History of the Indices
The Hennessee Hedge Fund Indices® were launched in 1987 as part of the Hennessee Hedge Fund Advisory Group, when Elizabeth Lee Hennessee began advising her clients to invest in hedge funds. At that time, information on hedge funds was very limited and the universe consisted of approximately 100 managers. Ms. Hennessee found that there was not an appropriate index with which to benchmark the hedge fund investments; the broad market indices were not sufficiently relevant. As a result, Ms. Hennessee began tracking the hedge fund universe’s performance and, thus, the Hennessee Hedge Fund Indices® were born.
Ms. Hennessee developed the idea of incorporating various hedge fund styles in order to effectively benchmark managers with the same trading style and investment approach. The Indices began with 10 hedge fund styles and have since grown to incorporate 23 different investment styles. New styles are added as new market inefficiencies are realized by hedge fund managers.
To this day, the Indices are used as a peer group assessment tool for clients to benchmark their hedge fund investments and for hedge fund managers to benchmark their performance against other managers with the same money management style. The managers that comprise the Indices are not available to the public nor does the Hennessee Group distribute any kind of directory of hedge funds for public dissemination.