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 is confirmed up 0.43% in June. Hedge funds finished in positive territory for five out of the last six months, posting returns of 0.43% in June, with gains for the year totalling 7.18%. The second quarter appeared to have been a turning point for hedge funds with 87% of all gains for the year generated in the last three months. Convertible arbitrage managers were once again the strongest performing sector, up 4.05% for the month. The strategy has been up every month this year with managers capitalising on mispricing. The outlook for the sector remains strong as many companies continue to view converts as a cheap financing option. Managed futures managers, however, continue to struggle as volatile markets display unclear or difficult-to-follow trends.

The Dow Jones Hedge Fund Event Driven Strategy Benchmark was the best performing at the end of June: up 1.81% and up 6.25% YTD. The Dow Jones Hedge Fund Merger Arbitrage Strategy Benchmark was the second best performing in June (1.22% for the month; 4.51% YTD). The Dow Jones Hedge Fund Equity Long/Short Strategy Benchmark was the third best performing so far this year (0.98% in June; 0.83% 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 in June. 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 -0.3% in June 2009 with three of the eight asset classes showing positive returns. The best performing asset classes were emerging bonds up 1.2%, global bonds up 0.9% and hedge funds rising a modest 0.3%. The worst performing asset class was commodities, down 2.6%. It was followed by managed futures, down 2.1%. Over the five years to June 2009, the MAP strategy has generated 2.7% 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) showed mixed results during June but managed to extract a positive return in unpredictable markets. The GGHFI returned 0.19% while the Greenwich Composite Investable Index (GI2) gained 0.45% during the month compared with global equity returns in equity indices: the S&P 500 Total Return was up 0.20%, MSCI World Equity down 0.61%, and FTSE 100 down 3.82%. YTD the GGHFI has returned 9.12% and the GI2 is down 0.48%, while the S&P 500 Total Return is up 3.16%, MSCI World Equity gained 4.76% and FTSE 100 Indices fell 4.17%. Over half (54%) of constituent funds in the GGHFI ended the month with gains.

Hedge Fund Research's HFRX Global Hedge Fund Index fell slightly in June when hedge fund indices have been more or less unanimous. The HFRX index fell 0.07% in the month and was up only 6.39% YTD. Three of the HFRX strategy indices joined the main index in the red in June. Event-driven funds fell 0.94% (up 9.05% YTD), equity hedge lost 0.42% (up 7.17% YTD) and relative value arbitrage shed 0.15% (up 4.63% YTD).

The Lyxor Global Hedge Fund index, an investable index based on Lyxor's hedge fund platform which tracks the overall hedge fund universe, was flat in June. YTD the index is up 2.2%. Event-driven funds had positive performances with merger arbitrage up 1.6% and special situations funds rising 1.1%. Within equity market strategies, managers with significant equity directionality outperformed those with more defensive positioning. Long/short equity long bias managers gained 2.5%, while the long/short equity variable bias managers posted -0.2%. Statistical arbitrage managers gained 1.9%. Market neutral managers were penalised by sharp shifts in market behaviour and only gained 0.1%. Convertible arbitrage managers gained 1.1%; fixed income arbitrage managers were up 0.7%. Long/short credit managers posted strong rise of 3.9%. CTAs did not find traction in June. Short-term managers lost 1.6%; long-term managers were down 1.8%. Global macro managers also had difficulty as a whole during June down 1.5%. Within the strategy managers with a significant fixed-income orientation managed to perform better than some of their peers.

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