Monthly Hedge Fund Update – April 2025

Market and hedge fund update in a nutshell

Risk assets were broadly mixed in April as the month featured elevated volatility driven by uncertain tariff policies from the US administration. Although US policy regarding tariffs remained fluid, the pause in implementation announced post “Liberation Day” and solid corporate earnings helped stabilize markets after a sharp corrective tone at the beginning of the month. Concerns about recession were tempered by supportive macroeconomic data, despite concerns about inflation and higher unemployment. The Dow Jones Industrial Average, S&P500 and NASDAQ indices produced mixed performance in April. In Equity / Hedged, US Equity Hedged strategies saw gains in April, led by technology stocks and momentum factors, while energy stocks and value factors lagged. Long positions in AI stocks were favorable. European Equity Hedged strategies benefited from utilities, German stocks, and idiosyncratic factors, with European-focused managers outperforming. Leverage was reduced due to tariff uncertainties. Asian Equity Hedged strategies faced losses, impacted by Chinese market exposure and de-listing fears, despite a late rebound in Japanese themes and easing trade tensions. In Relative / Value Fixed income relative value strategies generated negative performance due to risk-off moves, interest rate volatility, and capital flight from US bonds. Capital structure and volatility arbitrage strategies saw mixed outcomes. Merger arbitrage and eventdriven strategies were mostly positive, with tighter merger spreads despite intra-month volatility. Agency MBS and Quantitative equity strategies had mixed performance. In Credit / Income, corporate credit strategies had mixed performance in April, with corporate long/short strategies benefiting from short positions and outperforming in the US and Europe, while corporate long-biased strategies incurred losses from widening credit spreads, particularly in high yield bonds and leveraged loans. Asset-backed strategies (ABS) as well as Reinsurance/ILS strategies were mostly positive. In Trading, Discretionary trading strategies were mostly positive in April, with gains driven by interest rate receivers, curve steepeners, and short USD positions, while Japan payers and curve flatteners faced challenges. Systematic trading strategies generally underperformed, with trend-following and FX themes experiencing losses due to sharp equity market reversals and USD movements, although some gains were made in interest rate trading and diversified alpha models faced difficulties.

