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 (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Arbitrage/Event Driven Index 9.29% 5.11% 1.72 2.61 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 7.76% 0.65
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 9.09% 0.04
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Arbitrage/Event Driven Index 193 47 80% -22.03% 14 Oct-07 Dec-08 $5,909
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
                           
Historical Performance (Jan-93 to Dec-12)
                           
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2012 2.29% 1.55% 0.85% -0.01% -1.23% -0.05% 0.72% 1.08% 0.80% 0.55% 0.81% 1.61% 9.30%
2011 1.46% 1.56% 0.01% 0.85% -0.30% -0.81% -0.22% -2.90% -3.10% 1.83% -0.72% 0.15% -2.31%
2010 1.10% 0.84% 2.48% 1.72% -2.74% -0.99% 1.99% -0.13% 2.53% 1.99% 0.33% 2.43% 12.05%
2009 2.02% -0.34% 1.78% 4.24% 4.80% 1.59% 3.20% 2.29% 3.35% 0.75% 1.42% 2.73% 31.51%
2008 -1.66% -0.31% -1.56% 1.39% 1.59% -1.04% -1.53% -0.05% -6.81% -7.79% -3.88% -0.69% -20.59%
2007 1.70% 1.36% 0.97% 1.37% 1.63% 0.32% -0.21% -1.13% 1.25% 1.76% -1.87% 0.05% 7.36%
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 -0.10% 0.90% -0.31% -1.55% 0.05% 1.22% 1.75% 0.89% 1.10% -0.82% 0.82% 1.20% 5.22%
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%

 

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