HFRI Monthly Indices Performance (FLASH UPDATE)

1 1 Noel April 07, 2011 1:40 Monthly Indices - Flash update: March 2011 Having trouble viewing this email? Content available at: HFRI Monthly Indices Performance (FLASH UPDATE) March 2011 Performance notes Global financial markets ended a volatile month with mixed equity market Performance as the combination of political unrest across the Middle East aJapanese natural and environmental situations continued to impact investors. The Japanese Yen touched a 15 year high against the US Dollar intra-mretraced a portion of the gains by month end; Oil and Silver posted gains for the month, with mixed and widely dispersed Performance across other coHedge funds posted a narrow decline for the month, with the HFRI Fund Weighted Composite Index declining with gains in Event DriveValue Arbitrage and Equity Hedge strategies offset by negative contributions from Macro.

2 In a month in which the Nikkei 225 declined by over -8%, Japan-focused hedge funds posted an average decline of in March, detracting modeindex Performance . The HFRI Emerging Markets Index posted a gain of + for the month, with positive contributions from fund exposure iJapan, Latin America and Multiple Emerging Markets only partially offset by losses in Russia/Eastern Europe. Posting its seventh consecutive month of gains, the HFRI Event Driven (Total) Index rose + for the month, with corporate transaction actito accelerate and transactions involving both NYSE Euronext and T-Mobile highlighting an active month in Event Driven.

3 Gains in European M&A and ESituations offset weakness in Distressed for the month, with the HFRI ED: Merger Arbitrage Index posting a gain of + , while the HFRI:ED Distressed/Restructuring Index posted a decline of For the quarter, Event Driven posted a gain of + , the top area of strategy performa The HFRI Macro (Total) Index posted a decline of for March, with losses in both discretionary and systematic trend following strategiesin commodity and equity exposures. The HFRI Macro: Systematic Diversified Index posted a decline of as markets experienced sharp reversalmonth, contributing losses across equities and soft commodities, which were only partially offset by metals and currencies exposure.

4 Exposures to lonand commodities also contributed to losses in Macro Discretionary strategies. The HFRI Relative Value (Total) Index posted a gain of + for March with positive Performance across fixed income strategies as yields tintra-month range but settled with little change. The HFRI Convertible Arbitrage Index posted a gain of + , while the HFRI RVA: Multi-Strategy I+ ; both of these were impacted by shifts in fixed income yields levels and curve shapes, with implied volatilities also tracing a wide intra-monthalternative energy infrastructure and real estate also posted gains for the month, while volatility exposure detracted from Performance .

5 Relative Valuehave posted gains in 26 months of the last 27 months since December 2008. Also posting the 7th consecutive month of gains, the HFRI Equity Hedge (Total) Index posted a gain of + in a volatile and widely dispersequity markets, with gains in Equity Market Neutral and Fundamental Growth partially offset by weakness in Energy and Basic Materials and short expFundamental Growth strategies gained + on continued improvement in US consumer & employment data while Equity Market Neutral Index pos+ The HFRI EH: Technology/Healthcare Index gained + , while the HFRI EH.

6 Energy/Basic Materials Index declined and the HFRII ndex declined by The HFRI Fund of Hedge Funds Index had a modest decline of , mirroring the Performance of the HFRI Fund Weighted Composite Index Comments reference Flash Update Performance figures as posted on April 7, 2011. March 2011 ON-LINE ACCESS TO ALL HFR INDEX CONSTITUENT FUNDS VIA HFRD Total Return 1 Year3 Year AnHFRI Indices MAR 2011 YTD 1 YR 3 YR STD* ShR**ROR STDRORI ndex ValueHFRI Fund Weighted Composite Index Equity Hedge (Total) Index EH: Equity Market Neutral Index EH: Quantitative Directional EH: Sector - Energy/Basic Materials Index EH: Sector - Technology/Healthcare Index EH.

7 Short Bias Index Event-Driven (Total) Index ED: Distressed/Restructuring Index ED: Merger Arbitrage Index ED: Private Issue/Regulation D Index Macro (Total) Index Macro: Systematic Diversified Index Relative Value (Total) Index RV: Fixed Income-Asset Backed RV: Fixed Income-Convertible Arbitrage Index RV: Fixed Income-Corporate Index RV: Multi-Strategy Index RV: Yield Alternatives Index HFRI Emerging Markets (Total) Index Emerging Markets: Asia ex-Japan Index Emerging Markets: Global Index Emerging Markets: Latin America Index Emerging Markets: Russia/Eastern Europe Index HFRI Fund of Funds Composite Index FOF: Conservative Index FOF.

8 Diversified Index FOF: Market Defensive Index FOF: Strategic Index HFRI Fund Weighted Composite Index - CHF Fund Weighted Composite Index - EUR Fund Weighted Composite Index - GBP Fund Weighted Composite Index - JPY Click here to view the complete Performance history of the HFRI Indices Charting Strategy Definitions Methodology FAQI ndices last updated on 04/07/2011 - * Monthly Standard Deviation Annualized - **Annualized Sharpe Ratio assumes a risk-free rate **AnnuaRatio

9 Assumes a risk-free rate. The HFRI are updated three times a month: Flash Update (5th business day of the month), Mid Update (15th of the month - or nearest business day),Update (1st business day of following month). The current month and the prior three months are left as estimates and are subject to change. All perfothat is locked and is no longer subject to change. 3 HFR Database HFR Industry Reports HFR Manager Access P Advertising and Marketing Opportunities available at enjoys a large and dedicated audience of hedge fund industry professionals and academics who visit for access to tand HFRX Indices , HFR data products and industry analysis.

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