Index	Index	Apr-25	Apr-25	Mar.25	Mar.25	Feb-25	Feb-25	QTD	QTD	YTD	YTD	1Y Annualized Return	1Y Annualized Return	3Y Annualized Return	3Y Annualized Return	5Y Annualized Return	5Y Annualized Return	10Y Annualized Return	10Y Annualized Return	Volatility (10Y)	Volatility (10Y)
Index	MSCI World Total Return - Net USD	Apr-25	0.89	Mar.25	-4.45	Feb-25	-0.72	QTD	0.89	YTD	-0.92	1Y Annualized Return	12.16	3Y Annualized Return	11.06	5Y Annualized Return	13.95	10Y Annualized Return	9.34	Volatility (10Y)	15.05
Index	FTSE US Broad Investment-Grade Bond Index	Apr-25	0.39	Mar.25	0.02	Feb-25	2.23	QTD	0.39	YTD	3.18	1Y Annualized Return	8.05	3Y Annualized Return	1.92	5Y Annualized Return	-0.68	10Y Annualized Return	1.55	Volatility (10Y)	5.05
Index	Barclays Global High Yield Index	Apr-25	0.85	Mar.25	-0.32	Feb-25	0.79	QTD	0.85	YTD	2.72	1Y Annualized Return	10.75	3Y Annualized Return	7.46	5Y Annualized Return	6.35	10Y Annualized Return	4.49	Volatility (10Y)	8.49
Index	Bloomberg Commodity Index Total Return	Apr-25	-4.81	Mar.25	3.93	Feb-25	0.78	QTD	-4.81	YTD	3.64	1Y Annualized Return	4.08	3Y Annualized Return	-3.70	5Y Annualized Return	13.74	10Y Annualized Return	1.70	Volatility (10Y)	13.73
Index	ICE BofA Merrill Lynch 3-month T-Bill Total Return	Apr-25	0.34	Mar.25	0.33	Feb-25	0.32	QTD	0.34	YTD	1.37	1Y Annualized Return	4.88	3Y Annualized Return	4.35	5Y Annualized Return	2.62	10Y Annualized Return	1.90	Volatility (10Y)	0.55
Index	HFRI Fund of Funds Composite Index	Apr-25	0.56	Mar.25	-1.12	Feb-25	-0.82	QTD	0.56	YTD	-0.06	1Y Annualized Return	5.16	3Y Annualized Return	4.47	5Y Annualized Return	6.44	10Y Annualized Return	3.49	Volatility (10Y)	5.01
Index	HFRI Equity Hedge (Total) Index	Apr-25	0.66	Mar.25	-2.22	Feb-25	-0.95	QTD	0.66	YTD	-0.88	1Y Annualized Return	7.13	3Y Annualized Return	6.29	5Y Annualized Return	9.84	10Y Annualized Return	5.81	Volatility (10Y)	8.76
Index	HFRI Event-Driven (Total) Index	Apr-25	-0.38	Mar.25	-1.47	Feb-25	-0.07	QTD	-0.38	YTD	-1.06	1Y Annualized Return	7.33	3Y Annualized Return	5.65	5Y Annualized Return	9.60	10Y Annualized Return	5.08	Volatility (10Y)	7.14
Index	HFRI ED: Credit Arbitrage Index	Apr-25	-0.15	Mar.25	-0.68	Feb-25	1.10	QTD	-0.15	YTD	1.44	1Y Annualized Return	6.74	3Y Annualized Return	6.90	5Y Annualized Return	9.57	10Y Annualized Return	5.48	Volatility (10Y)	6.86
Index	HFRI Macro (Total) Index	Apr-25	-2.69	Mar.25	0.23	Feb-25	-1.17	QTD	-2.69	YTD	-2.61	1Y Annualized Return	-4.22	3Y Annualized Return	0.57	5Y Annualized Return	4.97	10Y Annualized Return	2.60	Volatility (10Y)	4.86
Index	HFRI Macro: Systematic Diversified Index	Apr-25	-3.98	Mar.25	-0.83	Feb-25	-2.52	QTD	-3.98	YTD	-6.89	1Y Annualized Return	-12.50	3Y Annualized Return	-3.21	5Y Annualized Return	2.82	10Y Annualized Return	0.92	Volatility (10Y)	7.73
Index	HFRI Relative Value (Total) Index	Apr-25	-0.92	Mar.25	-0.03	Feb-25	0.72	QTD	-0.92	YTD	0.81	1Y Annualized Return	6.69	3Y Annualized Return	5.04	5Y Annualized Return	7.14	10Y Annualized Return	4.26	Volatility (10Y)	4.39

March 2025	March 2025	Month-to-date	Month-to-date	�۱𲹰�-�ٴ�-�岹�ٱ��	�۱𲹰�-�ٴ�-�岹�ٱ��
March 2025	MSCI World Total Return - Net USD	Month-to-date	0.9	�۱𲹰�-�ٴ�-�岹�ٱ��	0.9
March 2025	FTSE US Broad Investment-Grade Bond Index	Month-to-date	0.4	�۱𲹰�-�ٴ�-�岹�ٱ��	3.2
March 2025	Barclays Global High Yield Index	Month-to-date	0.9	�۱𲹰�-�ٴ�-�岹�ٱ��	2.7
March 2025	Bloomberg Commodity Index Total Return	Month-to-date	-4.8	�۱𲹰�-�ٴ�-�岹�ٱ��	3.6
March 2025	BofA ML T-Bills (3M)	Month-to-date	0.3	�۱𲹰�-�ٴ�-�岹�ٱ��	1.4
March 2025	HFRI Fund of Funds Composite Index	Month-to-date	0.6	�۱𲹰�-�ٴ�-�岹�ٱ��	-0.1
March 2025	HFRI Equity Hedge Total Index	Month-to-date	0.7	�۱𲹰�-�ٴ�-�岹�ٱ��	-0.9
March 2025	HFRI Event Driven Total Index	Month-to-date	-0.4	�۱𲹰�-�ٴ�-�岹�ٱ��	-1.1
March 2025	HFRI ED: Credit Arbitrage Index	Month-to-date	-0.2	�۱𲹰�-�ٴ�-�岹�ٱ��	1.4
March 2025	HFRI Macro Total Index	Month-to-date	-2.7	�۱𲹰�-�ٴ�-�岹�ٱ��	-2.6
March 2025	HFRI Macro: Systematic Diversified Index	Month-to-date	-4.0	�۱𲹰�-�ٴ�-�岹�ٱ��	-6.9
March 2025	HFRI Relative Value Total Index	Month-to-date	-0.9	�۱𲹰�-�ٴ�-�岹�ٱ��	0.8

