Hennessee Hedge Fund Index Shows 1.14% November Advance

December 8, 2003 (PLANSPONSOR.com) - Hedge funds produced a 1.14% November return on strength from Latin America offerings, according to the Hennessee Hedge Fund Index.

The Hennessee Latin America Index was the top-performing index in November for the third month in a row (See  Latin America Powers 2.87% October Hennessee Gain ), with a return of 5.51% (61.24% YTD). Most of this month’s gains came from Brazil, where the Central Bank indicated it expects the country to have the first current account surplus in ten years, helped by its weak currency. The index has turned in a year-to-date return of 17.74%.

The second best November performer was the Hennessee Telecom and Media Index with a return of 2.42% (28.69% YTD), as consumer and business technology spending rose, following three years of weakness. In third place was the Hennessee Value Index, posting a return of 2.01% (21.54%YTD), as prospects for the return on capital improved as productivity hit a 20-year high of 9.4% while the GDP growth hit 8.2% for the third quarter.

The Hennessee Pacific Rim Index was the worst performing strategy, returning a loss of 2.37% (21.68% YTD), as Japanese equities sold off (the Nikkei decline -4.35%), despite signs of economic improvement, in response to Japan’s central bank legislation requiring Japanese commercial banks to reduce Japanese stock market holdings on their balance sheet.

The Hennessee Short Biased Index was the second worst November performer, with a decline of 0.65% (-20.31% YTD). A flat-to-positive month for equity markets limited losses this month but managers continue to have trouble finding short selling opportunities. The third worst performer was the Hennessee International Index, posting a return of 0.30% (17.99% YTD), as exposure to Japanese equities dragged down overall performance.

The broad market indices were mixed in November, with the S&P 500 DRI Index gaining 0.83% (22.12% YTD) and the Dow Jones Industrial Average falling 0.19% (17.28% YTD). The Nasdaq Composite Index climbed 1.45% (46.78% YTD).