HFRX Daily Indices Mid-March 2014 Performance Update

Financial markets posted declines through mid-March, as geopolitical uncertainty associated with the Ukraine and the Crimean Peninsula increased, while weak economic data on Chinese growth also raised investor concerns. Global equity markets declined through mid-March, with declines across most regional and sector exposures led by Emerging Markets, with the Russian equity market falling over -16% through mid-March. Declines in European equities were led by declines in Germany, France, UK, Switzerland and the Netherlands, while Asian equity market declines were led by Hong Kong, Korea, Japan and China. US equities also posted declined through mid-March, with sector weakness led by Technology, Energy, Telecom and Healthcare, which were partially offset by sharp gain in Commodity sensitive equities. The Russian Ruble collapsed against the US dollar, falling to historical record lows; the US Dollar posted mixed performance against other currencies, rallying to an 4-week high against the British Pound Sterling while falling to a 28-month low against the Euro. The US Dollar also declined against the Indonesian Rupiah, Australian Dollar and New Zealand dollar. Global fixed income yields were narrowly unchanged through mid-month, with small declines across UK Gilts, German Bunds, France and Spain, with investment grade credit spreads widening as overall asset volatility increased sharply. Commodity prices were mixed through mid-month, with gains in Gold, Wheat, Coffee and Live Hogs offset by declines in Copper, Oil and Natural Gas. Hedge funds posted declines with the HFRX Global Hedge Fund Index declining -0.48% through mid-month, while the HFRX Absolute Return Index posted a narrow decline of -0.07%.

HFRX Equity Hedge Index posted a decline of -0.39% through mid-March with tactical short exposure mitigating volatility. HFRX Market Neutral Index declined -0.13%, with gains across fundamental, trading oriented strategies offset by declines in factor-based models, as volatility increased and dispersion widened. HFRX Fundamental Value Index declined -0.32% with positive contributions from exposures to Financials and Consumer sectors offset by declines in European small cap equities. HFRX Fundamental Growth Index posted a decline of -0.63% with positive contributions from Global Healthcare offset by declines in Emerging Asian exposure.

HFRX Event Driven Index posted a decline of -0.35% through mid-March, with positive contributions from Distressed/Restructuring managers offset by Equity Special Situations strategies. HFRX Distressed Index posted a gain of +0.14%with contributions from restructurings across Technology, Industrials and Consumer sectors in the US. HFRX Merger Arbitrage Index posted a modest gain of +0.04%, with mixed contributions from transactions in Suntory/Beam, Actavis/Forest Labs, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.53%, with contributions from core positioning in American Realty, Hertz, Time Warner, Sensient Technologies, Apple, Herbalife, eBay, Jos A. Bank, Ferro and American Airlines.

HFRX Macro Index posted a decline of -0.80% through mid-March as EM volatility increased, Russian equities fell sharply and the Rubble collapsed on uncertainty over Ukraine. HFRX Macro: Systematic Diversified Index and HFRX Emerging Markets Index declined -1.39% and -1.49%, respectively, from losses in equities and currencies; while discretionary fixed income exposure had a partially offsetting gain.

HFRX Relative Value Arbitrage Index posted a decline of -0.46% through mid-March with mixed contributions from Convertible Arbitrage offset by Multi-Strategy managers. HFRX Convertible Arbitrage Index declined -0.76% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Fixed Income Credit Index posted a narrow decline of -0.18% while the HFRX MLP Index gained +1.76% through mid-month on continued demand for yield generating energy infrastructure partnerships.

Comments reference performance as published through March 17, 2014.

www.hfrx.com

HFRI Monthly Indices perfromance notes: February 2014

EQUITY, COMMODITY HEDGE FUNDS LEAD STRONG FEBRUARY PERFORMANCE GAINS

Energy, Technology, Distressed and Growth among top performers;
All strategies positive as HFRI posts best gain since January 2013

CHICAGO, (March 7, 2014) - Hedge funds posted strong gains in February as equity, commodity and fixed income markets recovered from the prior month's volatility, despite continued turbulence in Emerging Markets. The HFRI Fund Weighted Composite Index advanced +2.1 percent for the month, the best monthly gain in over a year, benefitting from significant and broad-based contributions across a diverse range of strategies, according to data released today by HFR®, the established global leader in the indexation, analysis and research of the global hedge fund industry. The HFRI Fund of Funds Index gained +1.8 percent for the month, also the strongest gain since January 2013.

Industry gains were led by Equity Hedge strategies, with the HFRI Equity Hedge Index climbing +2.9 percent in February, the best monthly performance since the Index returned +2.51 percent in January 2013. Within EH sub-strategies, the volatile HFRI EH: Energy/Basic Materials Index gained +4.4 percent, its best performance since January 2012. The HFRI EH: Technology/Healthcare Index extended the strong recent performance, up +4.3 percent; the Index led all strategies with a gain of +22.5 percent in 2013 and leads 2014 with a YTD return of +7.0 percent. The HFRI Fundamental Growth Index gained +3.2 percent for the month, while the HFRI Fundamental Value Index was up +2.6 percent.

