The January returns for investable indexes Dow Jones Investable Indexes, Frontier Capital Multi Asset Platform Fund versus the indexes, Hedge Fund Research Indexes and Lyxor Alternative Index.

Dow Jones

The Dow Jones Credit Suisse Hedge Fund Index returned a positive 0.69% in January 2010, down from its positive 3.04% in December 2010. Nine out of 13 strategies finished the month with positive returns. The strongest performer was convertible arbitrage, up 2.16%, followed by multi-strategy, up 1.98% distressed, up 1.90% and risk arbitrage, up 0.89%. Long/short equity scraped in a positive 0.27%. Dedicated short bias posted the worst returns of negative 0.83%, closely followed by managed futures, down 0.82% and global macro, down 0.77%. The only other strategy with negative returns was emerging markets, down 0.39%. The Dow Jones Credit Suisse Hedge Fund Index (formerly known as the Credit Suisse/Tremont Hedge Fund Index) is an asset-weighted benchmark tracking 13 strategies.

Frontier Capital

The Frontier Capital Multi Asset Platform (MAP) fund returned a negative 0.6% in January 2011, down from its December returns of positive 3.1%. Five out of eight asset classes showed negative returns: global bonds, emerging equities, emerging bonds, hedge funds and managed futures. Commodities was the best-performing asset class, up 3.3%, followed by global equities, up 1.9% and global real estate, up 1.4%. The worst-performing asset classes were emerging equities, down 2.7%, followed by managed futures, down 1.5% and emerging bonds, down 0.6%. Over the 5 years to January 2011 the MAP strategy has generated 1.9% annualised returns with volatility of 9.5%. The Frontier Capital (MAP) is an investable fund tracking eight global asset class indexes using an asset allocation inspired by US university endowments such as Harvard and Yale.

HFRX

The HFRX Global Hedge Fund Index gained 0.56% in January 2010. Continuing on gains into year end, the HFRX Relative Value Arbitrage Index posted a gain of 1.12% for January. The HFRX Convertible Arbitrage Index and the HFRX RVA: Multi-Strategy Index gained 1.64% and 1.01%. The HFRX Event Driven Index posted a gain of 0.86% with the strongest contribution from distressed strategies. The HFRX ED: Distressed Index posted a gain of 1.87%. Stable credit markets, continued improvements in the M&A environment and developed equity market gains contributed to gains of 1.00% for the HFRX Merger Arbitrage Index, while the HFRX Special Situations Index posted a gain of 0.98%. The HFRX Macro Index posted a gain of 0.15% for January. The HFRX Systematic Diversified Index posted a loss of 2.58% for the month. The HFRX Equity Hedge Index posted a loss of 0.17% as inflationary concerns and civil unrest in emerging markets offset continued improvement in US corporate earnings and consumer data. The HFRX Fundamental Growth Index and the HFRX Fundamental Value Index posted slight gains of 0.25% and 0.05% respectively.

Lyxor

The Lyxor Global Hedge Fund Index was flat in January following its 2.3% gain in December. Broad equity indexes showed a positive return at the end of January with the S&P 500 up 2.4%) but some exposures changed little with the S&P 600 small cap index up 0.2%. Gains in large cap equities helped the Lyxor L/S Equity Long Bias Index to a 1.1% gain. The Lyxor L/S Equity Variable Bias Index fell 0.4% and the Statistical Arbitrage Index fell 1.1. The Market Neutral Index gained 0.9%. Convertible Arbitrage managers gained 1.0% due to the supply/demand dynamics for equity-linked assets and rise in underlying stocks. The Lyxor L/S Credit Index rose 0.6% as credit spreads continued tightening. Short euro positions and long energy positions proved painful for many futures traders during the month and the Lyxor Long-Term CTA Index declined 2.0%. The Lyxor Short-Term CTA Index was flat. The Lyxor Merger Arbitrage Index gained 1.4% in January 2011 making it the best performing strategy index in the Lyxor suite. The Distressed Index was also up 1.0%. The Lyxor Special Situations Index edged up 0.5% after peaking mid-month. The Lyxor Global Macro Index declined 0.6% on the month. The Lyxor Fixed Income Arbitrage Index gained 0.7% as some FX managers suffered from weakening emerging currencies and a simultaneously strengthening euro. The Lyxor Global Hedge Fund Index is an investable index based on Lyxor's hedge funds platform which tracks the overall hedge fund universe.