Hedge Funds Post Best Performance in Nine Years

Hedge funds returned an average of 5.2% in May, 2009, the best cumulative return since 2000. edge-fund managers are outperforming global benchmarks after posting the worst year on record in 2008. Eurekahedge’s global index slid 12 percent last year, the most since the Singapore-based firm began tracking data in 2000. The MSCI Asia Pacific Index rose for a third month in May, advancing 12 percent in its longest stretch of monthly gains since July 2007.

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Hedge Fund Redemptions Slow in March

Hedge fund assets under management fell in March by 1% despite an average 2% performance during the same period, according to HedgeFund.net. Roughly speaking, actual redemptions in March amounted to 3% of hedge fund assets. This is seemingly large monthly decline, but it is minor in comparison to the declines in hedge fund assets earlier in the year and in 2008. Hedge fund asset declines for March were about $18 billion compared with declines in December of more than $180 billion.

Hennessee Hedge Fund Returns for 2009

As hedge fund indeces have different makeups and calculations we are providing a variety of hedge fund performance charts.

Hennessee Hedge Fund Index April 2009

2009 (Net)	YTD	YTD RANK	JAN	FEB	MAR
Hennessee Hedge Fund Index	1.09%	-	0.69%	-0.95%	1.37%
Long/Short Equity Index	1.01%	-	0.68%	-1.25%	1.60%
Arbitrage/Event Driven Index	3.38%	-	2.14%	-0.12%	1.34%
Global/Macro Index	-1.36%	-	-0.82%	-1.28%	0.74%
Asia-Pacific Index	-3.40%	23	-2.49%	-1.30%	0.37%
Convertible Arbitrage Index	9.52%	1	4.15%	1.80%	3.30%
Distressed Index	-0.64%	17	1.35%	-2.59%	0.64%
Emerging Markets Index	1.94%	10	-0.56%	-0.02%	2.53%
Europe Index	-1.84%	21	-1.47%	-1.16%	0.80%
Event Driven Index	1.07%	13	0.73%	-1.28%	1.64%
Financial Equities Index	3.68%	6	2.04%	1.38%	0.22%
Fixed Income Index	4.75%	2	2.60%	1.11%	0.97%
Growth Index	0.01%	16	0.00%	-1.93%	1.98%
Healthcare and Biotech Index	0.53%	15	0.95%	-3.22%	2.89%
High Yield Index	2.41%	8	1.45%	0.11%	0.83%
International Index	-2.82%	22	-0.58%	-2.73%	0.49%
Latin America Index	-0.98%	19	1.96%	-2.30%	-0.60%
Macro Index	-0.80%	18	0.47%	-1.18%	-0.08%
Market Neutral Index	1.55%	12	1.05%	0.00%	0.50%
Merger Arbitrage Index	0.96%	14	0.32%	0.00%	0.63%
Multiple Arbitrage Index	4.74%	3	3.64%	0.45%	0.61%
Opportunistic Index	3.62%	7	2.83%	-1.44%	2.23%
Pipes/Private Financing Index	1.58%	11	0.57%	-0.44%	1.45%
Short Biased Index	1.94%	9	3.78%	3.73%	-5.31%
Technology Index	3.89%	5	0.47%	-0.49%	3.91%
Telecom and Media Index	4.53%	4	2.35%	1.64%	0.67%
Value Index	-1.37%	20	-0.48%	-2.47%	1.62%
Dow Jones Industrial Average	-13.30%	-	-8.84%	-11.72%	7.73%
Barclays Aggregate Bond Index	0.12%	-	-0.88%	-0.38%	3.31%
MSCI EAFE (USD) Price Index	-14.64%	-	-9.88%	-10.54%	5.87%
NASDAQ	-3.07%	-	-6.38%	-6.68%	10.94%
Russell 2000	-15.36%	-	-11.20%	-12.23%	8.67%
S&P 500 Index	-11.67%	-	-8.57%	-10.99%	8.54%

Hedge Fund Returns for January and February 2009

Hedge fund returns January and February 2009
Credit Suisse/Tremont Hedge Fund Index

