Credit Suisse /Tremont Hedge Fund Index - Dow Jones Hedge Fund Benchmarks - Frontier Capital Multi-Asset Platform Fund - Greenwich Global Hedge Fund Index - HFRX Global Hedge Fund Index - Lyxor Global hedge Fund Index

Final performance for the Credit Suisse/Tremont Hedge Fund Index was up 4.06% in May capturing the largest monthly gains since February 2000. Emerging markets funds were the strongest performers, finishing up 6.96%. The emerging markets experienced a significant turnaround over the last three months as risk appetite seems to be returning to markets. Investors are encouraged by positive signs of global growth and rising commodities prices. Convertible arbitrage managers also performed well during May as funds capitalised on the overall appreciation in convertible bonds globally. The convertible arbitrage sector has been up every month this year. Redemption pressure seems to have eased substantially as a result.

The Dow Jones Hedge Fund Event Driven Strategy Benchmark was the best performing at the end of May (1.32% for the month; 4.36% YTD). The Dow Jones Hedge Fund Merger Arbitrage Strategy Benchmark was second best (0.90% for May; 3.26% YTD). The Dow Jones Hedge Fund Equity Long/Short Strategy Benchmark was third best (0.88% for the month; -0.14% YTD). The Dow Jones Hedge Fund Balanced Portfolio Index, the Dow Jones Hedge Fund Distressed Securities Strategy Benchmark and Dow Jones Hedge Fund Convertible Arbitrage Strategy Benchmark were not calculated. The Dow Jones Hedge Fund Strategy Benchmarks are designed as a measurement tool for individual hedge fund strategies and cover convertible arbitrage, distressed securities, equity market neutral, event driven, equity long/short and merger arbitrage. The Dow Jones Hedge Fund Balanced Portfolio Index represents the overall benchmark.

The Frontier Capital Multi Asset Platform (MAP) Fund returned a positive 4.8% in May 2009 with six of the eight asset classes showing positive returns. Emerging equities increasing by 17.1%, commodities were up 14.1% and global real estate rose 7.0%. These were the best performing asset classes. The worst performing asset classes were global bonds, down 0.4%, followed by managed futures, which was up a marginal 0.4%. Over the five years to May 2009, the MAP strategy has generated 2.8% annualised returns with volatility of 9.2%. MAP is an investable fund tracking eight global asset class indices, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) surged during May to extend their gains for 2009. The GGHFI returned 4.83% while the Greenwich Composite Investable Index (GI2) gained 1.94% during the month, compared to global equity returns in the S&P 500 Total Return up 5.59%, MSCI World Equity increasing 8.62%, and FTSE 100 rising 4.11%. Year to date the GGHFI has returned 8.65% and the GI2 is down 0.79%, while the S&P 500 Total Return has risen 2.95%, MSCI World Equity is up 5.41% and FTSE 100 Indices is down 0.36%. Of constituent funds in the GGHFI, 85% ended the month with gains.

Hedge funds posted the strongest gains in nearly a decade in May with the HFRI Fund Weighted Composite Index climbing over 5.2% (over 9% YTD). May was the biggest single-month jump since February 2000. While the HFRI Fund Weighted Composite was lifted by a broad equity market rally in May, strategies focused on energy and emerging markets posted the strongest gains. The HFRI Equity Hedge (Total) Index gained over 7% (also the strongest gain since February 2000); the HFRI EH: Energy/Basic Materials Index gained 9.64%; the HFRI Emerging Markets (Total) Index was up 9.74%. All strategy areas produced gains in May. Risk appetite has returned over the last eight weeks, suggesting that investors are looking past month-to-month volatility and focusing on the longer-term performance merits of the industry.

The Lyxor Global Hedge Fund index, an investable index based on Lyxor's hedge fund platform which tracks the overall hedge fund universe, was up 2.1% in May (2.2% YTD). Risk appetite further increased, fuelling the rally across all asset classes. Spreads continued to tighten, providing an additional push for long/short credit (11.3% this month) and convertible arbitrage funds (1.1%). Fixed-income players (1.9%) reaped the benefits of higher volatility on bond markets. As a whole, global macro funds were up 1.5% in May. High-frequency strategies were up 5.1% in May but long-term models recorded a 1% loss. Positioning (short equities, long interest rate futures) were wrong-footed and markets became somewhat range bound. In the equity linked segments, long-only funds reaped the benefits from the market rally (10.3% for the month). Variable bias managers, who remain defensively positioned, posted a 0.6% gain. Event-driven funds profited from the positive equity market momentum. Risk arbitrage managers generated a 1.0% monthly return. Specials situations gained 4.1%.