Index Flash

Equity investing hedge funds witness their best quarter since Q3 2009

Long/short equity, multi-strategy and relative value funds enjoy their best quarter since Q3 2009
After experiencing the best start to a year since 2000, hedge funds paused for a breather during March, delivering a marginally negative performance. With the exception of the US, most markets across the globe registered declines and the Eurekahedge Hedge Fund Index dipped 0.14% in March with the MSCI World Index up by 0.39% for the month. Key highlights for March 2012:

Long/short equity, multi-strategy and relative value funds witnessed their best quarter since 3Q 2009 with gains of 6.1%, 4.93% and 4.29% respectively. Assets in hedge funds crossed US$1.76 trillion, gaining over US$50 billion during the first three months of 2012. Long-only absolute return funds saw gains of 11.4% in the first quarter of this year. Hedge fund managers employing non-conventional strategies have grown their assets to US$63.2 billion, their highest level since August 2008. Relative value managers reached US$50 billion of capital for the first time on record. Islamic funds outperformed other alternative vehicles, gaining 0.63% during March 2012. More than 100 hedge funds have been launched globally as at the end of March this year.

Regional Indices March was a month filled with mixed returns across the various regional investment mandates. Early results showed that Latin American hedge funds delivered the best performance this month and the Eurekahedge Latin American Hedge Fund Index gained a notable 0.80% despite most emerging markets witnessing sell-offs during this period evident in the 3.50% decline in the MSCI Emerging Markets Index. Managers invested in the region had taken cautious positions in the Brazilian market-based risks of overvaluation and currency. Short positions in Brazil were helpful to portfolios and some managers also reported positive returns from long holdings in the broader region. North American managers witnessed their fourth consecutive month of positive returns with the Eurekahedge North American Hedge Fund Index gaining 0.46%, bringing its year to date return to 4.63%. Overhang from the high risk aversion and volatility seen in 2H 2011 resulted in some careful positioning by North American hedge funds, effectively preventing most managers from capitalising on the strong positive trend in 1Q 2012. The S&P 500 gained 12% in the first quarter of 2012, reflecting the best

Index Flash

Equity investing hedge funds witness their best quarter since Q3 2009
quarterly performance since 1998. Strategy Indices Most strategic mandates delivered marginally positive results in March with hedge fund managers investing in fixed income products performing better than the rest. The Eurekahedge Relative Value Hedge Fund Index gained 0.48% while the Eurekahedge Fixed Income Hedge Fund Index was up 0.46% during the month. A number of managers reported gains from long positions in the high yield loans sector as declining fears about the European debt situation led to a strong performance in lower rated bonds. CTA/managed futures and macro funds delivered the worst performance for March with a decrease of 0.72% and 0.70% respectively. The weak performance of commodities during the month contributed to the declines in these strategies. The DJ UBS Commodity Index dropped 4.14% and the S&P Goldman Sachs Commodity Index lost 2.36% with natural gas prices declining 22% during the month. Oil prices also saw a decline in March amid speculation of the release of strategic reserves and concerns of a lowering demand due to slowdown in China. Some managers also reported losing out due to long positions in gold.

Main Indices
Eurekahedge Hedge Fund Index Eurekahedge Fund of Funds Index Eurekahedge (Long-Only) Absolute Return Fund Index Eurekahedge Islamic Fund Index

March 2012*
-0.14 -0.45 -0.35 0.63

2012 2011 Returns Returns

4.11 2.55 11.40 5.84 -3.87 -5.63 -14.26 -3.47

Regional Indices
Eurekahedge North American Hedge Fund Index Eurekahedge European Hedge Fund Index Eurekahedge Eastern Europe & Russia Hedge Fund Index Eurekahedge Japan Hedge Fund Index Eurekahedge Emerging Markets Hedge Fund Index Eurekahedge Asia ex-Japan Hedge Fund Index Eurekahedge Latin American Hedge Fund Index

March 2012*
0.46 0.49 -1.19 0.47 -0.28 -2.72 0.80

2012 2011 Returns Returns

4.63 5.17 8.87 4.20 6.66 5.53 5.51 -0.62 -6.33 -20.07 -1.54 -8.05 -12.44 2.59

Strategy Indices
Eurekahedge Arbitrage Hedge Fund Index Eurekahedge CTA/Managed Futures Hedge Fund Index Eurekahedge Distressed Debt Hedge Fund Index Eurekahedge Event Driven Hedge Fund Index Eurekahedge Fixed Income Hedge Fund Index Eurekahedge Long/Short Equities Hedge Fund Index Eurekahedge Macro Hedge Fund Index Eurekahedge Multi-Strategy Hedge Fund Index Eurekahedge Relative Value Hedge Fund Index

March 2012*
0.13 -0.72 0.25 0.19 0.46 0.05 -0.70 0.43 0.48

2012 2011 Returns Returns

3.71 0.45 4.97 5.43 3.75 6.10 2.22 4.93 4.29 0.98 -2.74 -2.53 -4.60 0.88 -7.02 -1.27 -2.05 -0.12

Mizuho-Eurekahedge Indices
Mizuho-Eurekahedge Index - USD Mizuho-Eurekahedge TOP 100 Index - USD Mizuho-Eurekahedge TOP 300 Index - USD

March 2012*
-0.89 -0.64 -0.82

2012 2011 Returns Returns

2.80 2.37 2.32 -2.08 1.87 0.04

* Based on 26.94% of funds which have reported March 2012 returns as at 9 April 2012.

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Index Flash

Equity investing hedge funds witness their best quarter since Q3 2009
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