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

Dow Jones
Hedge funds measured by the Dow Jones Credit Suisse Hedge Fund Index posted a slight negative performance in May, finishing almost flat at -0.96%. Just  three out of 10 strategies posted positive performance for the month. Dedicated short bias reversed its fortunes from April when it was the worst-performing strategy. In May it was the best-performing sector gaining 2.2% as managers capitalised on negative momentum in equities. Long/short equity funds posted negative performance, down 1.68% for May, but still outperformed long-only benchmarks. Managed futures reversed its positive performance in April when it posted a gain of 5.4%, to end May down 4.44%. The only other strategies to post positive performance were convertible arbitrage (up slightly a marginal 0.02%) and fixed income (up 0.21%).

Frontier
The Frontier Multi Asset Platform (MAP) Fund declined 1.6% in May 2011 with just three asset classes showing positive returns. Emerging bonds was the best-performing asset class, up 1.5%, followed by global bonds, up 1%, and global real estate, up 0.4%. The worst-performing asset class was commodities, down 5.1% on the month, followed by managed futures and emerging equities, down 4.6% and 2.6% respectively. Over the five years to March 2011, the MAP strategy has generated a positive 2.3% annualised return with volatility of 9.5%.

HRFX
The HFRX Global Hedge Fund Index posted a decline of 1.39% for May with negative performance in every strategy. The HFRX Relative Value Arbitrage Index fell 0.28% over the month while HFRX Convertible Arbitrage Index declined 0.41%. The HFRX Event Driven Index dropped 0.62%, its first negative return for six months, with negative contributions across all event driven sub-strategies. Event driven strategies were impacted by weak equity markets and a widening credit and deal spread associated with increasing risk aversion. The HFRX Merger Arbitrage Index fell 0.78% for May, while the HFRX Special Situations Index and the HFRX Distressed Securities Indices declined by 0.67% and 0.55% respectively. The HFRX Macro Index posted a fall of 2.11%, also its first monthly decline since November. This sector was affected by sharp declines in commodity and equity markets. The HFRX Equity Hedge Index dropped 2.63% with losses across all sub-strategies. Equity market neutral strategies also declined by 0.51%.

Lyxor
The Lyxor Global Hedge Fund index lost 1.8% in May. Global macro and CTA managers bore the brunt of month's difficulties with the Lyxor Long-Term CTA Index declining 4.1% and the Short-Term CTA Index falling 3.4%. The more bullish global macro managers with higher equity and commodity positions suffered, dragging down the index 2.5% on the month. Long/short equity managers generally declined less than the broad markets, with the Lyxor Market Neutral Index gaining 0.6%. The Long Bias Index declined 0.7% and the Variable Bias Index dopped 0.6%. Increased correlations across stocks and generally low volatility worked against statistical arbitrage managers, with the index declining 0.6%. The Lyxor Special Situations Index fell 1.8% and the Lyxor Merger Arbitrage Index displayed its typical low volatility, falling 0.4%. The Lyxor Distressed Index also declined a modest 0.5% due to idiosyncratic positioning, as did the Lyxor L/S Credit Index. The Lyxor Convertible Arbitrage Index fell only 0.2%. Wider spreads worked against convertible prices but short equity positions and stable convertible valuations helped to offset this factor. The Lyxor Fixed Income Arbitrage Index declined 1.7% with the majority of the losses occurring during the first half of the month.