LIPPER HEDGE FUND PERFORMANCE SNAPSHOT June 2010

Hedge funds lose momentum in June as volatility spikes and stock markets sell off on mounting fears over European debt and the global economic recovery.

• Despite hedge funds overall posting a slightly positive performance of 0.06% for June, according to the Lipper Hedge Fund Composite Index, their risk/return profile remained intact. June’s return brought year-to-date performance to minus 2.88%.
  
• Dedicated Short-Bias (+1.84%) was the best performing strategy for the month as it leveraged the global stock market’s slide. Other Hedge (+1.01%) was the runner-up; performance for the classification benefited from volatility-trading strategies.
  
• At the bottom of the performance league table Options Arbitrage (-0.67%) was the worst performing strategy at the end of the month.
  
• All style-investing strategies posted losses, with large-cap (-5.23%) faring slightly better than mid- and small-cap stocks (-5.75%), and with growth (-4.72%) outpacing value stocks (-5.73%) at the end of the month.
  
• Long/Short Equity (-0.20%), focusing on U.S. companies, registered a slightly negative return for June as equity markets sold off. Conversely, Dedicated Short-Bias (+1.84%) posted a solid return for the month. Meanwhile, funds focusing on European companies mainly posted losses as European stocks continued to retreat.
  
• Managed Futures (+0.09%) ended June in marginally positive territory as commodities traded higher during the month.