HFR® Global Hedge Fund Industry Report Year End 2013 …...the latest HFR Global Hedge Fund...

HFR® Global Hedge Fund Industry Report – Year End 2013

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HEDGE FUND ASSETS SURGE TO NEW RECORD TO BEGIN 2014

Inflows into Event Driven, Equity strategies led by Special Situations, Fundamental Growth;

Inflows to mid-sized firms top largest firms in 4Q as investor risk tolerance returns

CHICAGO, (January 21, 2014) – Capital invested in the global hedge fund industry surged to a record in the fourth quarter, finishing a strong year of capital growth as

hedge funds posted the best performance in three years. Total capital increased in 4Q by $120 billion on $10.5 billion of net inflows to $2.63 trillion, the sixth

consecutive quarterly record, led by a surge in investor interest in Event Driven strategies, including Special Situations and Distressed/Restructuring funds, according to

the latest HFR Global Hedge Fund Industry Report, released today by HFR®, the established global leader in the indexation, analysis and aggregation of the global

hedge fund industry. For the full year, total hedge fund capital increased by $376 billion on $63.7 billion of net inflows, as the HFRI® Fund Weighted Composite Index

posted a gain of +9.2 percent, the best calendar year performance since 2010.

Event Driven funds led capital inflows across all strategies for the first time since 2007, with investors allocating $29.5 billion in 2013. Event Driven

strategies grew by $140 billion to more than $698 billion for 2013, surpassing Relative Value Arbitrage as the second largest strategy area of hedge fund capital. Inflows

into Event Driven strategies for the year were led by Special Situations ($15.4 billion), Distressed/Restructuring ($6.7 billion) and Activist ($5.2 billion) sub-strategies.

The HFRI Event Driven Index gained +12.5 percent for 2013, the best performance since 2009.

Capital invested in Equity Hedge strategies increased by $48 billion in 4Q, driven by investor inflows of $8.6 billion, with total capital invested in the

strategy reaching a record $734 billion, the industry’s largest strategy concentration of investor capital; total assets invested in Equity Hedge increased $136 billion for

2013. Investor inflows of $17.9 billion were led by Multi-Strategy ($15.1 billion) and Fundamental Growth ($8.4 billion), while Fundamental Value, the largest EH

sub-strategy by capital, experienced an outflow of $10 billion for the year. The HFRI Equity Hedge Index gained +14.4 percent for 2013, also the best performance

since 2009.

Total assets invested in fixed income-based Relative Value Arbitrage (RVA) increased by $18 billion to $684 billion in 4Q on $2 billion of investor

inflows. For the FY 2013, RVA increased by $75.8 billion on inflows of $22.6 billion, led by inflows into Multi-Strategy ($14.8 billion), FI: Corporate ($3.7 billion) and

FI: Asset Backed ($3.6 billion). HFRI Relative Value Arbitrage Index gained +7.0 percent in 2013, the fifth consecutive annual gain.

Macro funds experienced an outflow of $13.3 billion in 4Q led by outflows from Systematic Diversified/CTA strategies of $4.9 billion. The HFRI

Macro: Systematic Diversified/CTA Index declined -0.7 percent for 2013, the third consecutive annual decline. Fourth quarter outflows offset allocations from prior

quarters, resulting in a FY 2013 net redemption of $6.3 billion from Macro funds. For the FY 2013, Macro assets increased by $23.7 billion to $511 billion as larger

firms posted relative performance-based asset increases despite the equal-weighted HFRI Macro Index narrowly declining by -0.2 percent, also the third consecutive

annual decline.

The concentration of capital inflows to the industry’s largest firms moderated slightly in 4Q, as investors allocated to firms across the market

capitalization spectrum. Investors allocated $5.0 billion to firms with greater than $5 billion in AUM, while allocating $5.3 billion to firms with between $1 and $5

billion. For the FY 2013, investors allocated $40 billion to firms with greater than $5 billion, $16.6 billion to firms with between $1 billion and $5 billion in AUM, and

$7.2 billion to firms with less than $1 billion in AUM. By management firm location, 71.6 percent of 2013 capital inflows were allocated to firms located in the

Americas region, with European-located funds receiving 22.3 percent while Asian-located funds received 5.8 percent of 2013 inflows.

