Trailing Equities Year-to-Date Because of One Down Month for S&P 500 [First Since 1995]

December 11, 2006 - New York, NY - Hennessee Group LLC, an adviser to hedge fund investors, today announced that the Hennessee Hedge Fund Index advanced +1.84% in November (+10.06% YTD), while the S&P 500 DRI advanced +1.90% (+14.21% YTD), the Dow Jones Industrial Average rose +1.17% (+14.04% YTD), and the NASDAQ Composite Index climbed +2.75% (+10.26% YTD). Bonds also gained in November, as the Lehman Brothers Intermediate Government Corporate Bond Index increased +0.91% (+4.49% YTD).

"All major hedge fund strategies experienced positive performance in November, with the exception of short biased managers," said E. Lee Hennessee, Managing Principal of Hennessee Group LLC. "It continues to be a very difficult environment for short selling and as such, most hedge fund managers have added to the long side allowing their net exposures to drift higher in light of the strength of the equity markets."

The Hennessee Long/Short Equity Index advanced +2.09% in November (+10.62% YTD), outpacing the S&P 500 DRI for the first time since May. The Dow Jones Industrial Average continued to reach new all-time highs during the month, as investors continued to warm to the idea that a soft landing is the likely scenario for the economy.

"Hedge funds have trailed equities on a relative basis in 2006 because of the unusually consistent strength in the equity markets," said Charles Gradante, Managing Principal of Hennessee Group LLC. "There has only been one negative month for the S&P 500 in 2006. The last time there was only one negative month for the S&P 500 was in 1995, when the Hennessee Hedge Fund Index advanced +17.70% versus +37.57% for the S&P 500."

The Hennessee Arbitrage/Event Driven Index increased +1.27% in November (+10.41% YTD). Returns were strongest in credit-oriented strategies, as the Hennessee Distressed Index posted a gain of +1.75% (+13.08% YTD). Despite a large overhang of supply ready to be issued for announced LBOs, credit spreads tightened during the month, as debt issuance has been met with an equal amount of demand by investors. Convertible arbitrage funds were up +0.81% (+10.48% YTD) as a result of the better credit environment and an excellent new issuance calendar, although were negatively impacted by the continued decline in implied volatility. Merger arbitrage also posted a positive month, as the Hennessee Merger Arbitrage Index advanced +0.83% (+10.81% YTD). In addition to tighter merger spreads, the strategy benefited from a number of competitive or hostile bidding situations.

"The fixed income markets continue to be a conundrum for most managers," said Mr. Gradante. "Despite falling long term Treasury yields indicating a slowdown in the economy, corporate credit spreads continue to tighten in the face of a huge amount of debt issuance."

The Hennessee Global/Macro Index advanced +1.94% in November (+7.64% YTD). Global long/short equity funds continued to outperform their U.S. brethren, as the Hennessee International Index advanced +3.02% (+11.48% YTD). Global equity markets have generally been stronger than those in the U.S., with European equities being the top-performing region for the year. Macro funds also experienced positive performance, advancing +1.46% (+2.22% YTD).

"The decline in the U.S. dollar was beneficial for most macro managers, as was the increase in the price of gold and oil," continued Mr. Gradante. "Still, many continued to lose money betting that yields on longer maturity U.S. Treasuries would rise, as the yield on the 10-Year Treasury Note ended the month at 4.46%. Nonetheless, macro managers are positioned to profit from the bond market when the yield curve steepens, however, geopolitical control of the yield curve is still a concern."

About the Hennessee Group LLC

Hennessee Group LLC is a Registered Investment Adviser that consults direct investors in hedge funds on asset allocation, manager selection, and ongoing monitoring of hedge fund managers. Hennessee Group LLC is not a tracker of hedge funds. The Hennessee Hedge Fund Indices are for the sole purpose of benchmarking individual hedge fund manager performance. The Hennessee Group does not sell a hedge fund-of-funds product nor does it market individual hedge fund managers. For additional Hennessee Group Press Releases, please visit the Hennessee Group's website. The Hennessee Group also publishes the Hennessee Hedge Fund Review monthly, which provides a comprehensive hedge fund performance review, statistics, and market analysis; all of which is value added to hedge fund managers and investors alike.

Description of Hennessee Hedge Fund Indices

The Hennessee Hedge Fund Indices are calculated from performance data supplied by a diversified group of over 1,000 hedge funds monitored by the Hennessee Group LLC. The Hennessee Hedge Fund Index is an equally weighted average of the funds in the Hennessee Hedge Fund Indices. The funds in the Hennessee Hedge Fund Index are derived from the Hennessee Group's database of over 3,500 hedge funds and are net of fees and unaudited. Past performance is no guarantee of future returns. ALL RIGHTS RESERVED. This material is for general information only and is not an offer or solicitation to buy or sell any security including any interest in a hedge fund.