When Lee Hennessee migrated to New York after graduating from Randolph-Macon, she was advised by a family friend, Julian Robertson, to get a job at a bank so she could go shopping on Fifth Avenue during her lunch hour.

That was the kind of guidance liberally offered in the early 1970s to nicely brought-up young ladies. Happily, Ms. Hennessee instead ventured onto Wall Street, and learned how to do business the old-fashioned way: as a broker cold-calling customers and selling them on the stock du jour.

She did not, however, lose touch with Mr. Robertson, who in the following years would become one of the giants in the hedge fund world – and an important client to Ms. Hennessee.

Today, Ms. Hennessee is co-head of an eponymous firm, which provides consulting services to investors who are confused about hedge funds. (And, really, who isn’t?) They also publish one of the oldest and most extensive indices of fund performance in the industry, begun in 1987.

Her husband of 12 years, Charles Gradante, is the other half of the management team. Together, they have built the expertise and reputation of the Hennessee Group, which now claims to be responsible for $1.5 billion in assets.

For help in structuring custom-tailored hedge fund portfolios, clients pay an annual management fee of up to 1% of assets.

What sets the Hennessee Group apart is not what it does so much as what it doesn’t do.

Though it has been asked countless times to partner with various institutions, it offers no in-house financial products such as a fund-of-funds (FOF) or an investable index. These latter products are particularly hot right now, and most other index managers are producing one. Hennessee considers such efforts rife with potential conflicts of interest.

Also, it has been surprised by the explosion in the popularity of FOFs. It acknowledges that an FOF can be a suitable vehicle for an investor not able to put money directly into hedge funds (which often require a $1 million minimum).

However, Hennessee challenges the notion that (especially) large investors are best served by putting their money in a “black box” where they are not privy to investment choices, and have no contact with the people who are managing the money. Mr. Gradante points out that such investors typically hire consultants to help them oversee and analyze their long-only managers – and asks why the same practice doesn’t work in the world of alternatives.

Ms. Hennessee’s foray into the hedge fund world started in the 1970s, when she began calling on institutions for broker Thompson McKinnon. Later, she moved to EF Hutton, where she started a division targeting the funds, and began developing the hedge fund database. After a stint at Republic New York Securities (a division of Republic bank) she moved her operation to Weiss, Peck & Greer, where she met her husband.

The couple decided to become independent (of Weiss, Peck, not of each other) in 1997. Since then, they have slowly built their business, working with clients though offices in New York, Palm Beach, and Raleigh, N.C.

They claim to have never lost a client, a remarkable achievement given the fickle ways of investors, and especially those with a proclivity to jump into aggressive vehicles such as hedge funds.

If clients are loyal to Hennessee, it is because of the rigorous dissection of their individual investment needs and ambitions, and sincere efforts to fulfill their expectations that is the core of the group’s approach. Not everyone can be a Hennessee client, which may add to the allure.

Clients are extensively interviewed to see if they have the means and temperament to be hedge fund investors. No financial prima donnas need apply. No one can walk in and demand 20% a year returns with zero volatility and expect to be invited back to admire the 50th floor views from the Hennessee suite.

Having passed the initial scrutiny, a client is expected to reveal their financial all-together, and work with the advisers to devise a reasonable diversification strategy. At this point, Hennessee’s extensive index and knowledge of the hedge fund world comes into play.

Hennessee has money invested on behalf of clients with 125 managers. This is a select sampling of the more than 3,000 funds tracked by the database. Each fund is investigated thoroughly before being added to the index. They are then measured for performance, volatility, and correlations, and compared to others in the same strategy.

The group keeps tabs on 23 different techniques, including regional, industry-specific (like health care), and style (like merger arbitrage.) They conduct endless manager interviews looking for funds on the way up and hoping to spot those on the way down.

About 70% of the Hennessee Group’s clients are individuals, with the balance being institutions. The typical account has about $10 million invested in fewer than 20 funds.

The Hennessee Group has grown by word-of-mouth and does little marketing, unless you count the numerous times that the principals speak to the press on industry issues. (They have been quoted on at least 32 separate occasions so far this year, according to a circulated bibliography.) Mr. Gradante recently testified before Congress, for example, weighing in against hedge fund regulation.

The Hennessee Group takes good care of its clients, hosting seminars and management roundtables, and providing lengthy reports at the end of each month on manager performance, industry trends, and the stock market. Mr. Gradante provides this top-down perspective, while Ms. Hennessee works closely with clients and funds.

A growing part of their business at the moment comes from individuals who have on their own put together a hodge-podge of hedge fund investments that are not yielding the desired results.

As the funds-of-funds bend their performance more toward an institutional aversion to risk and volatility, many individuals are left feeling that they have invested in the financial equivalent of oatmeal – nothing harmful, but exceedingly bland. Sound like anyone you know? Lee Hennessee may be the person to talk to.

Ms. Peek is a former managing director of Wertheim Schroder, now a part of Citigroup.