Overall market commentary

Risk assets were broadly mixed in April as the month featured elevated volatility driven by uncertain tariff policies from the US administration. Although US policy regarding tariffs remained fluid, the pause in implementation announced post “Liberation Day” and solid corporate earnings helped stabilize markets after a sharp corrective tone at the beginning of the month. Concerns about recession were tempered by supportive macroeconomic data, despite concerns about inflation and higher unemployment. The Dow Jones Industrial Average, S&P500 and NASDAQ indices produced mixed performance in April. The Dow Jones Industrials and S&P500 posted negative performance of -3.17% and -0.76%, respectively. Conversely, the NASDAQ posted a gain of +0.85% last month. Across Europe, equity markets were also mixed as investors contemplated changes to asset allocation in line with the volatile geopolitical climate. The MSCI Europe and FTSE generated negative performance in April of -1.56% and -0.64%, respectively, while the DAX posted positive performance of +1.50%. Asian developed markets produced positive results with the Nikkei 225 generating a gain of 1.20% despite a stronger Japanese Yen and tariff headwinds. Emerging market indices also produced mixed performance. Chinese markets declined -1.70% in line with the prolonged trade tension with the US. On the other hand, Brazil and India demonstrated resilience, rallying by +3.69% and +3.65%, respectively. US interest rate markets rallied modestly in April as the probability for recession seemed to increase. The two-year US Treasury yield fell to 3.61% from 3.89%, while the ten-year US Treasury yield eased to 4.16% from 4.21%. The Barclays US Corporate Investment Grade Index was little changed at -0.03%, while the Barclays US Corporate High Yield Index fell -0.02%. Commodity prices were mixed with gains from precious metals as a function of safe haven status amid US dollar weakness. Conversely, energy price declines were related to increased OPEC production despite softening global demand. During April, gold rose +5.4%, while crude oil fell -18%. In currency markets, the Euro rallied 4.70% from 1.0819 to 1.1327, while the US dollar declined -4.6% against the Japanese Yen from 149.51 to 142.63.

Source returns: �۶��Ƶ World Market Report

US Equity Hedged strategies generally produced positive performance in April. Although most managers reported gains for the month, there was a wide degree of dispersion within the various cohorts due to specific stock selection and timing of any exposure adjustments made throughout the month. Results varied across sectors, as technology stocks were modestly positive during the month, driven by continued strength in earnings and positive guidance on capital expenditure. Conversely, energy stocks experienced sharp declines due to concerns over slowing growth tied to tariffs and fears of increased production from OPEC. The strength in technology and some late month re-grossing provided an uplift to the momentum and growth factors, while value and quality factors lagged. Industry alpha was generally positive, driven by long positions in AI-related stocks, especially within power names, which outperformed.

European Equity Hedged strategies generally produced positive performance in April. Alpha gains were driven by size, momentum, utilities, Germany and idiosyncratic factors. European-focused managers outperformed other regional counterparts as USfocused managers were typically positive, while Asia-focused managers were mostly negative. Managers generally reduced both their gross and net leverage in April amidst tariff turmoil.

Asian Equity Hedged strategies generally produced negative performance in April. While exposure to Japanese themes was generally positive, the bulk of the losses came from exposure to China. The Japanese market remained volatile, initially selling off following Liberation Day tariff announcements but rebounding later in the period. Market themes were supported by expectations of US / Japan trade talk and the easing of JPY appreciation. In China, it was also a volatile month, although markets started to stabilize in the second half of the month as trade tensions softened with some expectation of renewed negotiations. Consequently, market indices closed lower but well off their lows. ADRs tended to lag on the back of de-listing fears. Also, the domestic market generally outperformed the offshore markettariffs.

