When Thomas Pence, the former chief investment officer of Conseco Capital Management of Carmel, Ind. abruptly left the firm earlier this month to join Strong Capital Management of Menomonee Falls, Wisc., he left behind a lot more then an empty office.

Hanging over Pence's old office at Conseco Capital Management are feelings of resentment and questions as to why he left, according to members of the firm. Conseco agreed this summer to give Pence the management and a percentage of gains of two hedge funds, a deal many portfolio managers would find hard to turn down.

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