HFRU Indices Mid-December 2013 performance notes

Global financial markets posted declines through mid-December, as investors discounted mixed data on consumer spending and moderate expectations for economic growth in early 2014, as global equity markets posted declines, with weakness led by Europe, Asia and Emerging Markets. European equity market declines were led by France, Italy, Spain, Switzerland and the Netherlands, while Asian declines were led by Australia, China, Japan, Korea & the Philippines. US weakness was concentrated in Financials, Biotechnology, Healthcare and Commodity-sensitive sectors, while Latin America declines were led by Argentina & Brazil. US yields rose as the yield curve flattened led by increases in shorter dated maturities; European yields also rose with increases across UK Gilts, German Bunds, France and the Netherlands. Investment grade credit spreads widened, while high yield credit posted mixed performance. The US dollar also posted mixed performance, rising again the British Pound Sterling, while the Euro again topped the 1.38 level against the Dollar, breaching a 25 month high. Crude Oil & Natural Gas led gains across commodities, as Metals partially recovered steep losses from the prior month, led by gains in Copper & Platinum. Agricultural commodity gains were led by Coffee & Cotton, with these partially offset by declines in Sugar & Wheat. UCITS compliant Hedge funds posted declines, with the HFRU Hedge Fund Composite Index declining -1.06% through mid-December.

• HFRU Equity Hedge Index posted a decline of -1.43% through mid-December, with positive contributions from European equities offset by declines in exposures to Emerging Markets, with concentration in Brazil and China.
  
  
• HFRU Event Driven Index posted a decline of -0.26% through mid-December, with mixed performance from European Equity Special Situations and Merger Arbitrage managers, while Emerging Markets exposure and credit strategies detracted from performance.
  
  
• HFRU Macro Index posted a decline of -1.19% through mid-December, with declines led by Systematic CTA, Commodity – Metals managers and Emerging Markets exposures.
  
  
• HFRU Relative Value Arbitrage Index posted a decline of -0.56% through mid-December, with gains in Fixed Income, Asset-Backed and Volatility strategies offset by declines in Global Multi-Strategy and Real Estate exposure.
  

Comments reference performance as published on December 16, 2013.

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