Dow Jones Credit Suisse Core Index Performance
Index / Sub Strategies Value** Nov 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Core Hedge Fund Index 92.97 -0.95% -7.03% -4.16% 6.38% 6.78% 0.67
Convertible Arbitrage 91.16 -2.35% -8.84% -8.50% 2.86% 11.51% 0.09
Emerging Markets 97.44 -1.43% -2.56% -0.56% 9.48% 10.84% 0.71
Event Driven 88.32 -0.76% -11.68% -8.96% 4.64% 8.32% 0.34
Fixed Income Arbitrage 99.14 -0.87% -0.86% 0.78% 7.51% 8.74% 0.65
Global Macro 89.57 -1.43% -10.43% -6.41% 5.66% 7.58% 0.50
Long/Short Equity 94.73 -0.94% -5.27% -2.60% 6.55% 8.46% 0.56
Managed Futures 95.31 0.52% -4.69% -0.30% 8.42% 12.33% 0.53
*Statistics include hypothetical performance of the Dow Jones Credit Suisse Core Hedge Fund Index from January 1, 2006 to December 31, 2010 and actual performance from January 1, 2011. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
Dow Jones Credit Suisse Hedge Fund Index Performance
Index / Sub Strategies Value** Nov 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Hedge Fund Index 451.21 -0.79% -2.31% 0.53% 8.77% 7.64% 0.73
Convertible Arbitrage 364.12 -0.60% 0.50% 1.66% 7.48% 7.00% 0.61
Dedicated Short Bias 52.82 -0.17% 2.17% -3.82% -3.50% 17.02% -0.39
Emerging Markets 359.83 -2.69% -6.03% -4.61% 7.41% 15.04% 0.28
Equity Market Neutral 244.26 0.09% 5.00% 6.83% 5.11% 10.44% 0.18
Event Driven 491.48 -1.05% -8.35% -4.75% 9.29% 6.38% 0.95
Distressed 577.75 -1.20% -4.19% -1.57% 10.28% 6.69% 1.06
Multi-Strategy 453.68 -0.97% -10.85% -6.58% 8.81% 6.90% 0.81
Risk Arbitrage 324.62 -0.27% 1.19% 2.35% 6.79% 4.19% 0.86
Fixed Income Arbitrage 249.34 0.50% 4.29% 4.93% 5.23% 5.80% 0.35
Global Macro 781.70 -0.03% 5.98% 8.81% 12.16% 9.83% 0.91
Long/Short Equity 490.78 -1.48% -6.48% -3.28% 9.29% 9.99% 0.61
Managed Futures 283.23 0.18% -4.94% 0.21% 5.98% 11.80% 0.24
Multi-Strategy 381.98 -0.89% 1.69% 3.42% 7.88% 5.44% 0.86
*Average Annual Index data begins January 1994. Monthly Standard Deviation annualized. Sharpe ratio calculated using the rolling 90 day T-bill rate.