Benefitting from continuing improvement of investor risk tolerance and a strong transactional M&A environment, Event Driven funds also posted strong gains in February, led by Distressed/Restructuring. The HFRI Event Driven Index was up +2.1 percent, posting its 18th gain in the past 21 months, while the HFRI ED: Distressed Index climbed +3.0 percent for the month, the 19th gain in the past 21 months. Activist, Merger Arbitrage and Special Situations funds also contributed to ED performance for the period.

Strong performance across Commodity, Emerging Markets, CTA and Discretionary Macro strategies drove the HFRI Macro Index to a gain of +1.4 percent for the month, its best performance since July ’12. The HFRI Macro: Commodity Index gained +2.7 percent for the period, led by contributions across Energy and Agriculture exposures. The HFRI Emerging Markets Index gained +2.6 percent, led by regional exposures to the Middle East and recovery in funds focused on Latin America, with the HFRI EM: Latin America Index up +3.2 percent for the month. The HFRI Macro Discretionary Index gained +1.7 percent, the strongest gain since January ’13, while the HFRI Systematic Diversified Index advanced +1.6 percent, the strongest gain since April '13.

Fixed income based Relative Value strategies also posted gains for the month, with the HFRI Relative Value Arbitrage Index adding +1.2 percent for the month, the 53rd gain in the past 62 months. RVA gains were led FI: Corporate strategies, with the HFRI FI: Corporate Index gaining +1.4 percent, though all RVA sub-strategies has positive contributions to Index performance for the month.

"The sharp reversal of investor risk tolerance from the January bottom contributed to strong performance gains in February across a broad range of strategies which categorically exhibit high levels of volatility, including commodities, emerging markets, energy, technology and distressed bonds," stated Kenneth J. Heinz, President of HFR. "In contrast to the powerful equity beta trend which dominated 2013, the EM-centric volatility which has characterized early 2014 has contributed to an opportunity-rich environment for funds which have the fundamental expertise and trading acumen to monetize these shifting volatility paradigms. In this way, hedge funds comprise a sophisticated portfolio mechanism for investors to access these volatile areas and a valuable portfolio complement to traditional exposures for institutional investors."

Comments reference Flash Update performance figures as posted on March 7, 2014.

www.hedgefundresearch.com

HFRU Indices - February 2014 performance notes

Global financial markets posted gains for February, despite increasing geopolitical tensions arising from secular unrest in Ukraine. Global equity markets posted broad-based gains recovering prior month declines, led by US Technology, Cyclical, Healthcare and Commodity-sensitive exposures. European and Asian equities also posted gains, with European gains led by France, Italy, Sweden and the UK, while Asian gains were led by Hong Kong, the Philippines, Australia and Thailand. Despite these, Emerging Market equities across Latin America were mixed, China and the Middle East posted gains while Russian equities posted declines. US and developed European yields were little changed against the prior month end, with bond yields measuring small declines in Italy and Spain. The US Dollar declined against most currencies, reversing much of the prior month's gains, falling sharply against the British Pound Sterling and Euro; the US Dollar also fell sharply against Emerging Market and Commodity currencies, with the largest monthly declines posted against the Indonesian rupiah, New Zealand Dollar, South African Rand and Brazilian Real. The US dollar posted a late month gain against the Chinese RMB, while the virtual currency Bitcoin fell sharply in value for the month. Commodities across Energy, Metals and Agriculturals continued to post strong gains, led by sharp gains in Gold, Oil, Silver, Platinum, Hogs, Coffee and Soybeans. Merger activity remained robust, led by Facebook's $19 billion acquisition of WhatsApp. UCITS compliant Hedge funds posted gains with contributions across all strategies, with the HFRU Hedge Fund Composite Index gaining +1.20% in February, the strongest gain since October 2013.

HFRU Equity Hedge Index posted a gain of +1.63% in February, the strongest gain since October 2013, with positive contributions from both Fundamental and Market Neutral strategies complemented by regional exposures to European equities. Exposure to recovering Emerging Markets also has a favorable contribution to HFRU EH in February.

HFRU Event Driven Index posted a gain of +1.21% in February, the strongest gain since December 2012, with contributions from European Equity Special Situations and Emerging Markets Fixed Income strategies. Global Merger Arbitrage and Distressed exposures also has positive contribution to HFRU ED performance.

HFRU Macro Index posted a gain of +1.19% in February, the strongest gain since July 2012 with positive contributions from commodity exposures including Metals, Energy and Agricultural, which were complemented by equity and fixed income exposure in Discretionary Macro strategies.

