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Lyxor Global Hedge Fund Index records negative performance of -2.15% in June (-1.85% YTD)

Wednesday, July 13, 2011
Opalesque Industry Update - The Lyxor Hedge Fund Index was down -2.15% in June. Year-to-date performance* as of June 2011 is down -1.85%. The month of June was quite volatile and recorded negative performances for the majority of Hedge Fund strategies, while some of them still remain positive year-to-date.

The top performing strategies year-to-date are Lyxor L/S Equity Variable Bias Index (+2.03%) and Lyxor L/S Equity Market Neutral Index (+2.01%).

The Lyxor Hedge Indices are investable, asset-weighted indices, designed to offer investors straightforward access to hedge fund performance. The indices are based on Lyxor’s managed account platform that covers all the major hedge fund strategies and benefits from a high level of transparency and risk control, while ensuring weekly liquidity. The Lyxor Hedge Fund Index range comprises 17 indices ranging from global to mono-strategy or thematic indices. The Lyxor Hedge Fund Index (Global Index) reflects the average performance of all 14 strategy indices, thereby offering direct exposure to the global hedge fund universe.

Lyxor Hedge Fund Indices Jun 2011 YTD

Performance* Performance*

Global Index

Lyxor Hedge Fund Index -2.15% -1.85%

Strategy Indices

Lyxor L/S Equity Long Bias Index -2.29% 0.29%
Lyxor L/S Equity Market Neutral Index -1.46% 2.01%
Lyxor L/S Equity Short Bias Index 1.12% -15.16%
Lyxor L/S Equity Statistical Arbitrage Index -1.01% 0.50%
Lyxor L/S Equity Variable Bias Index -0.95% 2.03%
Lyxor Convertible Bonds & Volatility Arbitrage Index -0.61% 1.05%
Lyxor Distressed Securities Index -1.17% 1.01%
Lyxor Merger Arbitrage Index -1.27% 1.72%
Lyxor Special Situations Index -3.72% -4.10%
Lyxor L/S Credit Arbitrage Index -0.87% 1.32%
Lyxor Fixed Income Arbitrage Index -2.21% -1.61%
Lyxor CTA Long Term Index -2.72% -5.87%
Lyxor CTA Short Term Index -1.15% -1.35%
Lyxor Global Macro Index -2.93% -4.45%

Thematic Indices

Lyxor Top 10 Index -2.96% -2.70%
Lyxor Credit Strategies Index -1.66% -0.46%

Corporate website: Source

* MTD returns are based on performance from the last estimated NAV of the previous month until the last estimated NAV of the reported month. YTD returns are from December 31, 2010 through June 30 2011.

- FG

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