|
Hennessee Merger Arbitrage Index
The Hennessee Merger Arbitrage Index typically involves the simultaneous purchase of stock in a company being acquired and the short sale of stock in the respective acquirer. Many merger arbitrage managers attempt to mitigate deal risk by engaging only in strategic takeovers after they have been announced.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Merger Arbitrage Index |
10.37% |
3.62% |
1.34 |
2.12 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
9.20% |
0.46 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
9.82% |
0.09 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Merger Arbitrage Index |
145 |
23 |
86% |
-5.13% |
2 |
Aug-98 |
Sep-98 |
$3,981 |
| 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 |
2.50% |
0.88% |
1.54% |
1.14% |
(0.14%) |
0.82% |
0.58% |
0.46% |
0.37% |
1.19% |
1.06% |
1.73% |
12.79% |
| 2005 |
0.13% |
0.91% |
0.44% |
(1.04%) |
0.75% |
0.86% |
1.24% |
0.57% |
0.01% |
(1.51%) |
1.25% |
1.03% |
4.68% |
| 2004 |
0.97% |
0.62% |
0.08% |
(0.34%) |
(0.20%) |
0.14% |
(0.85%) |
0.15% |
0.40% |
0.63% |
1.66% |
1.44% |
4.77% |
| 2003 |
0.25% |
0.31% |
0.07% |
0.57% |
1.19% |
0.41% |
0.13% |
0.32% |
0.49% |
0.55% |
0.27% |
0.68% |
5.36% |
| 2002 |
0.94% |
(0.41%) |
0.79% |
0.09% |
(0.19%) |
(1.96%) |
(2.36%) |
0.27% |
(0.22%) |
0.52% |
1.01% |
0.49% |
(1.09%) |
| 2001 |
1.49% |
0.54% |
(0.43%) |
0.75% |
1.65% |
(0.81%) |
0.79% |
1.00% |
(2.77%) |
0.59% |
0.40% |
0.37% |
3.55% |
| 2000 |
1.25% |
3.17% |
0.36% |
2.44% |
0.94% |
1.75% |
1.35% |
1.96% |
1.12% |
0.21% |
0.74% |
0.97% |
17.48% |
| 1999 |
1.22% |
(0.15%) |
1.06% |
2.57% |
1.99% |
2.05% |
1.18% |
0.67% |
1.08% |
0.88% |
1.98% |
0.46% |
16.03% |
| 1998 |
0.13% |
2.15% |
1.30% |
1.27% |
0.40% |
1.06% |
0.01% |
(4.71%) |
(0.44%) |
1.34% |
1.51% |
1.94% |
5.93% |
| 1997 |
1.56% |
0.30% |
0.70% |
(0.32%) |
1.58% |
2.09% |
1.39% |
0.90% |
1.87% |
0.69% |
1.74% |
1.35% |
14.73% |
| 1996 |
1.65% |
1.14% |
1.30% |
1.50% |
1.03% |
0.58% |
0.37% |
1.59% |
1.27% |
0.87% |
1.21% |
1.12% |
14.51% |
| 1995 |
1.36% |
1.62% |
1.20% |
0.65% |
1.12% |
2.37% |
1.11% |
0.99% |
1.63% |
0.38% |
1.66% |
0.89% |
16.04% |
| 1994 |
1.64% |
(0.44%) |
(0.07%) |
(1.25%) |
1.10% |
0.97% |
1.28% |
2.55% |
0.73% |
(0.58%) |
(0.36%) |
0.23% |
5.89% |
| 1993 |
3.17% |
2.90% |
1.95% |
1.99% |
1.13% |
3.31% |
2.62% |
1.81% |
1.53% |
1.26% |
0.93% |
2.34% |
27.95% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
|
