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Dow Jones Credit Suisse Core Index Performance December 2011

he Dow Jones Credit Suisse Hedge Fund Indexes Performance data for Dec 2011 has been updated. Please visit our site at http://www.hedgeindex.com for further details.

 

 

Dow Jones Credit Suisse Core Index Performance
Index / Sub Strategies Value** Dec 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Core Hedge Fund Index 92.60 -0.41% -7.40% -7.40% 6.22% 6.75% 0.65
    Convertible Arbitrage 92.34 1.29% -7.66% -7.66% 3.04% 11.44% 0.11
    Emerging Markets 97.60 0.16% -2.40% -2.40% 9.38% 10.76% 0.70
    Event Driven 87.47 -0.95% -12.53% -12.53% 4.40% 8.28% 0.31
    Fixed Income Arbitrage 98.74 -0.40% -1.26% -1.26% 7.33% 8.69% 0.64
    Global Macro 89.91 0.38% -10.09% -10.09% 5.65% 7.52% 0.51
    Long/Short Equity 92.73 -2.11% -7.27% -7.27% 6.08% 8.48% 0.50
    Managed Futures 97.05 1.82% -2.95% -2.95% 8.63% 12.25% 0.56
*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** Dec 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Hedge Fund Index 450.23 -0.22% -2.52% -2.52% 8.72% 7.63% 0.72
    Convertible Arbitrage 366.39 0.62% 1.13% 1.13% 7.48% 6.99% 0.61
    Dedicated Short Bias 53.69 1.65% 3.85% 3.85% -3.40% 16.98% -0.39
    Emerging Markets 357.31 -0.70% -6.68% -6.68% 7.33% 15.01% 0.28
    Equity Market Neutral 243.06 -0.49% 4.49% 4.49% 5.06% 10.42% 0.18
    Event Driven 487.52 -0.81% -9.09% -9.09% 9.20% 6.37% 0.94
      Distressed 577.45 -0.05% -4.24% -4.24% 10.23% 6.68% 1.05
      Multi-Strategy 448.02 -1.25% -11.96% -11.96% 8.69% 6.90% 0.80
      Risk Arbitrage 323.37 -0.39% 0.80% 0.80% 6.74% 4.19% 0.85
    Fixed Income Arbitrage 250.29 0.38% 4.69% 4.69% 5.23% 5.78% 0.35
    Global Macro 785.06 0.43% 6.44% 6.44% 12.13% 9.80% 0.91
    Long/Short Equity 486.44 -0.88% -7.31% -7.31% 9.19% 9.98% 0.60
    Managed Futures 285.47 0.79% -4.19% -4.19% 6.00% 11.77% 0.24
    Multi-Strategy 382.51 0.14% 1.83% 1.83% 7.85% 5.42% 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** Dec 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse Investable Index 130.77 0.15% -2.84% -2.84% 3.24% 7.27% 0.18
    Convertible Arbitrage 129.46 0.71% 12.19% 12.19% 3.12% 15.71% 0.08
    Dedicated Short Bias 63.78 0.13% 7.65% 7.65% -5.20% 17.85% -0.40
    Emerging Markets 199.41 -1.15% -7.74% -7.74% 8.55% 13.47% 0.49
    Equity Market Neutral 75.74 -1.89% 6.25% 6.25% -3.25% 19.06% -0.27
    Event Driven 151.03 -0.59% -13.88% -13.88% 5.02% 9.22% 0.34
    Fixed Income Arbitrage 84.50 0.00% -1.90% -1.90% -1.98% 12.73% -0.30
    Global Macro 170.23 -0.09% 1.80% 1.80% 6.52% 9.81% 0.47
    Long/Short Equity 113.24 1.13% -3.31% -3.31% 1.49% 9.59% -0.04
    Managed Futures 151.76 1.34% -0.44% -0.44% 5.08% 11.06% 0.29
    Multi-Strategy 135.40 0.14% 2.60% 2.60% 3.67% 9.88% 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.

 

Dow Jones Credit Suisse AllHedge Index Performance
Index / Sub Strategies Value** Dec 11 YTD 1 Year Annl* Std Dev* Sharpe*
Dow Jones Credit Suisse AllHedge Index 117.96 -0.19% -6.40% -6.40% 2.30% 7.55% 0.04
    Convertible Arbitrage 108.00 0.60% -0.63% -0.63% 1.07% 12.67% -0.08
    Dedicated Short Bias 68.77 0.13% 7.32% 7.32% -5.03% 16.43% -0.43
    Emerging Markets 133.59 -1.43% -10.92% -10.92% 4.08% 14.62% 0.14
    Equity Market Neutral 80.94 -1.38% 1.67% 1.67% -2.87% 10.39% -0.47
    Event Driven 135.97 -0.24% -14.17% -14.17% 4.33% 8.31% 0.28
    Fixed Income Arbitrage 75.60 -0.04% -2.26% -2.26% -3.78% 10.71% -0.54
    Global Macro 111.23 0.02% -3.76% -3.76% 1.48% 9.45% -0.06
    Long/Short Equity 115.49 -0.71% -6.51% -6.51% 2.01% 9.30% 0.00
    Managed Futures 152.05 1.21% -3.10% -3.10% 5.95% 10.26% 0.38
    Multi-Strategy 116.19 0.60% 1.46% 1.46% 2.09% 8.30% 0.01
*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** Dec 11 YTD 1 Year Annl* Std Dev* Sharpe*
LEA 82.84 -1.43% -6.54% -6.54% 4.88% 11.17% 0.26
    Latin America 98.28 -1.13% -2.64% -2.64% 5.11% 6.96% 0.44
    EEMEA 63.63 -2.69% -2.32% -2.32% 5.28% 22.80% 0.14
    Asia 80.57 -0.71% -13.34% -13.34% 4.56% 11.22% 0.23
*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.

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