The June2010 returns for investable indexes including Dow JonesCredit Suisse Hedge Fund Index, Frontier Capital Multi Asset Platform Fund, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones Credit Suisse Hedge Fund Index Performance
The newly-merged Dow Jones Credit Suisse Hedge Fund Index, replacing the Credit Suisse Tremont Hedge Fund Index and the Dow Jones investable hedge fund indexes, was down 0.84% in June 2010. The stand-out single strategy performer was dedicated short bias which returned 5.45% for the month, although short bias funds are down 2.77% year to date (YTD). Another four strategies also made positive returns in June. Fixed income arbitrage was up 0.92% and global macro rose 0.56%. Managed futures funds increased 0.42%. Convertible arbitrage funds posted almost flat returns of 0.01%. Emerging markets slipped into negative with a minus 0.03% return. Multi-strategy funds (down 0.81%), equity market neutral funds (down 0.99%), event driven (falling 1.58%) and long/short equity funds (declining 2.07%) also struggled during June.

Frontier Capital
The Frontier Capital Multi Asset Platform (MAP) Fund returned a negative 0.7% in June 2010 with five of the eight asset classes showing falling returns. Emerging bonds was the best performing asset class, up 2 %, followed by global bonds (up 0.9%) and commodities (almost flat at 0.1%). The worst performing asset class was global equities down 4.2%, followed by emerging equities (down 0.7%). Over the five years to June 2010, the MAP strategy has generated 1.9% annualised returns with volatility of 9.5%. The MAP Fund is an investable fund tracking eight global asset class indices, using an asset allocation inspired by US university endowments such as Harvard and Yale.

Greenwich
Hedge funds as measured by the Greenwich Global Hedge Fund Index (GGHFI) were down 0.8% in June 2010. The Greenwich investable indexes posted similar losses of 0.85% for monthly liquidity and 0.66% for quarterly liquidity. Five of the seven individual strategies were also down in June 2010. Long/short equity funds posted the biggest loss of 1.42%. Futures and event driven funds were also down in June, by 0.71% and 0.69% respectively. Equity market neutral (down 0.4%) and macro funds (falling 0.55%) recorded slightly smaller drops. Long/short credit funds made a marginal return of 0.02% and arbitrage strategies returned 0.59%, the strongest performance of the month.

Hedge Fund Research
The HFRX global index lost 0.94% in June and is down 1.2% year to date (YTD). The majority of the single strategies tracked by the index were also in negative territory for the month. The biggest loser was distressed securities, down 3.73%, although this strategy is up 0.38% YTD. Equity hedge (down 1.38%) and macro funds (down 1.32%) were also sizeable losers in June. Equity market neutral fell 0.77%, event driven was down 0.53% and merger arbitrage funds ended the month with losses 0.58%. Relative value funds and convertible arbitrage funds finished the month with positive returns. Relative value posted a 0.29% return for June, pushing YTD results up to 1.29%, while convertible arbitrage made 0.11% in the month and is up 1.92% YTD.

Lyxor
The Lyxor Global Hedge Fund index was down 0.6% in June. Year to date the Lyxor index remains in positive territory with a 0.1% gain. Long/short equity managers faced a difficult environment in which to make money. Long bias managers ended the month down 1.9% as did variable bias and market neutral managers (both falling 0.4%). Statistical arbitrage lost 2% as macro events impacted all stocks simultaneously. Both long-term and short-term CTAs were able to preserve capital in June 2010 with virtually flat returns of negative 0.2% and minus 0.4% respectively. Global macro funds were down 0.7% in June. Within the event driven space, merger arbitrage managers were flat (down 0.1%). The more volatile special situations managers were dragged down by their long equity exposure (falling 1.4%). D Distressed funds were up 1.5% and long/short credit strategies made 1.2%. Similarly fixed income arbitrage managers posted a robust 1.3% gain for June.