HFRI Equity Hedge Total Index

MTD 0.66%

QTD 0.66%

YTD -0.88%

Fixed income relative value strategies generated negative performance in April. The weakness was a function of the risk-off moves, which led to spikes in interest rate volatility, capital flight from US bonds and associated selling pressure in more crowded levered positions, such as long US swap spreads. The main detractors from performance were US swap spread trading, followed by US cash / futures basis and bond RV strategies. European swap spread short positions also incurred losses due to the capital rotation from US Treasuries into Bunds. Japanese directional short positions exacerbated relative value losses for some managers. Those who outperformed generally avoided the swap spread moves and/or had larger tail hedge exposures, such as front-end tenor basis wideners, equity / credit put options, or received front-end rates.

Capital structure / volatility arbitrage strategies generated mixed performance in April. Convertible arbitrage managers with shorter duration and more gamma sensitive risk profiles tended to outperform those with longer duration and more credit sensitive risk profiles. Volatility trading accounted for the bulk of gains, while credit exposure detracted modestly. Option hedges were challenged last month, while credit hedges were slightly positive. Approximately USD 2bn of global convertible issues came to market, with about 65% coming from the US, approximately 20% from Europe, and the remainder from Asia. Utility convertible arbitrage trades performed well due to investor interest in those risk profiles, while de-listing risk led to declines in US listed China ADRs. There was a limited number of corporate actions during the month. Cross-asset correlations were extremely volatile, particularly with US Treasuries, due to intra-month volatility prompting ‘flight to quality’ trades. Credit arbitrage relative value strategies were challenged as basis packages widened, liquid credit short positions generally outperformed their related equity long positions, and stressed/distressed credit long positions generally underperformed their equity hedges. Non-investment grade convertible bond spreads widened to 429bps last month, while the Bloomberg US HY ‘B’ Index spread increased to 383bps. The spread between non-investment grade convertible bonds and the Bloomberg HY ‘B’ Index increased to +46bps from +27bps.

Merger arbitrage strategies and event-driven strategies generated mostly positive performance in April. merger spreads were 1% tighter on average for the full month, after having widened by as much as 2.5% intra-month. The most notably tighter spread was US Steel/Nippon Steel, which tightened significantly following the announcement of a new CFIUS review, followed by Discovery/Capital One, which tightened following approval from the OCC and the Federal Reserve. Mr. Cooper widened following difficulties on Rocket borrow. Through the end of April, YTD M&A volumes tracked down ~50% YoY. April was the slowest month for public company M&A in the last 5 years. The total arbitrage opportunity set opportunity declined by nearly 20%, with the closing of 8 transactions constituting nearly USD 50bn in aggregate transaction value, as well as deal progress in Discover / Capital One. April performance for equity capital markets strategies was modestly positive amidst an understandably quiet month for deal activity given all the volatility around Liberation Day. Investors who were able to maintain their exposure to the late March Coreweave IPO were ultimately rewarded.

Agency MBS strategies generated mixed performance in April. The month featured a fair degree of dispersion in managers. In terms of positive contributors, managers benefited from positive carry and mortgage basis short positions. However, OAS on mortgage derivatives widened during the month and this was the main source of losses across the sub-strategy.

Quantitative equity strategies generated mixed performance in April. Given the market dynamics, volatility factor was a driver of results during the period. Momentum and reversal type factors were also additive in April.

Conversely, macro sensitivity factors were challenged in April with AI exposure the only contributor in the group.

Sensitivity to oil prices led to losses as crude oil prices continued their decline.

Retail exposure was also challenged given the depth of uncertainty surrounding tariffs. While normally a defensive staple, quality type factors faced difficulties. Value factors as a group performed poorly in April as many of the high book-value companies which make up the long-leg of most Value type factors were those most impacted by tariff announcements. While growth type factors performed better than value, results were still mixed as continued policy uncertainty counterbalanced falling inflation and interest rate cut expectations.

