| 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 Convertible Arbitrage Index |
7.90% |
5.77% |
1.31 |
1.87 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
6.66% |
0.49 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
6.66% |
0.13 |
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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 Convertible Arbitrage Index |
187 |
53 |
78% |
-25.14% |
13 |
Oct-07 |
Nov-08 |
$4,572 |
| 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 |
1.94% |
1.49% |
0.74% |
0.23% |
-0.44% |
0.90% |
1.04% |
0.86% |
0.95% |
0.64% |
0.94% |
0.71% |
10.45% |
| 2011 |
1.66% |
1.54% |
0.44% |
0.34% |
-0.24% |
-0.80% |
-0.32% |
-1.62% |
-2.73% |
1.45% |
-0.78% |
0.26% |
-0.89% |
| 2010 |
0.37% |
-0.01% |
2.56% |
1.64% |
-3.59% |
0.11% |
2.21% |
1.36% |
2.44% |
2.29% |
-0.53% |
1.25% |
10.38% |
| 2009 |
3.77% |
2.26% |
5.00% |
5.88% |
5.23% |
0.72% |
4.74% |
2.89% |
3.35% |
1.32% |
0.83% |
2.79% |
46.25% |
| 2008 |
0.21% |
-0.25% |
-2.36% |
1.15% |
1.32% |
-0.67% |
-1.86% |
-1.03% |
-9.05% |
-10.36% |
-3.74% |
0.29% |
-24.05% |
| 2007 |
1.26% |
1.23% |
0.67% |
0.20% |
1.02% |
0.02% |
-0.40% |
-1.32% |
1.47% |
1.66% |
-0.75% |
-0.41% |
4.71% |
| 2006 |
2.48% |
1.30% |
1.04% |
0.33% |
1.00% |
0.02% |
0.64% |
1.12% |
0.91% |
0.64% |
0.79% |
1.24% |
12.12% |
| 2005 |
-0.91% |
-0.48% |
-1.37% |
-2.89% |
-1.42% |
1.07% |
1.21% |
0.73% |
1.23% |
-0.21% |
-0.09% |
0.75% |
-2.44% |
| 2004 |
1.11% |
0.36% |
0.54% |
0.15% |
-1.26% |
-1.06% |
0.34% |
0.48% |
-0.03% |
-0.48% |
0.43% |
0.36% |
0.92% |
| 2003 |
2.91% |
1.11% |
0.60% |
1.37% |
1.45% |
-0.46% |
-0.65% |
-0.78% |
1.35% |
1.22% |
0.84% |
0.44% |
9.75% |
| 2002 |
1.38% |
-0.04% |
0.72% |
1.01% |
0.16% |
0.10% |
-1.54% |
0.39% |
1.52% |
0.84% |
2.59% |
1.27% |
8.67% |
| 2001 |
3.61% |
1.40% |
0.98% |
1.67% |
0.46% |
0.28% |
0.88% |
1.50% |
0.99% |
1.27% |
0.59% |
0.37% |
14.89% |
| 2000 |
2.38% |
2.38% |
1.86% |
0.64% |
0.71% |
1.90% |
0.70% |
2.31% |
0.71% |
-0.69% |
-2.72% |
-1.74% |
8.61% |
| 1999 |
2.12% |
0.78% |
1.57% |
2.45% |
1.54% |
0.95% |
0.26% |
0.56% |
0.89% |
-0.33% |
1.01% |
3.37% |
16.21% |
| 1998 |
1.27% |
1.44% |
1.68% |
1.29% |
0.36% |
-0.27% |
0.15% |
-2.85% |
-1.27% |
0.35% |
2.32% |
1.67% |
6.19% |
| 1997 |
1.02% |
0.95% |
0.75% |
0.60% |
1.63% |
1.45% |
1.68% |
0.78% |
1.37% |
0.68% |
0.21% |
0.49% |
12.23% |
| 1996 |
1.44% |
1.20% |
1.19% |
1.73% |
1.98% |
0.25% |
-0.01% |
1.50% |
0.87% |
0.94% |
1.08% |
0.57% |
13.49% |
| 1995 |
0.51% |
0.98% |
2.20% |
2.34% |
1.96% |
2.34% |
1.69% |
1.55% |
1.89% |
0.88% |
1.23% |
1.32% |
20.59% |
| 1994 |
0.48% |
0.63% |
-2.32% |
-3.63% |
-0.98% |
0.24% |
1.29% |
0.39% |
-0.19% |
-0.51% |
-0.68% |
-2.61% |
-7.73% |
| 1993 |
0.77% |
1.63% |
1.61% |
1.31% |
1.03% |
1.21% |
1.43% |
1.05% |
0.94% |
0.97% |
0.31% |
0.24% |
13.23% |
