HFRU Indices: March 2014 Performance notes

Global financial markets posted mixed performance for the month of March, as investors discounted the impact of rising geopolitical tension and economic sanctions surrounding the annexation of Crimea by Russia. Global equity markets also posted mixed performance as US equities pulled back from record valuation levels on continued tapering of stimulus measures by US Federal Reserve and mixed forward guidance by corporations. US sector gains were led by Energy, Financials and Semiconductors, which offset declines in small cap, Biotechnology, Healthcare and Cyclical exposures. European equities were also mixed, with gains in Italy, Spain and the Netherlands offset by declines in the UK, Germany and Russia, while Asian equities were narrowly changed for the months, with declines in China and Hong Kong offset by gains in India and Singapore. US yields rose slightly as high yield credit tightened and the yield curve flattened, with shorter dated yields rising relative to longer dated; yields declined in Italy and Spain, though European yields were only modestly changed elsewhere. Energy and Metals commodities posted broad based declines led by Copper, Silver and Natural Gas, while Agricultural commodities gained, led by Corn, Hogs, Sugar and Wheat. The US dollar gained against the Euro, British Pound Sterling and Japanese Yen, though declined against the Australian Dollar, New Zealand dollar and Brazilian Real. UCITS compliant Hedge funds posted declines with the HFRU Hedge Fund Composite Index posting a modest decline of -0.15% in March.

HFRU Equity Hedge Index posted a decline of -0.21% in March, with positive contributions from regional exposures to Turkey and Latin American equities offset by declines concentrated in Russian, Chinese and Healthcare exposure.

HFRU Event Driven Index posted a decline of -0.59% in March, with contributions from Emerging Markets Fixed Income exposures which were offset by declines in Global Merger Arbitrage and European Equity Special Situations strategies.

HFRU Macro Index posted a decline of -0.28% in March as exposure to systematic trend-following managers and Commodity – Metals led to declines which were only partially offset by Multi-Strategy and Agricultural commodities strategies.

HFRU Relative Value Arbitrage Index posted a gain of +0.12% in March, with positive contributions from exposure to Emerging Markets Fixed Income and Asset-Backed managers.

Comments reference performance as posted on April 1, 2014

www.hfru.eu