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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 (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Convertible Arbitrage Index |
8.79% |
3.97% |
0.86 |
1.22 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
8.01% |
0.30 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
7.74% |
0.15 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Convertible Arbitrage Index |
137 |
31 |
82% |
-6.89% |
5 |
Jan-05 |
May-05 |
$3,253 |
| 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 |
2.48% |
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% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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