HFRX Indices November 2013 performance notes

HEDGE FUNDS EXTEND 4Q GAINS ON US GROWTH

Global financial markets posted mixed performance through November, with gains in US offset by mixed performance across Europe, Asia and other Emerging Markets; technology IPOs including Twitter posted strong gains while US corporate fixed income issuance remained strong, nearing 2012 record levels. Broad-based US equity gains were led by Technology, Healthcare and small caps, offsetting weakness in Energy, REIT and commodity-sensitive exposures. European equities posted mixed performance, with gains in Germany, Sweden and the Netherlands offset by weakness in the UK, Italy & Russia. Asian equities were also mixed, with strong gains in Japan, China and Hong Kong offset by weakness in Australia, India & the Philippines. US yields rose across most maturities on the improving US economic outlook, though expectations for curtailment of US Federal Reserve stimulus efforts remain unclear and widely varied; European yields were little changed following recent ECB policy action of lowering rates. The US dollar posted mixed performance, gaining against the Japanese Yen while falling against the British Pound Sterling, the Dollar was little changed against the Euro for the month; the Dollar also posted sharp gains against Emerging Market currencies including the Indian Rupee, Australian Dollar and Brazilian Real. Metals commodities posted declines on moderating expectations for inflation, with declines across Silver, Aluminum, Gold & Platinum; Natural Gas posted a sharp gain while Oil was mixed on political developments to ease sanctions on Iranian exports. Agricultural commodity gains were led by Soybeans, Rice and Coffee, which were offset by declines in Sugar, Hogs and Corn. Hedge funds gained in November with the HFRX Global Hedge Fund Index posting a gain of +0.55% for month, while the HFRX Absolute Return Index rose +0.45%.

HFRX Equity Hedge Index posted a gain of +0.96% in November, with gains across both Fundamental and Market Neutral strategies extending YTD gain for the Index to +9.8%. HFRX Fundamental Value Index rose +1.24% with contributions from US large-cap Communications, Financials and Technology sectors as well as European equity; HFRX EH:FV leads all EH sub-strategies with YTD gain of +14.5%. HFRX Market Neutral Index gained +0.64%, with gains in mean reverting and fundamental, factor-based models.

HFRX Event Driven Index posted a gain of +0.60% for the month, with contributions from Equity Special Situations and Merger Arbitrage strategies; HFRX ED leads all strategy indices with a gain of +13.6% YTD. HFRX Special Situations Index gained +0.83% for the month, continuing to lead all sub-strategies with a YTD gain of +17.7%. HFRX ED: Special Situations Index had contributions from core positioning in Twitter, Berry Petroleum, Linn Energy, Elan, Penn West, American Realty, Tribune Co., Ferro and Life Technologies. HFRX Merger Arbitrage Index posted a gain of +0.20%, with contributions from transactions in NYSE/IntercontinentalExchange, Capital Source/Pacwest Bancorp, Akorn/Hi-Tech Pharmacal, FNB/BCSB Bancorp, Koch/Molex and Thermo Fisher/Life Technologies. The HFRX Distressed Index remained unchanged for the period from mixed performance in various restructurings across Technology, Industrial and Basic Materials sectors.

HFRX Macro Index posted gain of +0.32% for the month, with positive contributions from Systematic CTA strategies offset by weakness in Currency and Fixed Income strategies. HFRX Macro: Systematic Diversified Index posted a gain of +1.60%, the 2nd consecutive monthly gain, with contributions from equities, currencies and commodities exposure. The HFRX Emerging Markets Index posted a decline of -1.00% from declines in Emerging Asia, Brazil and Currency exposure.

HFRX Relative Value Arbitrage Index posted a gain of +0.27% in November with gains in Corporate & Multi-Strategy managers offsetting weakness in Convertible Arbitrage as yields rose for the month and corporate bond issuance remained strong. HFRX RV: Multi-Strategy Index gained +0.22% for the month with contributions from capital structure arbitrage positions and effective interest rate hedging. HFRX Convertible Arbitrage Index posted a decline of -0.73%, paring the YTD gain of the Index to +9.2%, with a negative contribution from volatility positions. HFRX MLP Index gained +1.06% for the month, posting a YTD gain of +22.0%.

Comments reference performance as published for November 29, 2013.
www.hfrx.com