LIPPER HEDGE FUND PERFORMANCE SNAPSHOT May 2010

HEDGE FUNDS IN MAY BREAK A 14-MONTH STRING OF POSITIVE PERFORMANCE AS STOCK AND CREDIT MARKETS TUMBLE AMID MOUNTING FEARS OVER EUROZONE DEBT WOES

• Hedge fund strategies’ performance retreated in May as both equity and bond markets struggled amid the European debt crisis and its effect on the global recovery.
  
• The Lipper Hedge Fund Composite Index posted a loss of 2.97%, with all substrategies except Dedicated Short-Bias (+1.0%) finishing in the red for the month.
  
• Long-Bias (-4.65%) was the worst performing strategy, bettered somewhat by Multi-Strategies (-4.07%). Also, many trend-following managers experienced a bad month because of a trend reversal in commodities and on cross-market correlation infecting a number of asset classes.
  
• Long-Bias (-4.65%) and Long/Short Equity (-3.70%) experienced a difficult month in May as both developed and emerging equity markets posted their worst monthly returns since February 2009.
  
• May was a difficult month for Managed Futures (-3.44%). Trend-following managers had a dreadful month as a number of market trends reversed sharply and market correlations increased at the same time global market returns decreased.
  
• Event-Driven (-1.91%) posted a loss for May. Distressed-securities funds in particular had a bad month as high-yield bond markets registered negative returns, with spreads widening.