“The powerful increase in investor risk tolerance drove strong capital flows into hedge funds as both institutional and retai l investors positioned for

greater intra-market equity dispersion across equity portfolios, and an extension of the dynamic M&A and Activist environment that dominated 2013,” said Kenneth

Heinz, President of HFR. “Hedge fund industry growth has continued to a record level of assets despite the challenges presented by a transitional regulatory

environment, strong gains in traditional equities, and uncertain macroeconomic and political environments in 2013. With the US Federal Reserve beginning the process

of tapering stimulus measures and economic pressures receding across the EU, the combined normalization of interest rates, equity market valuations and investor risk

tolerance is likely to contribute to a conducive environment for actively managed, long-short investing as investors hedge 2013 beta-driven gains in favor of

differentiated, uncorrelated alpha in coming years.”




Single-Manager Hedge Funds

Special Situations

Activist

Credit Arbitrage

Distressed /

Restructuring

Merger Arbitrage

Private Issue /

Regulation D

Multi-Strategy

Discretionary

Thematic

Active Trading

Commodity

Agriculture

Energy

Systematic

Diversified

Currency

Discretionary

Systematic

Multi-Strategy

Short Bias

Equity Market

Neutral

Fundamental

Growth

Fundamental

Value

Quantitative

Directional

Sector

Energy /

Basic Materials

Technology /

Healthcare

Multi-Strategy

Equity Hedge Macro Event-Driven

Metals

Multi

Energy

Infrastructure

Real Estate

Relative Value

Fixed Income –

Asset Backed

Fixed Income –

Convertible Arbitrage

Fixed Income –

Corporate

Fixed Income –

Sovereign

Volatility

Yield Alternatives

Multi-Strategy

Multi-Manager Funds

Fund of Funds

Conservative

Diversified

Market Defensive

Strategic

HFR Strategy Classification




HFR Regional Investment Focus Classification

America Asia Europe Other

North America

Latin America

Pan-American

Japan

Asia ex-Japan

Asia with Japan

Western Europe /

UK

Russia /

Eastern Europe

Northern Europe

Pan-European

Africa

Middle East

Global

Multiple

Emerging Markets

Emerging Markets

Africa Latin America Middle East Multiple

Emerging Markets Asia ex-Japan Russia /

Eastern Europe




Estimated Growth of Assets / Net Asset Flow Hedge Fund Industry 1990 – 2013

$38,910 $58,370 $95,720

$167,790 $167,360

$185,750

$256,720

$367,560 $374,770

$456,430 $490,580

$539,060 $625,554

$820,009

$972,608

$1,105,385

$1,464,526

$1,868,419

$1,407,095

$1,600,156

$1,917,385

$2,008,065

$2,252,378

$2,628,329

$8,463 $27,861 $36,918

($1,141)

$14,698 $57,407

$91,431

$4,406 $55,340

$23,336 $46,545 $99,436

$70,635 $73,585 $46,907

$126,474

$194,515

($154,447)

($131,180)

$55,464 $70,596 $34,433

$63,747

($500,000)

($250,000)

$0

$250,000

$500,000

$750,000

$1,000,000

$1,250,000

$1,500,000

$1,750,000

$2,000,000

$2,250,000

$2,500,000

$2,750,000

$3,000,000

1990 1991 1992 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

Ass

ets

($

MM

)

Estimated Assets Net Asset Flow




Estimated Change in Assets per Main Strategy Net Asset Flow vs. Performance-Based FY 2013

$17,905

$29,551

($6,322)

$22,613

$118,407

$110,569

$30,061

$53,167

($20,000)

$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

Equity Hedge Event-Driven Macro Relative Value

Assets

($

MM

)

Net Asset Flow Performance-based Asset Change

$63,747

($20,181)

$312,204

$45,067

($50,000)

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000

Total Industry Fund of Funds




Estimated Change in Assets per Regional Investment Focus Net Asset Flow vs. Performance-Based FY 2013

$63,747

($20,181)

$312,204

$45,067

($50,000)

$0

$50,000

$100,000

$150,000

$200,000

$250,000

$300,000

$350,000


$10,353 $10,460 $11,715

$31,219

$96,618

$13,600

$24,722

$177,264

$0

$20,000

$40,000

$60,000

$80,000

$100,000

$120,000

$140,000

$160,000

$180,000

$200,000

Americas Asia Europe Other

Assets

($

MM

)

