Performance

Absolute Return indices: Worst month on record - so far

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Hedge funds had their worst month ever, with the Composite down 4.20%, for a year-to-date loss of 3.58%. CTAs were the only strategy to stay above water, returning 0.42%, with a year-to-date return of 8.55%. Global and U.S. equities were down 5.85% and 6%, respectively. Convertible & Equity Arbitrage was worst hit, down 9.49% and off 11.66% for the nine months. Commodities lost 1.10% but are up 12.10% so far this year.


ABSOLUTE RETURN STRATEGY INDICES

Strategy

Sep 08

YTD 08

Arbitrage

-1.89%

2.57%

Commodities

-1.10%

12.10%

Convertible & Equity Arbitrage

-9.49%

-11.66%

Credit

-3.21%

-2.18%

CTAs

0.42%

8.55%

Distressed

-4.71%

8.70%

Event Driven

-8.05%

-9.95%

Fixed Income

-5.34%

-0.47%

Global Equity

-5.85%

-9.72%

Latin American Debt

-5.12%

-2.18%

Latin American Equity

-3.40%

-3.76%

Macro

-3.62%

-3.49%

Mortgage Backed

-1.80%

1.97%

Multistrategy

-5.99%

-5.49%

Technology

-4.40%

-5.91%

U.S. Equity

-6.00%

-7.83%

Absolute Return Composite

-4.20%

-3.58%





ABSOLUTE RETURN COMPOSITE INDEX


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