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 distressedinvestments.

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 Multiple Arbitrage Index 8.86% 4.30% 1.94 2.98 N/A N/A
S&P 500 6.11% 15.11% 0.45 0.54 7.92% 0.48
Barclays Aggregate Bond Index 6.34% 3.65% 1.64 3.16 9.07% -0.01
                           
  Number of Months % of Months
Positive
Largest Consecutive Loss Value of $1000
(Invested at Inception)
Postive Negative % Months Peak Valley
Hennessee Multiple Arbitrage Index 198 42 83% -18.64% 14 Oct-07 Dec-08 $5,460
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 1.43% 1.60% 0.62% -0.20% -0.82% -0.15% 0.72% 1.00% 0.83% -0.05% 0.13% 1.29% 6.56%
2011 1.33% 0.87% 0.16% 0.55% -0.16% -0.52% 0.01% -2.23% -2.27% 0.83% -0.83% -0.08% -2.38%
2010 0.94% 0.77% 1.57% 0.87% -1.66% -0.71% 1.11% 0.54% 2.30% 1.68% 1.38% 2.26% 11.54%
2009 3.76% 0.64% 1.43% 2.08% 4.55% 1.71% 2.79% 1.85% 2.78% 0.93% 1.50% 1.43% 28.55%
2008 -1.32% 0.88% -1.98% 0.73% 1.89% 0.01% -1.42% 0.03% -6.85% -6.65% -3.29% -0.42% -17.29%
2007 2.03% 1.72% 0.80% 1.31% 2.03% 0.58% 0.06% -0.75% 1.30% 2.07% -1.13% -0.51% 9.86%
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%

 

2012 Hennessee Group LLC, All Rights Reserved.