The Dow Jones Credit Suisse Core Hedge Fund Index Down 1.95% in June

Oliver Schupp, President of Credit Suisse Index Co., LLC, said, “Headlines over Eurozone debt concerns dominated markets and set the tone for a second consecutive negative month of hedge fund performance in June. Overall, the Dow Jones Credit Suisse Core Hedge Fund Index lost 1.95% for the month.” Mr. Schupp continued, “A lack of fundamentally driven trends hurt many managers, with Global Macro experiencing the most significant decline, falling 3.12%.

Fixed Income Arbitrage was the month’s only bright spot. The sector gained 0.20% as managers benefited from increased interest rate volatility and widening swap spreads. The strategy remains up 2.38% year-to-date.” The Dow Jones Credit Suisse Core Hedge Fund Index provides the benefit of daily valuations which enables investors to more accurately track the impact of market events on the hedge fund industry. June, May and 2011 year-to-date performance is listed below and available at www.hedgeindex.com.

Index Jun 11 May 11 2011 YTD

Dow Jones Credit Suisse Core Hedge Fund Index -1.95% -1.71% -1.10%

Convertible Arbitrage -1.45% -0.65% 0.42%
Emerging Markets -0.11% -0.97% 2.38%
Event Driven -2.69% -1.29% -1.71%
Fixed Income Arbitrage 0.20% -0.03% 2.38%
Global Macro -3.12% -2.52% -4.04%
Long/Short Equity -1.66% -1.58% 0.14%
Managed Futures -2.92% -4.40% -4.44%

About the Dow Jones Credit Suisse Core Hedge Fund Index

Following the market events of 2008, increased attention has been focused on liquid hedge fund structures, including managed accounts, which have the potential to offer more frequent liquidity and increased transparency. The Dow Jones Credit Suisse Core Hedge Fund Index is the first and only hedge fund index designed to reflect the performance of managed accounts and other regulated fund structures sourced from multiple best-in-class managed account platforms, creating an unparalleled view of the liquid, investable hedge fund universe.