HFRI Relative Value Total Index

MTD -0.92%

QTD -0.92%

YTD 0.81%

Corporate credit strategies generated overall mixed performance in April. The corporate long / short sub-strategy produced a positive return as gains were driven by short positions as managers with low net exposures outperformed relative to funds who were positioned in a net long. In addition, the US and European funds outperformed relative to Asian funds. The corporate long-biased sub-strategy generated a loss as managers were negatively impacted by the widening in corporate credit spreads. Losses were generally attributable to investments in high yield bonds and leveraged loans. Given the long-biased nature of the sub-strategy, performance was in line with expectations.

Asset backed strategies (ABS) generally produced positive performance in April. Most funds finished the monthly flat to marginally positive, although funds with exposure to the higher beta segments of structured credit underperformed. At the portfolio level, gains from interest income were largely offset by mark-to-market losses that occurred as a result of spread widening. Gains were largely attributable to SRT (significant risk transfer) transactions, short duration private credit, and non-agency RMBS. Conversely, CLO equity investments underperformed and generated losses.

Reinsurance / ILS strategies generally produced positive performance in April. Results were again primarily a function of carry / accrued coupon income for the catastrophe bond manager and premium accrual for the collateralized reinsurance manager. However, there was a slight negative offset from spread widening for the catastrophe bond manager and a small incremental gain for the collateralized reinsurance manager as a result of a positive revision to the reserves taken for the California wildfires. The spread widening witnessed for the catastrophe bond manager was due to typical seasonality heading towards the hurricane season as well as the expectation for a near-term increase in supply.

HFRI ED: Credit Arbitrage Index

MTD -0.15%

QTD -0.15%

YTD 1.44%

Discretionary trading strategies generally produced positive performance in April. Most managers produced gains, except for those with exposure to relative value themes, such as swap spreads, as well as a more paid bias in EUR rates. Gains were largely driven by interest rates receivers, curve steepeners in G3 as well as short USD bias, especially against the Euro and JPY. In contrast, Japan payers and curve flatteners faced headwinds last month. Long positions in volatility also provided gains. Some managers generated gains from tactical equity trading in some of the core themes, such as technology, defense and financials. There was also some positive performance from index shorts earlier in the month. Emerging market (EM) managers were mostly positive in April, with the majority of the gains coming from receivers in rates across EM. In some cases, there was also some participation in developed markets (DM) trades in rates, such as curve steepeners and receivers in European markets. Short exposure to the USD was also additive, including in the more popular DM pairs. Some managers added to results from tactical trading around the frontier space and benefitting from short positons in places like Nigeria. Additionally, a long volatility bias was generally additive.

Systematic trading strategies generally produced negative performance in April.

Trend following strategies were challenged by the sharp reversals in equity markets. FX themes were also weak, as the USD moved lower following the US tariff announcements. Commodity trading was mixed, as some managers were challenged from long exposure in energy, such as oil and gas. Alternative commodity markets generally detracted from performance. Interest rate trading was flat to positive as receiver and steepening positions added to results. Systematic managers with more diversified alpha models were also challenged during the month as FX, equity and energy detracted.

Prepared by �۶��Ƶ Hedge Fund Solutions, a distinct business unit of �۶��Ƶ Asset Management (Americas) LLC (“�۶��Ƶ Hedge Fund Solutions” or “HFS”), a provider of hedge fund strategies. It contains �۶��Ƶ Hedge Fund Solutions' view of market events during the specified period and all such information and opinions are subject to change without notice, and does not pertain specifically to products managed or advised by �۶��Ƶ Hedge Fund Solutions. The materials are provided for information purposes only and do not constitute investment advice. The information contained herein is believed to be reliable but its accuracy is not guaranteed. This publication encompasses �۶��Ƶ Hedge Fund Solutions’ views based on our internal manager universe and are subject to change. The universe includes managers that are either invested in or followed by �۶��Ƶ Hedge Fund Solutions and does not represent all hedge fund managers and strategies available in the industry. Any indices shown throughout this report are for illustrative purposes only and not a representation of �۶��Ƶ Hedge Fund Solutions’ universe performance.

