Hennessee: Hedge Funds Now Trail S&P In ‘07

Jun 11 2007 | 11:49am ET

With the Standard & Poor’s 500 reaching record heights last month, hedge funds had a tough act to follow. They didn’t.

The S&P500 rose 3.94% last month, vaulting it ahead of the Hennessee Hedge Fund Index’s year-to-date return for the first time since January at 8.07%. The Hennessee Index added 2.45% last month, and stands at 7.86% year-to-date.

“The strong performance is an indication that many funds have expanded their net exposures and become more fully invested,” managing principal E. Lee Hennessee said, “although short-selling has again become more difficult over the last two months.”

Has it ever: While long/short funds rode the booming equity markets to a 2.39% return in May (7.37% YTD), short-biased was the only strategy tracked by Hennessee in the red, falling 2.67%. It is also the only strategy with a losing 2007, down 6.2%.

Macro was the top-performing strategy among the Hennessee indices, jumping 3.22% (6.3%). Event-driven funds continued their steady returns this year and it remains the best-performing strategy year-to-date, adding 2.2% in May (10.57% YTD).


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