Eurekahedge Index Flash - May 2012

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Hedge fund s ove r US$500 m rem a in i n pos i t i ve te r r i t o ryd u r i n g a n eg a t i ve m o n t h f o r i n d u s t r y

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Long/short equity, multi-strategy and relative value funds enjoytheir best quarter since Q3 2009

After experiencing the best start to a year since 2000, hedge funds paused for a breather during March,delivering a marginally negative performance. With the exception of the US, most markets across theglobe registered declines and the Eurekahedge Hedge Fund Indexdipped 0.14% in March with the MSCIWorld Index up by 0.39% for the month.

Key highlights for March 2012:

Long/short equity, multi-strategy and relative value funds witnessed their best quarter since 3Q2009 with gains of 6.1%, 4.93% and 4.29% respectively.

Assets in hedge funds crossed US$1.76 trillion, gaining over US$50 billion during the first threemonths of 2012.

Long-only absolute return funds saw gains of 11.4% in the first quarter of this year.

Hedge fund managers employing non-conventional strategies have grown their assets toUS$63.2 billion, their highest level since August 2008.

Relative value managers reached US$50 billion of capital for the first time on record.

Islamic funds outperformed other alternative vehicles, gaining 0.63% during March 2012.

More than 100 hedge funds have been launched globally as at the end of March this year.

Regional Indices

March was a month filled with mixed returns across the various regional investment mandates. Earlyresults showed that Latin American hedge funds delivered the best performance this month and theEurekahedge Latin American Hedge Fund Indexgained a notable 0.80% despite most emerging marketswitnessing sell-offs during this period evident in the 3.50% decline in the MSCI Emerging MarketsIndex. Managers invested in the region had taken cautious positions in the Brazilian market-based risksof overvaluation and currency. Short positions in Brazil were helpful to portfolios and some managers alsoreported positive returns from long holdings in the broader region.

North American managers witnessed their fourth consecutive month of positive returns with theEurekahedge North American Hedge Fund Indexgaining 0.46%, bringing its year to date return to 4.63%.Overhang from the high risk aversion and volatility seen in 2H 2011 resulted in some careful positioning

by North American hedge funds, effectively preventing most managers from capitalising on the strongpositive trend in 1Q 2012. The S&P 500 gained 12% in the first quarter of 2012, reflecting the best
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quarterly performance since 1998.

Strategy Indices

Most strategic mandates delivered marginally positive results in March with hedge fund managersinvesting in fixed income products performing better than the rest. The Eurekahedge Relative ValueHedge Fund Indexgained 0.48% while the Eurekahedge Fixed Income Hedge Fund Indexwas up 0.46%during the month. A number of managers reported gains from long positions in the high yield loans sectoras declining fears about the European debt situation led to a strong performance in lower rated bonds.

CTA/managed futures and macro funds delivered the worst performance for March with a decrease of0.72% and 0.70% respectively. The weak performance of commodities during the month contributed tothe declines in these strategies. The DJ UBS Commodity Index dropped 4.14% and the S&P GoldmanSachs Commodity Index lost 2.36% with natural gas prices declining 22% during the month. Oil pricesalso saw a decline in March amid speculation of the release of strategic reserves and concerns of alowering demand due to slowdown in China. Some managers also reported losing out due to long

positions in gold.

Main Indices March2012*

2012

Returns2011

ReturnsEurekahedge Hedge

Fund Index-0.14 4.11 -3.87

Eurekahedge Fund of

Funds Index-0.45 2.55 -5.63

Eurekahedge (Long-Only) Absolute

Return Fund Index-0.35 11.40 -14.26

Eurekahedge IslamicFund Index

0.63 5.84 -3.47

Strategy Indices March2012*

2012

Returns2011

ReturnsEurekahedge Arbitrage

Hedge Fund Index0.13 3.71 0.98

Eurekahedge CTA/Managed

Futures Hedge Fund Index-0.72 0.45 -2.74

Eurekahedge Distressed Debt

Hedge Fund Index0.25 4.97 -2.53

Eurekahedge Event Driven Hedge

Fund Index0.19 5.43 -4.60

Eurekahedge Fixed Income Hedge

Fund Index0.46 3.75 0.88

Eurekahedge Long/Short EquitiesHedge Fund Index

0.05 6.10 -7.02

Eurekahedge Macro Hedge Fund

Index-0.70 2.22 -1.27

Eurekahedge Multi-Strategy Hedge

Fund Index0.43 4.93 -2.05

Eurekahedge Relative Value Hedge

Fund Index0.48 4.29 -0.12

Regional Indices March2012*

2012

Returns2011

ReturnsEurekahedge North American

Hedge Fund Index0.46 4.63 -0.62

Eurekahedge European Hedge Fund

Index0.49 5.17 -6.33

Eurekahedge Eastern Europe &

Russia Hedge Fund Index-1.19 8.87 -20.07

Eurekahedge Japan Hedge FundIndex

0.47 4.20 -1.54

Eurekahedge Emerging Markets

Hedge Fund Index-0.28 6.66 -8.05

Eurekahedge Asia ex-Japan Hedge

Fund Index-2.72 5.53 -12.44

Eurekahedge Latin American

Hedge Fund Index0.80 5.51 2.59

Mizuho-Eurekahedge Indices March2012*

2012

Returns2011

ReturnsMizuho-Eurekahedge Index - USD -0.89 2.80 -2.08

Mizuho-Eurekahedge TOP 100

Index - USD-0.64 2.37 1.87

Mizuho-Eurekahedge TOP 300

Index - USD

-0.82 2.32 0.04

* Based on 26.94% of funds which have reported March 2012returns as at 9 April 2012.

Eurekahedge indices are available for download fromwww.eurekahedge.com/indices/hedgefundindices.aspandare updated with the latest fund returns at 23:30 GMT every day. Index values and data can be downloaded forfree and subscribers can download the full list of index constituents. Please [email protected] more information.

In addition to our existing databases, we have incorporated Travel Plans, a new feature for our esteemedsubscribers. Travel Plans will allow fund managers to update their travel schedule onto their fund's profile page
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in the database. To list or update your travel schedule, please [email protected].

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Eurekahedge Index Flash - May 2012

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