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Hennessee Multiple Arbitrage Index
The Hennessee Multiple Arbitrage Index includes funds that employ more than one arbitrage strategy. The portfolio manager opportunistically allocates capital among the various strategies in an attempt to create the best risk/reward profile for the overall fund. Common strategies include merger arbitrage, convertible arbitrage, fixed income arbitrage, long/short equity pairs trading, quantitative equity trading, volatility arbitrage, and distressed investments.
Summary Statistics (1993 - 2006)
| _ |
Annualized Compound Return |
Standard Deviation |
Sharpe Ratio |
Sortino Ratio |
Annualized Alpha (vs. Benchmark) |
Correlation (vs. Benchmark) |
| Hennessee Multiple Arbitrage Index |
10.46% |
2.94% |
1.67 |
2.78 |
N/A |
N/A |
| S&P 500 Index |
8.80% |
13.80% |
0.31 |
0.34 |
9.87% |
0.29 |
| Lehman Bros. Int. Gov. Corp. Bonds Index |
6.46% |
3.50% |
0.35 |
0.49 |
10.85% |
-0.06 |
| _ |
Number of Months |
% of Months Positive |
Largest Consecutive Loss |
Value of $1000 (invested since inception) |
| Positive |
Negative |
% |
Months |
Peak |
Valley |
| Hennessee Multiple Arbitrage Index |
148 |
20 |
88% |
-5.02% |
3 |
Aug-98 |
Oct-98 |
$4,028 |
| 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 |
2.28% |
0.91% |
1.88% |
1.52% |
0.49% |
0.44% |
0.29% |
0.60% |
(1.43%) |
1.49% |
1.51% |
1.74% |
12.30% |
| 2005 |
0.06% |
0.96% |
(0.17%) |
(1.38%) |
(0.29%) |
0.92% |
2.01% |
0.97% |
0.96% |
(0.58%) |
0.56% |
1.38% |
5.49% |
| 2004 |
1.47% |
0.47% |
0.48% |
0.49% |
(0.19%) |
0.13% |
0.06% |
0.27% |
0.39% |
0.58% |
1.51% |
1.21% |
7.07% |
| 2003 |
1.67% |
0.66% |
0.52% |
1.55% |
1.16% |
0.74% |
0.41% |
0.35% |
1.48% |
1.29% |
0.84% |
1.03% |
12.34% |
| 2002 |
1.12% |
0.09% |
0.74% |
0.62% |
0.36% |
(0.95%) |
(1.15%) |
0.54% |
0.40% |
0.42% |
1.69% |
1.15% |
5.11% |
| 2001 |
2.24% |
1.41% |
0.63% |
1.03% |
0.90% |
(0.03%) |
0.52% |
0.93% |
(0.18%) |
1.09% |
0.64% |
0.55% |
10.15% |
| 2000 |
2.14% |
2.42% |
1.61% |
2.19% |
1.68% |
1.54% |
1.26% |
1.46% |
1.72% |
0.71% |
0.41% |
1.07% |
19.79% |
| 1999 |
1.53% |
0.78% |
1.35% |
2.06% |
1.50% |
1.21% |
1.53% |
0.50% |
0.83% |
0.66% |
1.57% |
1.71% |
16.33% |
| 1998 |
0.52% |
1.48% |
1.16% |
1.35% |
0.81% |
0.60% |
0.63% |
(3.81%) |
(0.56%) |
(0.70%) |
2.17% |
0.86% |
4.47% |
| 1997 |
1.59% |
1.03% |
0.68% |
0.57% |
1.58% |
0.76% |
0.73% |
0.83% |
1.21% |
1.06% |
1.46% |
1.11% |
13.36% |
| 1996 |
2.00% |
1.33% |
2.42% |
0.98% |
1.49% |
1.51% |
0.99% |
1.24% |
0.82% |
0.73% |
1.01% |
1.11% |
16.78% |
| 1995 |
0.72% |
0.05% |
(0.98%) |
0.72% |
0.89% |
0.92% |
1.90% |
2.43% |
1.52% |
1.67% |
0.53% |
1.67% |
12.68% |
| 1994 |
0.89% |
0.33% |
0.17% |
0.14% |
0.21% |
0.83% |
0.69% |
0.77% |
0.25% |
(0.43%) |
(0.37%) |
0.06% |
3.59% |
| 1993 |
0.71% |
0.91% |
1.35% |
1.67% |
1.84% |
(0.48%) |
(0.35%) |
1.59% |
1.65% |
(1.09%) |
(0.45%) |
0.95% |
8.56% |
To download the monthly performance data in an excel spreadsheet, please click here. 
© 2007 Hennessee Group LLC, All Rights Reserved.
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