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 (Jan-93 to Dec-12)
                           
  Annualized Compound Return Annualized Standard Deviation Sharpe
Ratio
Sortino
Ratio
Annualized Alpha
(versus Benchmark)
Correlation
(versus Benchmark)
Hennessee Merger Arbitrage Index 8.91% 3.78% 2.22 4.08 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 7.95% 0.54
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 8.56% 0.06
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Merger Arbitrage Index 198 42 83% -5.62% 12 Oct-07 Oct-08 $5,515
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 1.00% 1.50% 0.42% -0.14% -0.24% -0.39% 0.38% 0.59% 0.09% -0.22% 1.28% 1.85% 6.27%
2011 0.92% 0.71% 0.30% 0.91% 0.08% -0.42% -0.72% -1.35% -2.12% 1.39% 0.10% 0.02% -0.25%
2010 0.19% 0.74% 1.51% 0.54% -1.78% -0.38% 1.67% 0.44% 1.28% 0.72% -0.82% 2.00% 6.21%
2009 0.67% -0.06% 1.92% 0.29% 2.26% 0.67% 0.82% 1.08% 1.20% 0.09% 0.89% 1.11% 11.48%
2008 -1.60% 1.04% -0.79% 1.34% 1.47% -1.21% 0.20% 1.20% -3.09% -1.82% 0.57% 1.58% -1.24%
2007 2.70% 2.13% 0.49% 1.82% 2.45% 0.05% 0.34% 0.58% 1.24% 1.85% -2.29% -0.09% 11.75%
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%

 

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