June 2010 Hedge Fund Performance Commentary

Eurekahedge

Introduction

Hedge fund returns were flat to marginally negative in June as most managers steered cautiously through
volatile markets. The composite Eurekahedge Hedge Fund Index registered -0.59% returns for the month
against the backdrop of a 3.56% drop in global equities and a sharp rise of risk aversion towards the
end of the month (The Volatility Index on the Chicago Board of Options Exchange gained 37% from mid-
to end-June). Furthermore, hedge funds have also continued to outperform underlying markets June
year-to-date – the MSCI World Index is down -10.88% YTD while the average hedge fund fell only
0.12% for the year.

Hedge funds finished the month with a mixed performance across regional mandates. Downside
performance was restricted to less than 2% in most regions while Latin American hedge funds rose
0.43%, largely due to the strong performance by multi-strategy managers (0.42%), who form the bulk
of the index. In contrast to the 3.78% drop in the MSCI Latin American Index, all Latin American hedge
fund strategies posted positive returns last month, with the exception of the offshore macro and
long/short equity managers.

The chart below shows the hedge fund returns for May and June 2010 across different geographical
mandates.

May and June 2010 Returns

Japanese hedge funds continue to lead in the YTD measure, with the Eurekahedge Japan Hedge Fund
Index up 1.61% June YTD. Japanese long/short equity managers, the largest constituents of the index
by strategy, have a successful first six months, with the funds gaining 1.71% – ahead of the Topix by
9%.

North American managers are up 0.64% YTD, driven largely by the performance of distressed debt
(6.09%) and fixed income-investing hedge funds (5.07%). The heightened volatility and risk aversion in
1H2010 sparked a rush to safety among investors, increasing the demand for treasuries and corporate
bonds in the US. The portfolio values…

1 | July 2010 www.eurekahedge.com

The full article is available in the EH Report accessible to paying subscribers only.

Subscribers may continue to login as usual to download the full report and non-subscribers may email
database@eurekahedge.com to enquire on how to obtain the full research report.

Copyright © Eurekahedge Pte Ltd 2010. All rights reserved. July 2010 |2