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Hennessee Multiple Arbitrage Index
The Hennessee Multiple Arbitrage Index includes funds that employ more than one arbitrage strategy. The portfolio manager opportunistically allocates capital among the various strategies in an attempt to create the best risk/reward profile for the overall fund. Common strategies include merger arbitrage, convertible arbitrage, fixed income arbitrage, long/short equity pairs trading, quantitative equity trading, volatility arbitrage, and distressedinvestments.
| 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 Multiple Arbitrage Index |
8.86% |
4.30% |
1.94 |
2.98 |
N/A |
N/A |
| S&P 500 |
6.11% |
15.11% |
0.45 |
0.54 |
7.92% |
0.48 |
| Barclays Aggregate Bond Index |
6.34% |
3.65% |
1.64 |
3.16 |
9.07% |
-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 Multiple Arbitrage Index |
198 |
42 |
83% |
-18.64% |
14 |
Oct-07 |
Dec-08 |
$5,460 |
| 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 |
1.43% |
1.60% |
0.62% |
-0.20% |
-0.82% |
-0.15% |
0.72% |
1.00% |
0.83% |
-0.05% |
0.13% |
1.29% |
6.56% |
| 2011 |
1.33% |
0.87% |
0.16% |
0.55% |
-0.16% |
-0.52% |
0.01% |
-2.23% |
-2.27% |
0.83% |
-0.83% |
-0.08% |
-2.38% |
| 2010 |
0.94% |
0.77% |
1.57% |
0.87% |
-1.66% |
-0.71% |
1.11% |
0.54% |
2.30% |
1.68% |
1.38% |
2.26% |
11.54% |
| 2009 |
3.76% |
0.64% |
1.43% |
2.08% |
4.55% |
1.71% |
2.79% |
1.85% |
2.78% |
0.93% |
1.50% |
1.43% |
28.55% |
| 2008 |
-1.32% |
0.88% |
-1.98% |
0.73% |
1.89% |
0.01% |
-1.42% |
0.03% |
-6.85% |
-6.65% |
-3.29% |
-0.42% |
-17.29% |
| 2007 |
2.03% |
1.72% |
0.80% |
1.31% |
2.03% |
0.58% |
0.06% |
-0.75% |
1.30% |
2.07% |
-1.13% |
-0.51% |
9.86% |
| 2006 |
2.28% |
0.91% |
1.88% |
1.52% |
0.49% |
0.44% |
0.29% |
0.60% |
-1.43% |
1.49% |
1.51% |
1.74% |
12.30% |
| 2005 |
0.06% |
0.96% |
-0.17% |
-1.38% |
-0.29% |
0.92% |
2.01% |
0.97% |
0.96% |
-0.58% |
0.56% |
1.38% |
5.49% |
| 2004 |
1.47% |
0.47% |
0.48% |
0.49% |
-0.19% |
0.13% |
0.06% |
0.27% |
0.39% |
0.58% |
1.51% |
1.21% |
7.07% |
| 2003 |
1.67% |
0.66% |
0.52% |
1.55% |
1.16% |
0.74% |
0.41% |
0.35% |
1.48% |
1.29% |
0.84% |
1.03% |
12.34% |
| 2002 |
1.12% |
0.09% |
0.74% |
0.62% |
0.36% |
-0.95% |
-1.15% |
0.54% |
0.40% |
0.42% |
1.69% |
1.15% |
5.11% |
| 2001 |
2.24% |
1.41% |
0.63% |
1.03% |
0.90% |
-0.03% |
0.52% |
0.93% |
-0.18% |
1.09% |
0.64% |
0.55% |
10.15% |
| 2000 |
2.14% |
2.42% |
1.61% |
2.19% |
1.68% |
1.54% |
1.26% |
1.46% |
1.72% |
0.71% |
0.41% |
1.07% |
19.79% |
| 1999 |
1.53% |
0.78% |
1.35% |
2.06% |
1.50% |
1.21% |
1.53% |
0.50% |
0.83% |
0.66% |
1.57% |
1.71% |
16.33% |
| 1998 |
0.52% |
1.48% |
1.16% |
1.35% |
0.81% |
0.60% |
0.63% |
-3.81% |
-0.56% |
-0.70% |
2.17% |
0.86% |
4.47% |
| 1997 |
1.59% |
1.03% |
0.68% |
0.57% |
1.58% |
0.76% |
0.73% |
0.83% |
1.21% |
1.06% |
1.46% |
1.11% |
13.36% |
| 1996 |
2.00% |
1.33% |
2.42% |
0.98% |
1.49% |
1.51% |
0.99% |
1.24% |
0.82% |
0.73% |
1.01% |
1.11% |
16.78% |
| 1995 |
0.72% |
0.05% |
-0.98% |
0.72% |
0.89% |
0.92% |
1.90% |
2.43% |
1.52% |
1.67% |
0.53% |
1.67% |
12.68% |
| 1994 |
0.89% |
0.33% |
0.17% |
0.14% |
0.21% |
0.83% |
0.69% |
0.77% |
0.25% |
-0.43% |
-0.37% |
0.06% |
3.59% |
| 1993 |
0.71% |
0.91% |
1.35% |
1.67% |
1.84% |
-0.48% |
-0.35% |
1.59% |
1.65% |
-1.09% |
-0.45% |
0.95% |
8.56% |
© 2012 Hennessee Group LLC, All Rights Reserved.
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