Hennessee Hedge Fund Index Gains 1.36%

by Phillip Morton, Investors Offshore.com

10 March 2005

Hedge fund investment advisors Hennessee Group have announced that strong equity markets contributed to positive performance of hedge funds in February, as the Hennessee Hedge Fund Index advanced 1.36%.

“Equity hedge fund managers have reported to Hennessee that unlike 2003 and 2004, stock prices are reacting more in line with fundamentals,” noted Charles Gradante, Managing Principal of the Hennessee Group.

“Equity managers, however, are reluctant to increase their moderate net long exposures [40% - 50%] to the equity market for fear that 2005 performance may struggle within a trading range,” he added.

The Hennessee Long/Short Equity Index advanced 1.18% in February as managers participated in the market’s gain during February. All major indices, except for the technology-laden Nasdaq index, finished the month positive.

The Hennessee Arbitrage/Event Driven Index increased 0.84% in February, as gains in merger arbitrage and credit related strategies were offset by losses in convertible arbitrage.

However, returns in convertible arbitrage continued to be weak as a result of continued declines in implied volatility and capital outflows from the strategy, although many managers have reported increasing interest in the European and Asian convertible markets.

The Hennessee Global/Macro Index gained 2.59% in February as macro managers profited from a declining US dollar, rising gold prices and a sell off in the Treasury bond market.

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