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Hennessee Hedge Fund Index gains +0.99% in February (+2.97% YTD)

Wednesday, March 15, 2017
Opalesque Industry Update - Hennessee Group LLC announced that the Hennessee Hedge Fund Index gained +0.99% for the month (+2.97% YTD), while the S&P 500 rose +3.72% (+5.58% YTD), the Dow Jones Industrial Average increased +4.77% (+5.42% YTD), and the NASDAQ Composite Index moved higher by +3.75% (+8.21% YTD). Bonds were slightly positive on the month, as the Barclays Aggregate Bond Index rose +0.67%, (+0.87% YTD).

The top three strategies for the month were Latin America (+4.06%), Health Care & Biotech (+3.90%) and Asia-Pacific (+2.69%). The bottom three strategies for the month were Short Biased (-6.05%), Market Neutral (-0.53%) and Multiple Arbitrage (+0.09%). For the year, Latin America (+11.38%) continues to lead all strategies while Short Biased (-8.08%) brings up the rear.

Equity long/short hedge funds were positive for the month, as the Hennessee Long/Short Equity Index rose +1.03% (+2.82% YTD). The best performing sectors were health care (+6.21%), financials (+5.01%), and consumer staples / information technology (+4.87% each), while underperforming sectors were energy (-2.73%), telecommunication services (-0.39%) and materials (+0.50%).

The Hennessee Arbitrage/Event Driven Index increased +0.56% for the month (+1.63% YTD). The Barclays Aggregate Bond Index increased +0.67% (+0.87% YTD) as interest rates were lower for the month. High yield increased as the Merrill Lynch High Yield Master II Index fell -6.50% for the month. High yield spreads were lower for the month, decreasing 26 basis points to end the month 374 basis points over treasuries. The Hennessee Distressed Index was positive for the month by +0.30% (+1.33% YTD).

The Hennessee Merger Arbitrage Index gained +0.64% for the month (+0.71% YTD). The MSCI ACWI Index gained +2.63% (+5.37% YTD) and the MSCI EAFE Index increased +1.20% (+4.10% YTD). The Hennessee International Index rose +0.34% for the month (+1.90%). The MSCI Emerging Market Index rose +2.99% (+8.59% YTD), while hedge fund managers underperformed the index, as the Hennessee Emerging Market Index increased +1.91% (+5.22% YTD).

The Hennessee Global/Macro Index increased +1.28% for the month (+4.18% YTD). The Hennessee Macro Index increased +0.23% for the month (+1.46% YTD). Fixed income managers were positive for the month as bond yields were lower for the month with the 10-Year U.S. Treasury ending the month at 2.36%, down 9 basis points from 2.45% in the previous month. Commodities were mixed for the month as WTI oil rose +2.54% and natural gas declined -15.33%.

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