Net Asset Flow Performance-based Asset Change

* Other includes: Africa, Global, Middle East and Multiple Emerging Markets




Estimated Net Asset Flows per Main Strategy AUM of Funds with Inflows vs. Outflows

Q4 2013

$22,950

$18,921

$4,953

$9,395

($14,337)

($5,789)

($18,221)

($7,348)

($25,000)

($20,000)

($15,000)

($10,000)

($5,000)

$0

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

Equity Hedge Event-Driven Macro Relative Value

Assets

($

MM

)

Total AUM Funds w/Net Asset Inflows Total AUM Funds w/Net Asset Outflows

$56,219

$2,867

($45,695)

($10,944)

($60,000)

($40,000)

($20,000)

$0

$20,000

$40,000

$60,000

$80,000





Estimated Sub-Strategy Composition Equity Hedge – Q4 2013

By # Funds By Assets

Energy/Basic Materials4.44%

Equity Market Neutral11.01%

Fundamental Growth24.71%

Fundamental Value42.67%

Multi-Strategy5.17%

Quantitative Directional4.83%

Short Bias0.56%

Technology/Healthcare6.63%

Energy/Basic Materials3.12%

Equity Market Neutral5.87%

Fundamental Growth15.47%

Fundamental Value58.47%

Multi-Strategy4.38%

Quantitative Directional3.17%

Short Bias0.96%

Technology/Healthcare8.55%




Distribution of Industry Assets by Firm AUM Tier Q4 2013

By # Firms By Firm AUM Size

51.19%

15.08%

8.89%

7.52%

11.38%

5.94%

< $100 Million $100 to $250 Million $250 to $500 Million

$500M to $1 Billion $1 to $5 Billion > $5 Billion

1.30% 2.03%2.61%

4.30%

21.18%

68.58%




Distribution of Net Asset Flows by Firm AUM Tier Q4 2013

$1,724

$171

($850) ($895)

$5,374

$5,001

($2,000)

($1,000)

$0

$1,000

$2,000

$3,000

$4,000

$5,000

$6,000

< $100 Million $100 to $250 Million $250 to $500 Million $500M to $1 Billion $1 to $5 Billion > $5 Billion

Net

Ass

et F

low

s ($

MM

)




Distribution of Net Asset Flows by Firm AUM Tier

FY 2013

$4,873

$1,646 $1,130

($442)

$16,602

$39,939

($5,000)

$0

$5,000

$10,000

$15,000

$20,000

$25,000

$30,000

$35,000

$40,000

$45,000

< $100 Million $100 to $250 Million $250 to $500 Million $500M to $1 Billion $1 to $5 Billion > $5 Billion

Net

Ass

et F

low

s ($

MM

)




Distribution of Industry Assets by Fund AUM Tier

Q4 2013

By # Funds By Fund AUM Size

55.95%

7.56%

6.56%

7.52%

6.16%

6.32%

3.78%

6.15%

< $10 Million $10 to $25 Million $25 to $50 Million

$50 to $100 Million $100 to $200 Million $200 to $500 Million

$500M to $1 Billion > $1 Billion

0.12%

0.39% 0.74%

1.68%

2.74%

6.34%

8.17%

79.82%




Estimated Number of Funds Launched/Liquidated 1996 – YTD Q3 2013

507

261

450 348 328

673

1,087 1,094

1,435

2,073

1,518

1,197

659

784

935

1,113 1,108

816

(109)(52)

(115)(57) (71) (92)

(162) (176)

(296)

(848)(717)

(563)

(1,471)

(1,023)

(743) (775)(873)

(608)

(2,000)

(1,500)

(1,000)

(500)

0

500

1,000

1,500

2,000

2,500

1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 YTD

2013

Num

ber

of F

unds

Launches Liquidations

Excerpt slide from HFR Market Microstructure Report




HFRI Indices Annual Investment Returns (2000 – 2013)

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013

HFRI ED:

Merger Arb

HFRI RV:

ConvertArb

Barclays

Gov't/Credit

HFRI Emerging

Markets

HFRI ED:

Distressed

HFRI Emerging

Markets

HFRI Emerging

Markets

HFRI Emerging

Markets

Barclays

Gov't/Credit

HFRI RV:

