E. Lee Hennessee, a pioneering woman in the male-dominated hedge fund industry and the creator of one of the first indexes to track its secretive transactions, was found dead on 10/29 at her home in West Palm Beach, FL. She was 64 and apparently died of a stroke.

Ms. Hennessee was a frequent presence at industry conferences and was an early supporter of the industry association 100 Women in Hedge Funds. Ms. Hennessee started her hedge fund index, tracking which strategies were making or losing money across the industry, in 1987.

That same year, while working for E. F. Hutton, she founded Hennessee Hedge Fund Advisory Group, a division of Hutton. The firm conducted research and advised clients about investments in hedge funds, an industry that at the time was growing quickly but was even more tight-lipped about strategies or returns than it is today.

After E. F. Hutton was acquired by Shearson Lehman Brothers in 1988, Ms. Hennessee and the hedge fund advisory firm stayed on. It later moved to Republic New York Securities and then to the investment management firm Weiss, Peck & Greer before it was turned into a stand-alone operation, the Hennessee Group, in 1997.

At its peak it had more than $1.6 billion in assets. Ms. Hennessee ran the firm with her husband, Charles J. Gradante, whom she married in 1992.

The reputation she built over many years on Wall Street suffered in 2005, when a fund her group had recommended, Bayou Management, based in Connecticut, collapsed. Bayou’s CEO and founder, Samuel Israel III, pleaded guilty to conspiracy and fraud in cheating investors out of $450 million. About 40 clients lost $56 million in Bayou funds after investing on the Hennessee Group’s recommendation, according to filings with the Securities and Exchange Commission.

She graduated in 1975 from Randolph-Macon Woman’s College (now Randolph College), in Lynchburg, VA. She started working on Wall Street a year later.