78% |
2.03% |
1.71% |
1.13% |
0.09% |
0.21% |
0.11% |
-5.39% |
-1.86% |
0.44% |
2.29% |
1.33% |
2.66% |
| 1997 |
1.98% |
1.24% |
0.45% |
0.19% |
1.95% |
1.87% |
2.21% |
0.63% |
2.12% |
0.39% |
1.21% |
1.01% |
16.33% |
| 1996 |
2.33% |
1.13% |
1.55% |
1.85% |
1.63% |
0.80% |
0.30% |
1.60% |
1.63% |
1.53% |
1.60% |
1.16% |
18.50% |
| 1995 |
0.98% |
1.30% |
1.17% |
1.37% |
1.48% |
1.94% |
1.82% |
1.55% |
1.62% |
0.60% |
1.12% |
1.53% |
17.77% |
| 1994 |
1.97% |
0.08% |
-1.19% |
-1.73% |
0.24% |
0.57% |
1.35% |
1.83% |
0.60% |
-0.55% |
-0.81% |
-0.79% |
1.50% |
| 1993 |
2.65% |
1.58% |
3.19% |
0.84% |
2.54% |
1.95% |
1.96% |
1.20% |
0.51% |
1.63% |
0.83% |
1.70% |
22.59% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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