Industry Updates

Lyster Watson Alpha Indices show large September gains for Asia (+5.60%) and emerging markets (+5.60%) hedge funds

Tuesday, October 19, 2010

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Opalesque Industry Update - LW / True Alpha Hedge Fund Indices, presented below, are a series of non-investable benchmarks designed to be a representative composite of randomly generated portfolios of hedge fund strategy peers, factoring in both volatility and return. The performance of these indices are not reflective of discretionary fund-of-funds portfolios, nor are they intended as benchmarks for fund-of-funds portfolios.


	Returns			Volatility	Sharpe Ratio
Strategy Indices	MTD	YTD	1-Year	1-Year	5-Year
Directional
LW/True Alpha Credit Fixed Income Index	1.10%	9.64%	15.76%	4.89%	0.71
LW/True Alpha Directional Macro Index	3.00%	4.16%	5.27%	3.81%	1.29
LW/True Alpha Long/Short Equity Developed Asia Index	5.60%	5.55%	8.39%	10.04%	0.47
LW/True Alpha Long/Short Equity Emerging Market Index	5.60%	8.41%	14.59%	10.84%	0.70
LW/True Alpha Long/Short Equity Global Index	5.27%	4.63%	7.47%	9.09%	0.44
LW/True Alpha Long/Short Equity North America Index	5.24%	4.82%	8.48%	10.27%	0.34
LW/True Alpha Long/Short Equity Western Europe Index	3.10%	2.88%	3.47%	6.47%	0.38
Event-Driven
LW/True Alpha Distressed Investment Index	3.10%	11.98%	19.84%	6.64%	0.49
LW/True Alpha Event Equity Index	4.00%	8.23%	13.61%	7.18%	0.46
Relative Value
LW/True Alpha Convertible Arbitrage Index	3.14%	9.19%	13.55%	5.98%	0.45
LW/True Alpha Market Neutral Equity Index	1.01%	1.16%	1.58%	1.74%	0.46
LW/True Alpha Volatility Arbitrage Index	3.00%	5.64%	7.99%	4.49%	1.60

Background: Lyster Watson & Company established a diverse selection of single manager hedge fund strategy indices for use with our proprietary True Alpha rating and ranking system (US Patent No. 7,707,092), which also served as a source of research, revealing that certain hedge fund strategies can provide optimal hedge fund replication solutions, an investment strategy separate from our fund-of-hedge-funds portfolios.

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