HFRU Indices: January 2014 Performance

Global financial markets declined as volatility spiked in January, as Emerging Market currency weakness and further reduction of US Federal Reserve stimulus measures contributed to reduction in investor risk tolerance. Global equity markets posted broad based declines, with US declined led by large cap, Consumer Durables, Retail and Telecom sectors. Asian & European equities also declined, with Asian losses led by Japan & Hong Kong, European losses led by Russia and the Netherlands; Emerging Markets posted steep losses led by Brazil, Turkey and Mexico. Government bond yields declined as investors on the investor flight to quality, with US yields falling across all maturities as the curve flattened, European yields also fell across UK Gilts, German Bunds, France and Spain. Emerging markets currencies posted steep declines against the US dollar, led by the Argentine Peso and South African Rand; the US dollar gained against most currencies including the Euro, British Pound Sterling and Canadian Dollar. Commodity gains were led by Gold, Natural Gas & Cattle, which were offset by declines in Oil, Copper & Wheat. UCITS compliant Hedge funds posted mixed performance, with the HFRU Hedge Fund Composite Index declining -0.16% for January.

HFRU Event Driven Index posted a gain of +0.13% for January, with contributions from European Equity Special Situations, Merger Arbitrage and Capital Structure Arbitrage managers, which were only partially offset by Emerging Markets exposure.

HFRU Equity Hedge Index posted a decline of -0.50% for January, with positive contributions from Global Healthcare and developed Europe offset declines in Emerging Markets positioning concentrated in Eastern Europe, Turkey, Russia and Latin America.

HFRU Macro Index posted a decline of -0.38% for January, with positive contributions from Commodity- Metals and fixed income strategies, which were offset by declines in equity and Emerging Markets exposure; Systematic CTA managers had mixed performance.

HFRU Relative Value Arbitrage Index posted a gain of +0.44% for January, with gains from falling yields and credit hedging contributing to gains in Fixed Income, Asset-Backed, Volatility and Convertible strategies only partially offset by declines in Emerging Markets exposure.

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Comments reference performance as posted on February 4, 2014

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