HFRX Indices Mid-April 2014 performance notes

Global financial markets posted declines through mid-April, as asset volatility increased , geopolitical tension over Ukraine and Russia continued to escalate and the NASDAQ Composite entered a market correction phase. US equity market declines were led by Technology, Biotechnology, Healthcare, Financials, Small Cap and Growth exposures, which were only partially offset by gains in Energy and Commodity related exposures. European equities also posted declines led by Russia, Germany, Switzerland and the Netherlands, while Asian equities posted mixed performance with gains in China, Hong Kong and Emerging Asia partially offset by declines in Japan. US treasury yields fell through mid-April as the curve flattened led by gains longer dated maturities; yields also fell across most European bonds, as Greece was able to complete a 3 Billion Euro bonds offering. The US dollar fell against most currencies, declining against the British Pound Sterling, Euro and Japanese Yen, while also declining against the Brazilian Real and Korean Won, though Russian Ruble continued to slide against the Dollar. Energy & Metals Commodities posted gains through mid-April led by Oil, Natural Gas, Aluminum and Gold, while Agricultural Commodities declined as gains in Coffee and Soybeans were offset by Sugar, Cotton & Hogs. Hedge funds posted declines with the HFRX Global Hedge Fund Index declining -0.91% through mid-month, while the HFRX Absolute Return Index posted a decline of -0.31%.

HFRX Relative Value Arbitrage Index posted a decline of -0.33% through mid-April, with mixed contributions from Multi-Strategy and Convertible Arbitrage managers. The HFRX Multi-Strategy Index posted a narrow decline of -0.12% with mixed contributions from Credit, Equity and Commodity strategies. HFRX Convertible Arbitrage Index declined -1.29% as gains in volatility positions were offset by exposure to Asian and Japanese convertibles. HFRX Fixed Income Credit Index posted a decline of -0.42% while the HFRX MLP Index gained +1.65% through mid-month on continued demand for yield generating energy infrastructure partnerships.

HFRX Event Driven Index posted a decline of -0.49% through mid-April, with positive contributions from Merger Arbitrage strategies offset by declines in Equity Special Situations and Distressed/Restructuring managers. HFRX Merger Arbitrage Index posted a gain of +0.10%, with positive contributions from transactions in Facebook/Oculus VR, Suntory/Beam, Actavis/Forest Labs, ATMI/Entegris, and Tower Financial/Old National Bancorp. HFRX Special Situations Index declined -0.54%, with contributions from core positioning in American Realty, Hertz, Lamar, McKesson, Sensient Technologies, Vivendi and Athabasca Oil. HFRX Distressed Index declined -0.38% from restructurings across Consumer and Communications sectors in the US.

HFRX Macro Index posted a decline of -0.56% through mid-April, as volatility in Emerging Markets and Commodities increased, Russian equities fell sharply and the Rubble continued to decline on uncertainty over Ukraine. HFRX Macro: Systematic Diversified Index and HFRX Emerging Markets Index declined -0.73% and -1.86%, respectively, with contributions from equities and currencies.

HFRX Equity Hedge Index posted a decline of -2.08% through mid-April, with gains in Equity Market Neutral only partially offsetting declines in directional strategies. HFRX Market Neutral Index posted a gain of +0.12%, with positive contributions across factor-based models as well as fundamental and trading oriented strategies. HFRX Fundamental Value Index declined -2.03% with declines concentrated in exposures to European and Financials equities. HFRX Fundamental Growth Index posted a decline of -2.53% from exposure to European, Emerging Asia and Global Healthcare small-cap equities.

Comments reference performance as published through April 16, 2014.

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