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Hennessee Event Driven Index
The Hennessee Event Driven Index includes include merger arbitrage, distressed, liquidations, and spin-offs in addition to value driven special situation equity investing. Investments are usually dependent on an "event" as the catalyst to release the position's intrinsic value.
| 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 Event Driven Index |
11.41% |
7.47% |
1.46 |
2.28 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
9.16% |
0.67 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
11.52% |
0.01 |
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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 Event Driven Index |
180 |
60 |
75% |
-29.82% |
21 |
May-07 |
Feb-09 |
$8,684 |
| 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 |
3.56% |
1.79% |
1.14% |
-0.06% |
-3.39% |
-0.21% |
0.45% |
1.86% |
1.63% |
1.06% |
1.15% |
1.64% |
10.97% |
| 2011 |
1.67% |
2.70% |
0.03% |
1.67% |
-0.73% |
-1.74% |
-0.59% |
-5.55% |
-4.18% |
3.81% |
-0.86% |
-0.18% |
-4.27% |
| 2010 |
1.08% |
1.92% |
3.40% |
2.28% |
-3.27% |
-2.76% |
3.04% |
-1.25% |
3.78% |
2.55% |
-0.23% |
3.54% |
14.63% |
| 2009 |
1.24% |
-3.09% |
2.37% |
7.65% |
5.92% |
2.05% |
3.93% |
3.00% |
4.43% |
0.02% |
2.02% |
4.65% |
39.49% |
| 2008 |
-3.11% |
0.58% |
-2.11% |
1.41% |
1.74% |
-2.40% |
-2.23% |
0.90% |
-8.99% |
-8.32% |
-3.91% |
-0.93% |
-24.73% |
| 2007 |
2.25% |
1.16% |
1.81% |
1.89% |
2.13% |
-0.12% |
-1.53% |
-2.40% |
0.73% |
1.90% |
-3.38% |
-0.17% |
4.15% |
| 2006 |
3.48% |
-0.52% |
1.61% |
1.81% |
-0.11% |
0.04% |
-0.62% |
1.02% |
-0.28% |
2.29% |
1.73% |
1.54% |
12.57% |
| 2005 |
-0.18% |
1.69% |
-0.40% |
-2.15% |
0.83% |
1.80% |
2.42% |
1.18% |
1.37% |
-2.62% |
1.42% |
1.62% |
7.05% |
| 2004 |
3.02% |
1.30% |
-0.03% |
-0.19% |
-0.47% |
1.11% |
-1.19% |
0.25% |
1.01% |
1.18% |
3.47% |
2.48% |
12.49% |
| 2003 |
1.82% |
0.32% |
0.24% |
3.12% |
2.86% |
2.15% |
0.91% |
0.73% |
1.25% |
2.05% |
0.85% |
1.88% |
19.72% |
| 2002 |
0.88% |
-0.75% |
1.52% |
0.48% |
0.24% |
-3.08% |
-3.26% |
0.97% |
-0.11% |
0.12% |
1.63% |
1.07% |
-0.43% |
| 2001 |
2.56% |
1.15% |
-0.05% |
1.02% |
2.77% |
1.04% |
1.09% |
0.92% |
-1.91% |
1.73% |
0.73% |
0.95% |
12.59% |
| 2000 |
1.99% |
3.42% |
1.97% |
0.13% |
-1.13% |
2.05% |
0.92% |
2.01% |
0.38% |
-0.11% |
-1.41% |
0.25% |
10.86% |
| 1999 |
2.24% |
-0.08% |
3.07% |
6.66% |
2.80% |
3.17% |
0.51% |
-0.71% |
0.48% |
0.56% |
2.08% |
1.43% |
24.36% |
| 1998 |
0.15% |
4.04% |
2.32% |
0.76% |
-1.28% |
-0.14% |
1.32% |
-7.55% |
-4.18% |
0.79% |
1.15% |
2.41% |
-0.76% |
| 1997 |
2.69% |
1.11% |
0.23% |
-0.16% |
3.52% |
2.58% |
3.80% |
0.51% |
3.19% |
1.74% |
2.56% |
1.59% |
25.91% |
| 1996 |
2.84% |
1.18% |
1.74% |
1.09% |
1.70% |
0.35% |
0.91% |
1.43% |
2.42% |
2.18% |
2.96% |
2.03% |
22.90% |
| 1995 |
0.86% |
1.67% |
2.02% |
1.28% |
1.51% |
2.11% |
0.67% |
1.67% |
1.08% |
0.77% |
1.23% |
0.26% |
16.20% |
| 1994 |
4.82% |
-0.38% |
0.58% |
-0.81% |
1.14% |
1.67% |
1.83% |
1.95% |
0.34% |
-1.21% |
-1.49% |
0.50% |
9.14% |
| 1993 |
5.47% |
1.98% |
6.04% |
0.95% |
2.53% |
2.43% |
2.76% |
1.86% |
0.12% |
1.70% |
1.28% |
2.27% |
33.49% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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