ConvertArbS&P 500

Barclays

Gov't/CreditS&P 500 S&P 500

18.02% 13.37% 12.10% 39.36% 18.89% 21.04% 24.26% 24.92% 6.09% 60.17% 15.08% 9.24% 15.99% 32.36%

HFRI EH: Eq

Mrkt Ntrl

HFRI ED:

Distressed

HFRI RV:

ConvertArb

HFRI ED:

Distressed

HFRI Emerging

Markets

HFRI Equity

Hedge

HFRI ED:

DistressedHFRI Macro HFRI Macro

HFRI Emerging

Markets

HFRI RV:

ConvertArbS&P 500

HFRI Relative

Value

HFRI Equity

Hedge

14.56% 13.28% 9.05% 29.56% 18.42% 10.60% 15.94% 11.11% 4.83% 40.24% 13.07% 2.09% 10.59% 14.44%

HFRI RV:

ConvertArb

HFRI Event-

DrivenHFRI Macro S&P 500

HFRI Event-

Driven

HFRI Fund

Wghtd CompS&P 500

HFRI Equity

Hedge

HFRI ED:

Merger Arb

HFRI ED:

Distressed

HFRI Emerging

Markets

HFRI ED:

Merger Arb

HFRI Emerging

Markets

HFRI ED:

Distressed

14.50% 12.18% 7.44% 28.67% 15.01% 9.30% 15.78% 10.48% -5.36% 28.13% 11.96% 1.48% 10.37% 14.04%

HFRI Relative

Value

HFRI Emerging

Markets

HFRI Relative

Value

HFRI Event-

DrivenS&P 500

HFRI ED:

Distressed

HFRI Event-

Driven

HFRI FOF

Composite

HFRI EH: Eq

Mrkt NtrlS&P 500

HFRI Relative

Value

HFRI Relative

Value

HFRI ED:

Distressed

HFRI Event-

Driven

13.41% 10.36% 5.44% 25.33% 10.86% 8.27% 15.33% 10.25% -5.93% 26.47% 11.73% 0.15% 10.12% 12.48%

Barclays

Gov't/Credit

Barclays

Gov't/Credit

HFRI ED:

DistressedHFRI Macro

HFRI Fund

Wghtd Comp

HFRI FOF

Composite

HFRI ED:

Merger Arb

HFRI Fund

Wghtd Comp

HFRI Relative

Value

HFRI Relative

Value

HFRI Event-

Driven

HFRI ED:

Distressed

HFRI Event-

Driven

HFRI Fund

Wghtd Comp

13.27% 9.40% 5.28% 21.42% 9.03% 7.49% 14.24% 9.96% -18.04% 25.80% 11.53% -1.79% 8.89% 9.24%

HFRI Equity

Hedge

HFRI Relative

Value

HFRI Emerging

Markets

HFRI Equity

Hedge

HFRI Equity

Hedge

HFRI Event-

Driven

HFRI Fund

Wghtd Comp

HFRI Relative

Value

HFRI Fund

Wghtd Comp

HFRI Event-

Driven

HFRI ED:

Distressed

HFRI EH: Eq

Mrkt Ntrl

HFRI RV:

ConvertArb

HFRI FOF

Composite

9.09% 8.92% 3.70% 20.54% 7.68% 7.29% 12.89% 8.94% -19.02% 25.04% 11.26% -2.12% 8.58% 8.79%

HFRI Event-

DrivenHFRI Macro

HFRI FOF

Composite

HFRI Fund

Wghtd Comp

HFRI FOF

CompositeHFRI Macro

HFRI Relative

Value

Barclays

Gov't/Credit

HFRI FOF

Composite

HFRI Equity

Hedge

HFRI Equity

Hedge

HFRI Event-

Driven

HFRI Equity

Hedge

HFRI RV:

ConvertArb

6.74% 6.87% 1.02% 19.55% 6.86% 6.79% 12.37% 7.75% -21.36% 24.55% 10.58% -3.30% 7.41% 7.79%

HFRI Fund

Wghtd Comp

HFRI EH: Eq

Mrkt Ntrl

HFRI EH: Eq

Mrkt Ntrl

HFRI FOF

Composite

HFRI Relative

Value

HFRI ED:

Merger Arb

HFRI RV:

ConvertArb

HFRI ED:

Merger Arb

HFRI Event-

Driven

HFRI Fund

Wghtd Comp

HFRI Fund

Wghtd CompHFRI Macro

HFRI Fund

Wghtd Comp

HFRI Relative

Value

4.98% 6.71% 0.98% 11.61% 5.58% 6.25% 12.17% 7.05% -21.82% 19.98% 10.49% -4.16% 6.36% 6.98%

HFRI FOF

Composite

HFRI Fund

Wghtd Comp

HFRI ED:

Merger Arb

HFRI RV:

ConvertArbHFRI Macro

HFRI EH: Eq

Mrkt Ntrl

HFRI Equity

Hedge

HFRI Event-

Driven

HFRI ED:

Distressed

HFRI ED:

Merger ArbHFRI Macro

HFRI RV:

ConvertArb

Barclays

Gov't/Credit

HFRI EH: Eq

Mrkt Ntrl

4.07% 4.62% -0.87% 9.93% 4.63% 6.22% 11.71% 6.61% -25.20% 11.63% 8.61% -5.16% 5.07% 6.65%

HFRI ED:

Distressed

HFRI FOF

Composite

HFRI Fund

Wghtd Comp

HFRI Relative

Value

Barclays

Gov't/Credit

HFRI Relative

Value

HFRI FOF

CompositeS&P 500

HFRI Equity

Hedge

HFRI FOF

Composite

Barclays

Gov't/Credit

HFRI Fund

Wghtd Comp

HFRI FOF

Composite

HFRI Emerging

Markets

2.78% 2.80% -1.45% 9.72% 4.54% 6.02% 10.39% 5.49% -26.65% 11.46% 6.99% -5.25% 4.79% 5.60%

HFRI MacroHFRI ED:

Merger Arb

HFRI Event-

Driven

HFRI ED:

Merger Arb

HFRI EH: Eq

Mrkt NtrlS&P 500 HFRI Macro

HFRI RV:

ConvertArb

HFRI RV:

ConvertArb

Barclays

Gov't/Credit

HFRI FOF

Composite

HFRI FOF

Composite

HFRI EH: Eq

Mrkt Ntrl

HFRI ED:

Merger Arb

1.97% 2.76% -4.30% 7.47% 4.15% 4.91% 8.15% 5.33% -33.71% 4.81% 5.60% -5.73% 2.98% 4.82%

S&P 500HFRI Equity

Hedge

HFRI Equity

Hedge

Barclays

Gov't/Credit

HFRI ED:

Merger Arb

Barclays

Gov't/Credit

HFRI EH: Eq

Mrkt Ntrl

HFRI EH: Eq

Mrkt NtrlS&P 500 HFRI Macro

HFRI ED:

Merger Arb

HFRI Equity

Hedge

HFRI ED:

Merger ArbHFRI Macro

-9.09% 0.40% -4.71% 5.07% 4.08% 2.55% 7.32% 5.29% -36.99% 4.37% 4.60% -8.38% 2.76% -0.22%

HFRI Emerging

MarketsS&P 500 S&P 500

HFRI EH: Eq

Mrkt Ntrl

HFRI RV:

ConvertArb

HFRI RV:

ConvertArb

Barclays

Gov't/Credit

HFRI ED:

Distressed

HFRI Emerging

Markets

HFRI EH: Eq

Mrkt Ntrl

HFRI EH: Eq

Mrkt Ntrl

HFRI Emerging

MarketsHFRI Macro

Barclays

Gov't/Credit

-10.71% -11.85% -22.09% 2.44% 1.18% -1.86% 4.07% 5.08% -37.26% 1.43% 3.16% -13.99% -0.06% -2.47%




HFRI Fund Weighted Composite Constituents* Risk Return Comparison 12-Month

Scaled Down to 50% Return and 50% Standard Deviation

*The underlying hedge fund data represented in this chart is available to HFR Database subscribers or as an additional purchase to Industry Report subscribers.

