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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Arbitrage/Event Driven Index |
11.29% |
3.82% |
1.49 |
2.35 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.81% |
0.67 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
10.99% |
0.05 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Arbitrage/Event Driven Index |
147 |
21 |
88% |
-7.15% |
2 |
Aug-98 |
Sep-98 |
$4,473 |
| S&P 500 Index |
108 |
60 |
64% |
-20.55% |
4 |
Apr-02 |
Jul-02 |
$3,255 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
121 |
47 |
72% |
-5.03% |
3 |
Feb-94 |
Apr-94 |
$2,402 |
Monthly Returns (1993 - 2006)
| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Year |
| 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 |
(0.36%) |
1.39% |
(0.87%) |
(1.62%) |
1.17% |
1.61% |
2.24% |
0.74% |
1.76% |
(1.32%) |
1.00% |
1.00% |
6.86% |
| 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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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