HFRI Macro Total Index

MTD -2.69%

QTD -2.69%

YTD -2.61%

M-001305

Strategy definitions

Equity Hedged managers generally use fundamental analysis to invest in publicly traded equities and seek to generate alpha through superior security selection. Portfolio construction is driven primarily by bottom-up fundamental research; top-down analysis may also be applied. Sub-strategies include: Fundamental, Equity Event, and Opportunistic Trading.

Trading strategies are generally top-down in nature and often driven by econometric and macroeconomic research. These strategies may utilize financial instruments, such as foreign exchange, equities, rates, sovereign debt, currencies, and commodities to express a manager's view. In executing different approaches, managers may use either fundamental or quantitative models or a combination of both. Sub-strategies include: Systematic, Discretionary and Commodities.

Relative value is a broad category, generally encompassing strategies that are non-fundamental and non-directional, and often quantitatively driven. Managers in this strategy typically use arbitrage to exploit mispricings and other opportunities in various asset classes, geographies, and time horizons. Managers frequently focus on capturing the spread between two assets, while maintaining neutrality to other factors, for example to geography, changes in interest rates, equity market movement, and currencies, to name a few examples. Sub-strategies include: Fixed Income Relative Value, Agency MBS, Quantitative Equity, Cap Structure/Vol Arb and Merger Arbitrage.

In Credit/Income strategies, managers utilize credit analysis to evaluate potential investments and use debt or debt-linked instruments to execute their investment theses. Their approach can be either fundamental, quantitative, or a combination of both. Sub-strategies include: Distressed, Corporate Long/Short, Asset-Backed, Reinsurance / ILS, CLO/Corporate Lending and Other Income.

Other: This category contains investment approaches that are outside of the mainstream hedge fund strategies (Equity Hedged, Credit/Income, Relative Value, and Trading). The category includes nice investment approaches. Money Market funds and cash strategies are also included in this category, as are Liquidating/Side Pockets.

Risk Parity generally focuses on the passive allocation of risk, rather than of capital, in an attempt to provide a higher Sharpe ratio alternative to the traditional 60% stock / 40% bond portfolio through the use of a wider range of uncorrelated assets, low leverage, and low equity risk. Please note, while an alternative to traditional asset allocation, Risk Parity is not a hedge fund Strategy.

Index descriptions

The use of indices is for illustrative purposes only. Unlike the Fund, some indices are unmanaged, are not available for direct investment and are not subject to management fees and other fees and expenses. The Fund does not restrict its investments to securities in the indices described. No index is directly comparable to the investment strategy of the Fund. Information about the index is derived from sources that we believe to be reliable, but we have not independently verified them and do not warrant as to its accuracy or completeness.

The Barclays Corporate High Yield Index covers the universe of fixed rate, non-investment grade debt. Pay-in-kind (PIK) bonds, Eurobonds, and debt issues from countries designated as emerging markets (e.g., Argentina, Brazil, Venezuela, etc.) are excluded, but Canadian and global bonds (SEC registered) of issuers in non-EMG countries are included. Original issue zeroes, step-up coupon structures, and 144-As are also included.

The Barclays Global Aggregate Index provides a broad-based measure of the global investment grade fixed income markets. The three major components of this index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities.

The Citigroup Broad Investment Grade Bond Index is an unmanaged index generally representative of the performance of the investment grade corporate and U.S. government bonds.

The Dow Jones - �۶��Ƶ Commodity Index Total Return index is comprised of futures contracts on 19 physical commodities. It reflects the return on fully collateralized futures positions and is quoted in USD.

The HFRI Equity Hedge Total Index is equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Equity Hedged strategy, which includes funds who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedged managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short.

The HFRI Event Driven (Total) Index is an equally weighted performance index. The HFRI is broken down into four main strategies, each with multiple sub-strategies. This index represents the Event Driven strategy, which is also known as corporate life cycle investing. The constituents of this index are funds investing in opportunities created by significant transactional events of a wide variety, including but not limited to spin-offs, mergers and acquisitions, tender offers, security issuance, bankruptcy reorganizations, recapitalizations and share buybacks. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments.

HFRI FOF: Conservative Index FOFs classified as "conservative" exhibit one or more of the following characteristics: seeks consistent returns by primarily investing in funds that generally engage in more "conservative" strategies such as Equity Market Neutral, Fixed Income Arbitrage, and Convertible Arbitrage.