Dow Jones Credit Suisse Blue Chip Hedge Fund Index Performance
Index / Sub Strategies Value** Nov 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Investable Index 130.47 -1.33% -3.06% 0.65% 3.24% 7.30% 0.18
Convertible Arbitrage 128.56 -0.35% 11.41% 12.44% 3.06% 15.79% 0.07
Dedicated Short Bias 63.95 2.89% 7.93% 0.90% -5.22% 17.95% -0.40
Emerging Markets 201.71 -4.91% -6.67% -5.33% 8.78% 13.52% 0.51
Equity Market Neutral 77.18 -2.00% 8.27% 9.84% -3.06% 19.15% -0.26
Event Driven 151.92 -1.97% -13.37% -8.11% 5.15% 9.26% 0.35
Fixed Income Arbitrage 84.50 0.10% -1.90% -1.95% -2.00% 12.79% -0.31
Global Macro 170.02 -0.71% 1.68% 7.93% 6.58% 9.86% 0.47
Long/Short Equity 112.10 -2.25% -4.28% -1.01% 1.38% 9.63% -0.06
Managed Futures 149.23 0.59% -2.10% 2.84% 4.92% 11.11% 0.27
Multi-Strategy 135.11 -0.57% 2.38% 4.30% 3.68% 9.93% 0.18
*Average Annual Index data begins October 2003. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
**As of September 30, 2008 the Value for the Blue Chip Index will be reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules.The SAV takes into account the estimated value of underlying funds which have suspended redemptions or have temporarily stopped reporting performance to the Index. Consistent with Value reporting procedures, the SAV will be published as an estimated value and a confirmed value will be published according to the usual timetable for publication of the Index value. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
Disclaimer
Dow Jones Credit Suisse AllHedge Index Performance
Index / Sub Strategies Value** Nov 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse AllHedge Index 118.34 -1.43% -6.10% -3.01% 2.38% 7.59% 0.04
Convertible Arbitrage 107.36 -0.62% -1.22% -0.13% 1.00% 12.74% -0.08
Dedicated Short Bias 68.95 2.89% 7.60% 0.69% -5.06% 16.54% -0.43
Emerging Markets 135.60 -5.19% -9.57% -8.08% 4.34% 14.69% 0.16
Equity Market Neutral 82.10 -2.00% 3.12% 4.43% -2.71% 10.44% -0.46
Event Driven 136.40 -1.58% -13.90% -9.24% 4.43% 8.35% 0.29
Fixed Income Arbitrage 75.66 0.05% -2.18% -2.13% -3.82% 10.77% -0.54
Global Macro 111.75 -1.14% -3.32% 1.05% 1.56% 9.49% -0.05
Long/Short Equity 116.35 -1.84% -5.82% -4.01% 2.14% 9.34% 0.01
Managed Futures 149.86 0.13% -4.50% 0.28% 5.81% 10.32% 0.36
Multi-Strategy 115.59 -0.04% 0.93% 2.55% 2.04% 8.35% 0.00
*Average Annual Index data begins October 2004. Monthly Standard Deviation annualized. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month.
** The Value for the Convertible Arbitrage (September 30, 2008), Fixed Income Arbitrage (January 31, 2009) and Event Driven (January 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through September 30, 2009.
The Value for the Emerging Markets (November 30, 2008), Global Macro (October 31, 2008), Multi-Strategy (October 31, 2008) and Equity Market Neutral (March 31, 2009) Sector Invest Indices of the AllHedge Index were reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of the aforementioned dates through March 31, 2010.
The SAV takes into account the estimated value of underlying funds which suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.
Disclaimer
Dow Jones Credit Suisse LEA Hedge Fund Index
Index / Sub Strategies Value** Nov 11 YTD 1 Year Annl* Std Dev* Sharpe*
LEA 84.03 -1.78% -5.20% -3.65% 5.15% 11.21% 0.28
Latin America 99.40 -0.95% -1.53% -1.43% 5.35% 6.98% 0.47
EEMEA 65.39 0.37% 0.38% 5.52% 5.76% 22.91% 0.16
Asia 81.13 -3.94% -12.74% -11.52% 4.72% 11.28% 0.24
*Statistics include hypothetical performance of the Dow Jones Credit Suisse LEA Hedge Fund Index from January 1, 2005 to March 31, 2008 and actual performance from April 1, 2008. Sharpe Ratio is calculated in the following ways: USD uses rolling 90 day T-bill rate, JPY uses rolling BBA LIBOR JPY 1 Month, CHF uses rolling BBA LIBOR CHF 1 Month, EUR uses rolling Euribor 1 Month. Please refer to the disclaimer for important information regarding simulated performance.
** The Value for the LEA Emerging Europe, Middle East and Africa Index of the LEA Index was reported as a Suspension Alternate Value (SAV) in accordance with the Official Index Rules as of October 31, 2008 through March 31, 2010. The SAV takes into account the estimated value of the underlying funds that suspended redemptions or temporarily stopped reporting performance to the Index. Please see the Official Index Rules in the Documents section for a detailed explanation of how the SAV is calculated.