HFRU Relative Value Arbitrage Index posted a gain of +0.59% in February, with positive contributions from exposure to Real Estate, Emerging Markets Fixed Income and Global Convertible strategies, which were only partially offset by declines in Volatility exposure.

---

Comments reference performance as posted on March 3, 2014

The HFRU Indices are published on a daily basis and comprise the most comprehensive benchmarks of UCITS hedge fund performance available. HFRU Indices are representative of the complete universe of hedge funds compliant with UCITS guidelines, and include four strategy indices (Equity Hedge, Event Driven, Macro and Relative Value Arbitrage) and an aggregate HFRU Hedge Fund Composite Index.

Learn more at WWW.HFRU.EU

HFRX Indices February 2014 performance notes

Global financial markets posted gains for February, despite increasing geopolitical tensions arising from secular unrest in Ukraine. Global equity markets posted broad-based gains recovering prior month declines, led by US Technology, Cyclical, Healthcare and Commodity-sensitive exposures. European and Asian equities also posted gains, with European gains led by France, Italy, Sweden and the UK, while Asian gains were led by Hong Kong, the Philippines, Australia and Thailand. Despite these, Emerging Market equities across Latin America were mixed, China and the Middle East posted gains while Russian equities posted declines. US and developed European yields were little changed against the prior month end, with bond yields measuring small declines in Italy and Spain. The US Dollar declined against most currencies, reversing much of the prior month's gains, falling sharply against the British Pound Sterling and Euro; the US Dollar also fell sharply against Emerging Market and Commodity currencies, with the largest monthly declines posted against the Indonesian rupiah, New Zealand Dollar, South African Rand and Brazilian Real. The US dollar posted a late month gain against the Chinese RMB, while the virtual currency Bitcoin fell sharply in value for the month. Commodities across Energy, Metals and Agriculturals continued to post strong gains, led by sharp gains in Coffee, Gold, Oil, Silver, Platinum, Hogs and Soybeans. Merger activity remained robust, led by Facebook's $19 billion acquisition of WhatsApp. Hedge funds posted gains with the HFRX Global Hedge Fund Index gaining +1.59% for the month, while the HFRX Market Directional Index gained +2.83%.

HFRX Equity Hedge Index posted a gain of +2.67% in February, the best monthly gain since December 2010, with broad based contributions across most EH strategies. HFRX Fundamental Growth Index posted a leading gain of +4.16%, best performance for the Index since September 2010. HFRX: EHFG Index leads all Indices with a +4.54% YTD gain, with contributions from exposures to Global Healthcare and European, Asian and US mid- and small-cap equity. HFRX Fundamental Value Index gained +2.22% with contributions from exposures to Financials, Consumer and European large-cap equity. HFRX Market Neutral Index gained +0.73%, with gains across mean reverting, factor-based models as volatility declined and dispersion narrowed.

HFRX Event Driven Index posted a gain of +2.55% in February, the best performance since January 2013, with significant contributions from Equity Special Situations and Distressed/Restructuring strategies. Merger activity remained robust, led by Facebook's $19 billion acquisition of WhatsApp. HFRX Special Situations Index gained +2.99%, also the best performance since January 2013, with contributions from core positioning in American Realty, Time Warner, Sensient Technologies, Apple, Herbalife, eBay, Jos A. Bank, Ferro and American Airlines. HFRX Distressed Index posted a gain of +1.59%, its best performance since February 2012, with contributions from restructurings across Financials, Communications and Consumer sectors in the US and Europe. HFRX Merger Arbitrage Index posted a modest gain of +0.07%, with mixed contributions from transactions in Suntory/Beam, CapitalSource/PacWest Bancorp, Sterling Financial/Umpqua Corp, Avago Technologies/LSI and Tower Financial/Old National Bancorp.

HFRX Relative Value Arbitrage Index posted a gain of +1.33% in February, its best performance since January '13, with contributions across Convertible Arbitrage and Multi-Strategy managers. HFRX Convertible Arbitrage Index gained +1.51%, the best performance since May 2013, as credit gains offset volatility declines, while HFRX RV: Multi-Strategy Index and HFRX Fixed Income Credit Index posted gains of +1.28% and +1.36%, respectively, also their best performance in more than a year. HFRX MLP Index gained +1.22% on strong demand for yield generating energy infrastructure partnerships.

HFRX Macro Index posted a decline of -0.75% in February, with contributions from Currency, Fixed Income and Emerging Markets strategies, offset by trend-following CTA managers. HFRX Macro: Systematic Diversified Index declined -1.42% as gains in equities and commodities were offset declines in currency and fixed income. HFRX Emerging Markets Index posted a gain of +0.80% with contributions from Asian convertible and equity strategies, paring prior month losses.

Comments reference performance as published for February 28, 2014.

www.hfrx.com