The HFRI FOF: Diversified Index includes fund of funds classified as "diversified." Fund of funds classified as "diversified" exhibit one or more of the following characteristics: invests in a variety of strategies among multiple managers; historical annual return and/or a standard deviation generally similar to the HFRI Fund of Fund Composite index.

The HFRI Fund of Funds Composite Index is an equally weighted performance index broken down into 37 different categories by strategy. There is no required asset-size minimum for fund inclusion in the HFRI and there is no required length of time a fund must be actively trading before inclusion in the HFRI.

The HFRI Fund Weighted Composite Index is a global, equal-weighted index of over 2,000 single-manager funds that report to HFR Database. Constituent funds report monthly net of all fees performance in US Dollar and have a minimum of USD 50 Million under management or a twelve (12) month track record of active performance. The HFRI Fund Weighted Composite Index does not include Funds of Hedge Funds.

The HFRI Macro Total Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Macro strategy, which involves investing by making leveraged bets on anticipated price movements of stock markets, interest rates, foreign exchange and physical commodities. Macro managers employ a "top-down" global approach, and may invest in any market using any instrument to participate in expected market movements. These movements may result from forecasted shifts in world economies, political fortunes or global supply and demand for resources, both physical and financial. Exchange-traded and over-the-counter derivatives are often used to magnify these price movements.

The HFRI Macro: Systematic Diversified Index is equally weighted performance index. The HFRI are broken down into four main strategies, each with multiple sub-strategies. The HFRI Macro: Systematic Diversified Index represents the Systematic Diversified sub-strategy, which involves investing by employing mathematical, algorithmic and technical models, with little or no influence of individuals over the portfolio positioning. Managers in these strategies employ an investment process designed to identify opportunities in markets exhibiting trending or momentum characteristics across individual instruments or asset classes. The quantitative aspect of the investment process is focused on identifying statistically robust or technical patterns in the return series of the asset, and typically highly liquid instruments. Systematic managers maintain shorter holding periods than either discretionary or mean reverting approaches. Although some systematic strategies seek to employ counter trend models, the strategy tends to benefit most from an environment characterized by persistent, discernable trending behavior.

The HFRI Relative Value (Total) Index is equally weighted performance index, utilized by numerous hedge fund managers as a benchmark for their own hedge funds. The HFRI are broken down into four main strategies, each with multiple sub-strategies. This index represents the Relative Value Arbitrage strategy, which attempts to take advantage of relative pricing discrepancies between instruments involving equities, debt, options and futures. Managers may use mathematical, fundamental, or technical analysis to determine misvaluations. Securities may be mispriced relative to the underlying security, related securities, groups of securities, or the overall market. Many funds use leverage and seek opportunities globally. Arbitrage strategies include dividend arbitrage, pairs trading, options arbitrage and yield curve trading.

The J.P. Morgan Government Bond Index is the most widely-used measure of performance of leading government bond markets. The indices measure the total, principal, and interest returns in each market and can be reported in 18 different currencies. By including only traded issues, the Index provides a realistic measure of market performance for international investors

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. As of June 2007 the MSCI World Index consisted of the following 23 developed market country indices: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States.

The MSCI EMF Index is a free float-adjusted market capitalization index that is designed to measure equity market performance in the global emerging markets.

The MSCI World Total Return Index uses the same methodology as the MSCI USD World Index but also includes reinvestment of dividends. Net Dividends: This series approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses with holding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The index performance has been translated into the feeder currency using the applicable daily currency exchange rate from Bloomberg.

The Nikkei 225 JPY Index Stock Average is a price-weighted average of 225 top-rated Japanese companies listed in the First Section of the Tokyo Stock Exchange.

Standard and Poor's 500 Index (S&P500) is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.

S&P GSCI Total Return Index is a fully-collateralized index, showing total return an investor would receive from S&P GSCI excess return plus T-bill return on the collateral. Its components are updated on a yearly basis and include energy, industrial metals, precious metals, livestock, and agricultural commodities. The S&P GSCI can offer a benchmark for investment performance in the commodity markets.