Index Value Return Currency Feb 09 Jan 09 Feb 09 Jan 09 YTD Credit Suisse/Tremont Hedge Fund Index USD 351.78 354.92 -0.88% 1.09% 0.20% Convertible Arbitrage USD 236.04 234.29 0.75% 5.72% 6.51% Dedicated Short Bias USD 95.19 92.22 3.22% 3.69% 7.03% Emerging Markets USD 258.57 264.12 -2.10% -0.14% -2.24% Equity Market Neutral USD 215.25 228.05 -5.61% 1.14% -4.53% Event Driven USD 394.12 398.64 -1.13% 0.79% -0.35% Distressed USD 446.52 451.93 -1.20% -0.06% -1.25% Multi-Strategy USD 371.75 375.97 -1.12% 1.33% 0.19% Risk Arbitrage USD 280.60 278.68 0.69% 0.38% 1.07% Fixed Income Arbitrage USD 169.28 167.59 1.01% 0.48% 1.49% Global Macro USD 597.54 596.27 0.21% 2.33% 2.55% Long/Short Equity USD 395.92 401.28 -1.34% -0.17% -1.51% Managed Futures USD 282.15 282.61 -0.16% -0.56% -0.72% Multi-Strategy USD 284.77 285.03 -0.09% 3.35% 3.26%

Hedge Fund Returns Positive in March, Q1 2009

Hedge Funds Returned 1.8% in March, 2009 and were up fractionally for the first quarter of 2009.

Hedge fund returns for March were up 1.8%, led by returns from equity funds which were up more than 3% on average, according to Hedge Fund Research. Hedge funds were up .5% for the entire first quarter of 2009.

Though hedge funds certainly could use a positive month of returns, the 1.8% gain didn't come close to matching the 8% + return of the S&P 500 in March. However, the modest gain for hedge funds in Q1 was far better than the 11% decline posted by the S&P during that time.

Hedge Fund Performance Report

Index Value Return Currency Dec 08 Nov 08 Dec 08 Nov 08 YTD Credit Suisse/Tremont Hedge Fund Index USD 351.08 351.20 -0.03% -4.15% -19.07% Convertible Arbitrage USD 221.62 223.82 -0.98% -1.88% -31.59% Dedicated Short Bias USD 88.94 90.46 -1.68% 3.04% 14.87% Emerging Markets USD 264.49 263.92 0.22% -1.87% -30.41% Equity Market Neutral USD 225.47 224.54 0.41% -40.45% -40.32% Event Driven USD 395.52 400.56 -1.26% -3.21% -17.74% Distressed USD 452.18 463.96 -2.54% -5.00% -20.48% Multi-Strategy USD 371.03 372.86 -0.49% -2.17% -16.25% Risk Arbitrage USD 277.63 273.26 1.60% -0.02% -3.27% Fixed Income Arbitrage USD 166.79 168.13 -0.80% -5.60% -28.82% Global Macro USD 582.69 576.30 1.11% 1.54% -4.62% Long/Short Equity USD 401.98 397.78 1.06% -1.41% -19.76% Managed Futures USD 284.19 277.61 2.37% 3.22% 18.33% Multi-Strategy USD 275.79 280.04 -1.52% -4.63% -23.63%

Best and Worst Months for Hedge Fund Returns

December is the best month for hedge fund performance since 1997. Between 1997 and 2008, the Barclay Hedge Fund Index averaged 2.14% in December compared with a .95% average monthly gain over the time period. The worst month for hedge fund returns was August, with an average return of -.14%, the only month with a negative return.

The best season for hedge fund returns has been the fall, averaging 4.64%. The worst season for hedge fund returns has been the summer, averaging only .84%.

Average Hedge Fund Returns by Season/Quarter 1997-2008
Winter (Q1) Spring(Q2) Summer (Q3) Fall (Q4)
3.16% 2.89% .84% 21.4%

Average Monthly Hedge Fund Returns 1997-2008
J F M A M J J A S O N D

1.2%

1.2%

0.7%

1.1%

0.8%

1.0%

0.3%

-0.1%

0.7%

0.9%

1.4%

2.1%