The Hennessee Merger Arbitrage Index typically involves the simultaneous purchase of stock in a company being acquired and the short sale of stock in the respective acquirer. Many merger arbitrage managers attempt to mitigate deal risk by engaging only in strategic takeovers after they have been announced.
| 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 Merger Arbitrage Index |
8.91% |
3.78% |
2.22 |
4.08 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
7.95% |
0.54 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
8.56% |
0.06 |
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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 Merger Arbitrage Index |
198 |
42 |
83% |
-5.62% |
12 |
Oct-07 |
Oct-08 |
$5,515 |
| 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 |
1.00% |
1.50% |
0.42% |
-0.14% |
-0.24% |
-0.39% |
0.38% |
0.59% |
0.09% |
-0.22% |
1.28% |
1.85% |
6.27% |
| 2011 |
0.92% |
0.71% |
0.30% |
0.91% |
0.08% |
-0.42% |
-0.72% |
-1.35% |
-2.12% |
1.39% |
0.10% |
0.02% |
-0.25% |
| 2010 |
0.19% |
0.74% |
1.51% |
0.54% |
-1.78% |
-0.38% |
1.67% |
0.44% |
1.28% |
0.72% |
-0.82% |
2.00% |
6.21% |
| 2009 |
0.67% |
-0.06% |
1.92% |
0.29% |
2.26% |
0.67% |
0.82% |
1.08% |
1.20% |
0.09% |
0.89% |
1.11% |
11.48% |
| 2008 |
-1.60% |
1.04% |
-0.79% |
1.34% |
1.47% |
-1.21% |
0.20% |
1.20% |
-3.09% |
-1.82% |
0.57% |
1.58% |
-1.24% |
| 2007 |
2.70% |
2.13% |
0.49% |
1.82% |
2.45% |
0.05% |
0.34% |
0.58% |
1.24% |
1.85% |
-2.29% |
-0.09% |
11.75% |
| 2006 |
2.50% |
0.88% |
1.54% |
1.14% |
-0.14% |
0.82% |
0.58% |
0.46% |
0.37% |
1.19% |
1.06% |
1.73% |
12.79% |
| 2005 |
0.13% |
0.91% |
0.44% |
-1.04% |
0.75% |
0.86% |
1.24% |
0.57% |
0.01% |
-1.51% |
1.25% |
1.03% |
4.68% |
| 2004 |
0.97% |
0.62% |
0.08% |
-0.34% |
-0.20% |
0.14% |
-0.85% |
0.15% |
0.40% |
0.63% |
1.66% |
1.44% |
4.77% |
| 2003 |
0.25% |
0.31% |
0.07% |
0.57% |
1.19% |
0.41% |
0.13% |
0.32% |
0.49% |
0.55% |
0.27% |
0.68% |
5.36% |
| 2002 |
0.94% |
-0.41% |
0.79% |
0.09% |
-0.19% |
-1.96% |
-2.36% |
0.27% |
-0.22% |
0.52% |
1.01% |
0.49% |
-1.09% |
| 2001 |
1.49% |
0.54% |
-0.43% |
0.75% |
1.65% |
-0.81% |
0.79% |
1.00% |
-2.77% |
0.59% |
0.40% |
0.37% |
3.55% |
| 2000 |
1.25% |
3.17% |
0.36% |
2.44% |
0.94% |
1.75% |
1.35% |
1.96% |
1.12% |
0.21% |
0.74% |
0.97% |
17.48% |
| 1999 |
1.22% |
-0.15% |
1.06% |
2.57% |
1.99% |
2.05% |
1.18% |
0.67% |
1.08% |
0.88% |
1.98% |
0.46% |
16.03% |
| 1998 |
0.13% |
2.15% |
1.30% |
1.27% |
0.40% |
1.06% |
0.01% |
-4.71% |
-0.44% |
1.34% |
1.51% |
1.94% |
5.93% |
| 1997 |
1.56% |
0.30% |
0.70% |
-0.32% |
1.58% |
2.09% |
1.39% |
0.90% |
1.87% |
0.69% |
1.74% |
1.35% |
14.73% |
| 1996 |
1.65% |
1.14% |
1.30% |
1.50% |
1.03% |
0.58% |
0.37% |
1.59% |
1.27% |
0.87% |
1.21% |
1.12% |
14.51% |
| 1995 |
1.36% |
1.62% |
1.20% |
0.65% |
1.12% |
2.37% |
1.11% |
0.99% |
1.63% |
0.38% |
1.66% |
0.89% |
16.04% |
| 1994 |
1.64% |
-0.44% |
-0.07% |
-1.25% |
1.10% |
0.97% |
1.28% |
2.55% |
0.73% |
-0.58% |
-0.36% |
0.23% |
5.89% |
| 1993 |
3.17% |
2.90% |
1.95% |
1.99% |
1.13% |
3.31% |
2.62% |
1.81% |
1.53% |
1.26% |
0.93% |
2.34% |
27.95% |