(50.00)

(40.00)

(30.00)

(20.00)

(10.00)

0.00

10.00

20.00

30.00

40.00

50.00

0.00 5.00 10.00 15.00 20.00 25.00 30.00 35.00 40.00 45.00 50.00

Ret

urn

%

STD %




Historical Monthly Correlation to S&P 500 Index 12-Month Rolling

(0.60)

(0.40)

(0.20)

0.00

0.20

0.40

0.60

0.80

1.00

1.20

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

12-1

990

03-1

991

06-1

991

09-1

991

12-1

991

03-1

992

06-1

992

09-1

992

12-1

992

03-1

993

06-1

993

09-1

993

12-1

993

03-1

994

06-1

994

09-1

994

12-1

994

03-1

995

06-1

995

09-1

995

12-1

995

03-1

996

06-1

996

09-1

996

12-1

996

03-1

997

06-1

997

09-1

997

12-1

997

03-1

998

06-1

998

09-1

998

12-1

998

03-1

999

06-1

999

09-1

999

12-1

999

03-2

000

06-2

000

09-2

000

12-2

000

03-2

001

06-2

001

09-2

001

12-2

001

03-2

002

06-2

002

09-2

002

12-2

002

03-2

003

06-2

003

09-2

003

12-2

003

03-2

004

06-2

004

09-2

004

12-2

004

03-2

005

06-2

005

09-2

005

12-2

005

03-2

006

06-2

006

09-2

006

12-2

006

03-2

007

06-2

007

09-2

007

12-2

007

03-2

008

06-2

008

09-2

008

12-2

008

03-2

009

06-2

009

09-2

009

12-2

009

03-2

010

06-2

010

09-2

010

12-2

010

03-2

011

06-2

011

09-2

011

12-2

011

03-2

012

06-2

012

09-2

012

12-2

012

03-2

013

06-2

013

09-2

013

12-2

013

Cor

rela

tion

to S

&P

500

S&

P 5

00 V

AM

I

S&P 500 Equity Hedge Event-Driven Macro Relative Value Fund Weighted Comp




HFRI Index Correlation Matrix 12 Month

Index

Equi

ty H

edge

EH: E

q M

rkt N

trl

EH: Q

uant

Drc

tnl

EH: E

nerg

y/B

asic

Mat

eria

ls

EH: T

ech/

HC

EH: S

hort

Bia

s

Even

t-Driv

en

ED: D

istre

ssed

ED: M

erg

Arb

Mac

ro

Mac

ro: S

ys D

iv

Rel

ativ

e V

alue

RV

: FI-A

sset

Bac

ked

RV

: FI-C

onvA

rb

RV

: FI-C

orp

RV

: Mul

ti-St

rat

RV

: Yie

ld A

lts

Fund

Wei

ghte

d C

omp

FOF

Com

p

Emrg

ng M

rkts

(Tot

al)

EM: A

sia e

x-Ja

pan

EM: G

loba

l

EM: L

atA

m

EM: R

ussia

Bar

clay

s Gov

t/Crd

t Agg

Bon

d

S&P

500

Equity Hedge 1.00 0.73 0.82 0.70 0.68 (0.80) 0.91 0.83 0.51 0.72 0.52 0.80 0.59 0.80 0.80 0.73 0.65 0.97 0.95 0.83 0.79 0.83 0.69 0.69 0.22 0.87

EH: Eq Mrkt Ntrl 1.00 0.82 0.42 0.33 (0.48) 0.60 0.56 0.19 0.59 0.47 0.58 0.48 0.45 0.60 0.45 0.63 0.72 0.71 0.56 0.56 0.56 0.40 0.43 0.31 0.84

EH: Quant Drctnl 1.00 0.64 0.61 (0.55) 0.63 0.51 0.47 0.79 0.64 0.64 0.42 0.56 0.60 0.51 0.70 0.83 0.79 0.59 0.53 0.57 0.49 0.60 0.33 0.89

EH: Energy/Basic Materials 1.00 0.59 (0.34) 0.51 0.45 0.28 0.43 0.22 0.44 0.37 0.43 0.51 0.29 0.35 0.64 0.56 0.43 0.37 0.44 0.41 0.40 (0.06) 0.56

EH: Tech/HC 1.00 (0.59) 0.49 0.37 0.51 0.39 0.27 0.27 0.05 0.42 0.21 0.25 0.39 0.59 0.59 0.27 0.24 0.28 0.15 0.30 (0.09) 0.69

EH: Short Bias 1.00 (0.85) (0.82) (0.54) (0.48) (0.34) (0.67) (0.39) (0.82) (0.64) (0.71) (0.55) (0.77) (0.77) (0.67) (0.63) (0.71) (0.56) (0.50) (0.17) (0.72)

