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Hennessee Event Driven Index
The Hennessee Event Driven Index includes include merger arbitrage, distressed, liquidations, and spin-offs in addition to value driven special situation equity investing. Investments are usually dependent on an "event" as the catalyst to release the position's intrinsic value.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Event Driven Index |
14.33% |
5.83% |
1.46 |
2.45 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
12.22% |
0.52 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
13.97% |
0.05 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Event Driven Index |
136 |
32 |
81% |
-11.41% |
2 |
Aug-98 |
Sep-98 |
$6,521 |
| 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 |
3.48% |
(0.52%) |
1.61% |
1.81% |
(0.11%) |
0.04% |
(0.62%) |
1.02% |
(0.28%) |
2.29% |
1.73% |
1.54% |
12.57% |
| 2005 |
(0.18%) |
1.69% |
(0.40%) |
(2.15%) |
0.83% |
1.80% |
2.42% |
1.18% |
1.37% |
(2.62%) |
1.42% |
1.62% |
7.05% |
| 2004 |
3.02% |
1.30% |
(0.03%) |
(0.19%) |
(0.47%) |
1.11% |
(1.19%) |
0.25% |
1.01% |
1.18% |
3.47% |
2.48% |
12.49% |
| 2003 |
1.82% |
0.32% |
0.24% |
3.12% |
2.86% |
2.15% |
0.91% |
0.73% |
1.25% |
2.05% |
0.85% |
1.88% |
19.72% |
| 2002 |
0.88% |
(0.75%) |
1.52% |
0.48% |
0.24% |
(3.08%) |
(3.26%) |
0.97% |
(0.11%) |
0.12% |
1.63% |
1.07% |
(0.43%) |
| 2001 |
2.56% |
1.15% |
(0.05%) |
1.02% |
2.77% |
1.04% |
1.09% |
0.92% |
(1.91%) |
1.73% |
0.73% |
0.95% |
12.59% |
| 2000 |
1.99% |
3.42% |
1.97% |
0.13% |
(1.13%) |
2.05% |
0.92% |
2.01% |
0.38% |
(0.11%) |
(1.41%) |
0.25% |
10.86% |
| 1999 |
2.24% |
(0.08%) |
3.07% |
6.66% |
2.80% |
3.17% |
0.51% |
(0.71%) |
0.48% |
0.56% |
2.08% |
1.43% |
24.36% |
| 1998 |
0.15% |
4.04% |
2.32% |
0.76% |
(1.28%) |
(0.14%) |
1.32% |
(7.55%) |
(4.18%) |
0.79% |
1.15% |
2.41% |
(0.76%) |
| 1997 |
2.69% |
1.11% |
0.23% |
(0.16%) |
3.52% |
2.58% |
3.80% |
0.51% |
3.19% |
1.74% |
2.56% |
1.59% |
25.91% |
| 1996 |
2.84% |
1.18% |
1.74% |
1.09% |
1.70% |
0.35% |
0.91% |
1.43% |
2.42% |
2.18% |
2.96% |
2.03% |
22.90% |
| 1995 |
0.86% |
1.67% |
2.02% |
1.28% |
1.51% |
2.11% |
0.67% |
1.67% |
1.08% |
0.77% |
1.23% |
0.26% |
16.20% |
| 1994 |
4.82% |
(0.38%) |
0.58% |
(0.81%) |
1.14% |
1.67% |
1.83% |
1.95% |
0.34% |
(1.21%) |
(1.49%) |
0.50% |
9.14% |
| 1993 |
5.47% |
1.98% |
6.04% |
0.95% |
2.53% |
2.43% |
2.76% |
1.86% |
0.12% |
1.70% |
1.28% |
2.27% |
33.49% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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