Index Flash

Hedge funds down 1.88% in May

June 2010 Hedge funds were down 1.88% on average in May – a month that saw global markets shed significant value. However, the hedge fund sector’s year-to-date performance remains in the black, with the Eurekahedge Hedge Fund Index advancing 1.30% May YTD. In comparison, the MSCI World Index was down 9.91% in May, standing at -7.64% for the year so far.

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Hedge funds were up 1.30% YTD (May 2010), outperforming global markets by 8.94% YTD. Distressed debt hedge funds added a 14th consecutive positive month, gaining 50.91% over this period. The first five months of the year saw nearly 220 fund launches across the globe.

Main Indices Index Eurekahedge Hedge Fund Index Eurekahedge Fund of Funds Index Eurekahedge Long-Only Absolute Return Fund Index Eurekahedge Islamic Fund Index Regional Indices May turned out to be a tough month for global markets as they were hit by a series of bad news. The ‘flash crash’ of US markets on 6 May was an ominous sign at the start of the month, followed by sudden dips in the Asian markets a few days later. The continuing sovereign debt problems in the eurozone, the major oil spill in the Gulf of Mexico, fears of a conflict in Korea and the unrest in Thailand all contributed to heightened volatility in global markets and affected the already fragile market sentiment. Hedge funds across all regional mandates ended the month in negative territory; however, managers of all regional mandates beat their respective underlying market indices. In absolute terms, Latin American and North American managers were the best performers for the month (in the sense of losing the least), down 0.87% and 0.92%, respectively, while the Bovespa was down 6.64% and S&P 500 lost 8.2%. In relative 1 May 2010 Est1 -1.88 -2.42 -7.14 -4.56 2010 YTD Returns 1.30 -0.33 -1.04 -0.86 2009 Returns 19.72 9.71 47.87 21.53

Index Flash

Hedge funds down 1.88% in May
terms, European hedge funds delivered the most outperformance, down 2.72%, beating the MSCI Europe Index by more than 10%. Index 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 Strategy Indices Performance across most strategic mandates was negative for the month amid sharp movements, volatility and trend reversals across different asset classes. Distressed debt managers, however, continued to deliver positive returns for the 14th consecutive month, gaining a marginal 0.03% in May and 50.91% since March 2009. Macro-investing funds posted the highest returns for the month, gaining 0.29%. Long/short equity managers lost the most in absolute terms, down 3.63%, due to the large drops seen across global equity markets during the month. Index 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 May 2010 Est1 -1.78 -0.20 0.03 -2.05 -0.09 -3.63 0.29 -2.01 -0.33 2010 YTD Returns 1.63 0.60 8.81 3.42 4.26 -0.17 2.14 0.96 3.48 2009 Returns 23.61 2.77 34.81 39.83 21.55 23.72 12.92 20.91 21.12 May 2010 Est1 -0.92 -2.73 -7.57 -3.13 -3.61 -4.86 -0.87 2010 YTD Returns 3.43 1.30 2.27 4.04 -0.67 -3.15 0.43 2009 Returns 23.72 20.68 61.21 7.22 34.99 38.08 27.30

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Index Flash

Hedge funds down 1.88% in May
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Based on 30.86% of the funds reporting their NAV for May 2010 as at 8 June 2010.

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