Event-Driven 1.00 0.96 0.54 0.69 0.51 0.82 0.66 0.91 0.84 0.84 0.49 0.92 0.92 0.86 0.87 0.89 0.65 0.66 0.16 0.74

ED: Distressed 1.00 0.46 0.61 0.46 0.82 0.72 0.89 0.86 0.86 0.45 0.85 0.88 0.80 0.83 0.84 0.61 0.49 0.20 0.68

ED: Merg Arb 1.00 0.49 0.43 0.31 0.01 0.50 0.34 0.35 0.05 0.52 0.52 0.45 0.41 0.42 0.33 0.49 0.24 0.52

Macro 1.00 0.94 0.77 0.54 0.60 0.68 0.76 0.66 0.84 0.84 0.67 0.64 0.71 0.56 0.54 0.32 0.71

Macro: Sys Div 1.00 0.66 0.43 0.47 0.53 0.70 0.59 0.68 0.70 0.50 0.51 0.53 0.42 0.34 0.39 0.59

Relative Value 1.00 0.87 0.79 0.96 0.95 0.62 0.88 0.88 0.88 0.86 0.87 0.85 0.64 0.55 0.61

RV: FI-Asset Backed 1.00 0.62 0.88 0.79 0.37 0.66 0.69 0.70 0.73 0.68 0.62 0.44 0.44 0.38

RV: FI-ConvArb 1.00 0.79 0.85 0.50 0.82 0.82 0.80 0.80 0.78 0.65 0.62 0.22 0.65

RV: FI-Corp 1.00 0.88 0.46 0.86 0.85 0.91 0.89 0.90 0.86 0.68 0.54 0.58

RV: Multi-Strat 1.00 0.60 0.83 0.86 0.82 0.83 0.84 0.75 0.53 0.43 0.57

RV: Yield Alts 1.00 0.69 0.66 0.44 0.40 0.47 0.43 0.30 0.16 0.73

Fund Weighted Comp 1.00 0.99 0.86 0.83 0.87 0.73 0.70 0.30 0.85

FOF Comp 1.00 0.84 0.83 0.85 0.67 0.63 0.31 0.85

Emrgng Mrkts (Total) 1.00 0.97 0.97 0.89 0.86 0.45 0.55

EM: Asia ex-Japan 1.00 0.92 0.79 0.77 0.43 0.54

EM: Global 1.00 0.86 0.80 0.34 0.57

EM: LatAm 1.00 0.78 0.60 0.39

EM: Russia 1.00 0.36 0.42

Barclays Govt/Crdt Agg Bond 1.00 0.22

S&P 500 1.00




HFRI Composite Indices Distribution Analysis of Constituent Fund Returns

1-Year

* NOTE: Distribution statistics reflect index constituents that were active as of Q4 2013 and reported monthly performance for the entire period

0%

5%

10%

15%

20%

25%

30%

less -52 -44 -36 -28 -20 -12 -4 4 12 20 28 36 44 52 60 68 76

Dis

trib

uti

on

Ann Return

0%

5%

10%

15%

20%

25%

30%

less -52 -44 -36 -28 -20 -12 -4 4 12 20 28 36 44 52 60 68 76

Dis

trib

uti

on

Ann Return

HFRI Fund Weighted Composite Index HFRI Fund of Funds Composite Index




HFRI Main Strategy Indices Performance Analysis Since 1990

Index Net Return Standard Dev Net Return Standard Dev Net Return Standard Dev Net Return Standard Dev Net Return Standard Dev

