Hennessee Convertible Arbitrage Index

The Hennessee Convertible Arbitrage Index includes funds that engage in a type of arbitrage that involves the simultaneous purchase of a convertible bond and the short sale of the underlying stock. Interest rate risk may or may not be hedged.

 

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 Convertible Arbitrage Index 7.90% 5.77% 1.31 1.87 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 6.66% 0.49
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 6.66% 0.13
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Convertible Arbitrage Index 187 53 78% -25.14% 13 Oct-07 Nov-08 $4,572
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 1.94% 1.49% 0.74% 0.23% -0.44% 0.90% 1.04% 0.86% 0.95% 0.64% 0.94% 0.71% 10.45%
2011 1.66% 1.54% 0.44% 0.34% -0.24% -0.80% -0.32% -1.62% -2.73% 1.45% -0.78% 0.26% -0.89%
2010 0.37% -0.01% 2.56% 1.64% -3.59% 0.11% 2.21% 1.36% 2.44% 2.29% -0.53% 1.25% 10.38%
2009 3.77% 2.26% 5.00% 5.88% 5.23% 0.72% 4.74% 2.89% 3.35% 1.32% 0.83% 2.79% 46.25%
2008 0.21% -0.25% -2.36% 1.15% 1.32% -0.67% -1.86% -1.03% -9.05% -10.36% -3.74% 0.29% -24.05%
2007 1.26% 1.23% 0.67% 0.20% 1.02% 0.02% -0.40% -1.32% 1.47% 1.66% -0.75% -0.41% 4.71%
2006 2.48% 1.30% 1.04% 0.33% 1.00% 0.02% 0.64% 1.12% 0.91% 0.64% 0.79% 1.24% 12.12%
2005 -0.91% -0.48% -1.37% -2.89% -1.42% 1.07% 1.21% 0.73% 1.23% -0.21% -0.09% 0.75% -2.44%
2004 1.11% 0.36% 0.54% 0.15% -1.26% -1.06% 0.34% 0.48% -0.03% -0.48% 0.43% 0.36% 0.92%
2003 2.91% 1.11% 0.60% 1.37% 1.45% -0.46% -0.65% -0.78% 1.35% 1.22% 0.84% 0.44% 9.75%
2002 1.38% -0.04% 0.72% 1.01% 0.16% 0.10% -1.54% 0.39% 1.52% 0.84% 2.59% 1.27% 8.67%
2001 3.61% 1.40% 0.98% 1.67% 0.46% 0.28% 0.88% 1.50% 0.99% 1.27% 0.59% 0.37% 14.89%
2000 2.38% 2.38% 1.86% 0.64% 0.71% 1.90% 0.70% 2.31% 0.71% -0.69% -2.72% -1.74% 8.61%
1999 2.12% 0.78% 1.57% 2.45% 1.54% 0.95% 0.26% 0.56% 0.89% -0.33% 1.01% 3.37% 16.21%
1998 1.27% 1.44% 1.68% 1.29% 0.36% -0.27% 0.15% -2.85% -1.27% 0.35% 2.32% 1.67% 6.19%
1997 1.02% 0.95% 0.75% 0.60% 1.63% 1.45% 1.68% 0.78% 1.37% 0.68% 0.21% 0.49% 12.23%
1996 1.44% 1.20% 1.19% 1.73% 1.98% 0.25% -0.01% 1.50% 0.87% 0.94% 1.08% 0.57% 13.49%
1995 0.51% 0.98% 2.20% 2.34% 1.96% 2.34% 1.69% 1.55% 1.89% 0.88% 1.23% 1.32% 20.59%
1994 0.48% 0.63% -2.32% -3.63% -0.98% 0.24% 1.29% 0.39% -0.19% -0.51% -0.68% -2.61% -7.73%
1993 0.77% 1.63% 1.61% 1.31% 1.03% 1.21% 1.43% 1.05% 0.94% 0.97% 0.31% 0.24% 13.23%

 

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