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 (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Event Driven Index 11.41% 7.47% 1.46 2.28 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 9.16% 0.67
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 11.52% 0.01
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Event Driven Index 180 60 75% -29.82% 21 May-07 Feb-09 $8,684
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 3.56% 1.79% 1.14% -0.06% -3.39% -0.21% 0.45% 1.86% 1.63% 1.06% 1.15% 1.64% 10.97%
2011 1.67% 2.70% 0.03% 1.67% -0.73% -1.74% -0.59% -5.55% -4.18% 3.81% -0.86% -0.18% -4.27%
2010 1.08% 1.92% 3.40% 2.28% -3.27% -2.76% 3.04% -1.25% 3.78% 2.55% -0.23% 3.54% 14.63%
2009 1.24% -3.09% 2.37% 7.65% 5.92% 2.05% 3.93% 3.00% 4.43% 0.02% 2.02% 4.65% 39.49%
2008 -3.11% 0.58% -2.11% 1.41% 1.74% -2.40% -2.23% 0.90% -8.99% -8.32% -3.91% -0.93% -24.73%
2007 2.25% 1.16% 1.81% 1.89% 2.13% -0.12% -1.53% -2.40% 0.73% 1.90% -3.38% -0.17% 4.15%
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%

 

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