HFRI FWC 9.24 3.68 3.25 5.31 7.81 5.88 5.72 6.39 10.94 6.89

HFRI Equity Hedge Index 14.44 4.94 4.04 7.97 9.15 8.45 5.26 8.72 12.71 9.09

HFRI Event-Driven Index 12.48 3.16 5.80 5.37 10.62 5.78 6.99 6.61 11.59 6.75

HFRI Macro Index (0.22) 3.30 (1.50) 4.04 1.50 4.69 4.25 4.86 11.60 7.47

HFRI Relative Value Index 6.98 2.60 5.82 3.18 10.68 3.81 6.43 4.96 10.11 4.34

12-Month 3-Year Annualized 5-Year Annualized 10-Year Annualized Since 1990

0

1,000

2,000

3,000

4,000

5,000

6,000

7,000

8,000

9,000

10,000

11,000

12,000

13,000

14,000

15,000

16,000

17,000

18,000

19,000

06-1

990

12-1

990

06-1

991

12-1

991

06-1

992

12-1

992

06-1

993

12-1

993

06-1

994

12-1

994

06-1

995

12-1

995

06-1

996

12-1

996

06-1

997

12-1

997

06-1

998

12-1

998

06-1

999

12-1

999

06-2

000

12-2

000

06-2

001

12-2

001

06-2

002

12-2

002

06-2

003

12-2

003

06-2

004

12-2

004

06-2

005

12-2

005

06-2

006

12-2

006

06-2

007

12-2

007

06-2

008

12-2

008

06-2

009

12-2

009

06-2

010

12-2

010

06-2

011

12-2

011

06-2

012

12-2

012

06-2

013

12-2

013

VA

MI

HFRI Fund Weighted Composite Index HFRI Equity Hedge (Total) Index HFRI Event-Driven (Total) Index

HFRI Macro (Total) Index HFRI Relative Value (Total) Index




HFRI Macro (Total) Index Drawdown Analysis since 1990

Start Date of

Drawdown Period

# of Months

Drawdown to

Trough

Date of

Trough

Drawdown to

trough

# Months to

Recover High

Water Mark

End Date of

Drawdown Period

6-month ROR

since Trough

12-Month ROR

since Trough

Jan-94 3 Apr-94 -10.70% 18 Jul-95 5.57% 7.85%

Apr-11 29 Sep-13 -7.99% #N/A #N/A 0.10% 0.10%

Feb-00 3 May-00 -7.32% 20 Oct-01 0.30% 5.99%

Jul-98 3 Oct-98 -5.93% 9 Apr-99 9.18% 10.79%

Jun-08 3 Sep-08 -4.94% 11 May-09 2.65% 7.66%

Jul-90 2 Sep-90 -4.72% 5 Dec-90 19.59% 39.75%

1,000

3,000

5,000

7,000

9,000

11,000

13,000

15,000

17,000

Dec

-89

Mar

-90

Jun-

90Se

p-90

Dec

-90

Mar

-91

Jun-

91Se

p-91

Dec

-91

Mar

-92

Jun-

92Se

p-92

Dec

-92

Mar

-93

Jun-

93Se

p-93

Dec

-93

Mar

-94

Jun-

94Se

p-94

Dec

-94

Mar

-95

Jun-

95Se

p-95

Dec

-95

Mar

-96

Jun-

96Se

p-96

Dec

-96

Mar

-97

Jun-

97Se

p-97

Dec

-97

Mar

-98

Jun-

98Se

p-98

Dec

-98

Mar

-99

Jun-

99Se

p-99

Dec

-99

Mar

-00

Jun-

00Se

p-00

Dec

-00

Mar

-01

Jun-

01Se

p-01

Dec

-01

Mar

-02

Jun-

02Se

p-02

Dec

-02

Mar

-03

Jun-

03Se

p-03

Dec

-03

Mar

-04

Jun-

04Se

p-04

Dec

-04

Mar

-05

Jun-

05Se

p-05

Dec

-05

Mar

-06

Jun-

06Se

p-06

Dec

-06

Mar

-07

Jun-

07Se

p-07

Dec

-07

Mar

-08

Jun-

08Se

p-08

Dec

-08

Mar

-09

Jun-

09Se

p-09

Dec

-09

Mar

-10

Jun-

10Se

p-10

Dec

-10

Mar

-11

Jun-

11Se

p-11

Dec

-11

Mar

-12

Jun-

12Se

p-12

Dec

-12

Mar

-13

Jun-

13Se

p-13

Dec

-13

VA

MI

NAV for HFRI Macro Index Peaks Trough




HFRI Fund Weighted Composite Index Percentage of Constituent Funds at High Watermark

2003 – Q4 2013

69.1%

74.3%

76.7%

87.1% 88.0%

56.4%

50.4%

58.5%

66.6%

48.4%

65.9%

0.0%

10.0%

20.0%

30.0%

40.0%

50.0%

60.0%

70.0%

80.0%

90.0%

100.0%20

03

2004

2005

2006

2007

2008

2009

2010

2011

2012

2013

% F

un

ds

at

HW

M

*Trailing 12 Months ending Q4 2013

HFR® Global Hedge Fund Industry Report Year End 2013 …...the latest HFR Global Hedge Fund...

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