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2012 Glocap Hedge Fund Compensation Report

All HFRX Indices by Type
HFRX Index Descriptions HFRX Index Characteristics HFRX Index Methodology HFR Indices FAQ HFR Index Redistribution Licensing
Global
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Global Hedge Fund Index -0.1291% -1.22% 2.01% 1131.63 0.12% 3.27% -8.87% 5.19% 13.40%
HFRX Equal Weighted Strategies Index -0.0586% -0.83% 1.79% 1118.47 -0.14% 2.64% -6.18% 5.29% 11.44%
HFRX Absolute Return Index 0.0895% -0.13% 0.16% 948.09 -0.28% 0.30% -3.72% -0.12% -3.58%
HFRX Aggregate Index - - - - 0.00% 3.35% -4.05% 7.52% 13.34%
HFRX Market Directional Index -0.3787% -3.47% -0.06% 1021.13 0.32% 3.53% -18.86% 9.32% 29.34%


Equity Hedge
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Equity Hedge Index -0.2024% -2.41% 1.34% 1013.87 -0.09% 3.84% -19.08% 8.92% 13.14%
HFRX EH: Energy/Basic Materials Index - - - - -0.53% -0.95% -8.40% 8.02% 25.19%
HFRX EH: Equity Market Neutral Index 0.0691% -0.72% -3.82% 943.86 -1.52% -3.13% -2.92% 2.64% -5.56%
HFRX EH: Fundamental Growth Index -0.3355% -2.92% 3.43% 1457.43 0.33% 6.54% -14.82% 4.98% 17.54%
HFRX EH: Fundamental Value Index 0.0060% -1.66% 0.76% 931.01 0.15% 2.47% -22.99% 9.15% 10.60%
HFRX EH: Multi-Strategy Index - - - - -1.78% 6.05% -7.76% 10.39% 21.72%
HFRX EH: Quantitative Directional Index - - - - -0.76% 3.37% -0.93% 1.12% -4.08%
HFRX EH: Short Bias Index - - - - -0.03% -13.19% 11.35% -24.05% -20.56%
HFRX EH: Technology/Healthcare Index - - - - 0.02% 6.32% 2.30% 1.61% 13.32%


Event Driven
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Event Driven Index -0.1379% -1.11% 4.53% 1366.45 -0.10% 5.71% -4.90% 1.98% 16.59%
HFRX ED: Activist Index - - - - -0.18% 10.46% -16.87% 15.04% 44.19%
HFRX ED: Credit Arbitrage Index - - - - 0.48% 4.33% 4.10% 10.91% 25.96%
HFRX ED: Distressed Restructuring Index -0.1188% -0.43% 4.81% 989.05 -0.51% 5.26% -8.04% 8.34% -5.60%
HFRX ED: Merger Arbitrage Index -0.0815% -0.66% 1.09% 1509.95 0.05% 1.76% -2.09% 5.69% 8.14%
HFRX ED: Multi-Strategy Index - - - - 0.46% 3.23% -4.85% 4.47% 27.11%
HFRX ED: Private Issue/Regulation D Index - - - - 0.51% 6.11% 4.95% 14.26% -2.67%
HFRX ED: Special Situations Index -0.1325% -1.27% 3.17% 1106.21 -0.45% 4.49% -3.71% 1.55% 19.57%


Macro
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Macro/CTA Index -0.1568% -0.76% -1.62% 1147.15 0.43% -0.87% -4.88% -1.73% -8.78%
HFRX Macro: Active Trading Index - - - - 0.61% 1.95% -6.80% 4.36% 0.56%
HFRX Macro: Commodity Index - - - - -0.20% -0.12% -9.80% -5.01% -3.01%
HFRX Macro: Commodity-Agriculture Index - - - - -0.03% -6.05% -8.29% 5.53% 6.71%
HFRX Macro: Commodity-Energy Index - - - - 0.22% 7.71% 0.09% 5.46% 2.64%
HFRX Macro: Commodity-Metals Index - - - - -3.21% -7.44% -16.85% 28.40% 38.15%
HFRX Macro: Currency Index - - - - -0.41% -1.32% -3.79% 2.83% 0.01%
HFRX Macro: Discretionary Thematic Index - - - - -0.17% 5.61% 1.36% 6.54% 5.06%
HFRX Macro: Multi-Strategy Index - - - - 0.15% 3.02% -0.33% 4.15% 16.17%
HFRX Macro: Systematic Diversified CTA Index 0.0401% -0.14% -3.58% 1582.74 0.48% -3.44% -1.79% 6.02% -9.04%


Relative Value
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Relative Value Arbitrage Index -0.0202% -0.45% 3.39% 1166.55 0.29% 3.86% -4.00% 7.65% 38.47%
HFRX RV: Energy Infrastructure Index - - - - 0.39% 3.01% 4.15% 24.41% 37.63%
HFRX RV: FI-Asset Backed Index - - - - 1.39% 8.25% 14.23% 15.22% 25.31%
HFRX RV: FI-Convertible Arbitrage Index 0.2707% 0.45% 4.35% 683.58 0.07% 3.88% -3.07% 8.76% 42.46%
HFRX RV: FI-Corporate Index - - - - 0.44% 3.61% 1.42% 14.06% 20.44%
HFRX RV: FI-Sovereign Index - - - - -0.12% 0.03% -1.84% 4.60% 12.28%
HFRX RV: Real Estate Index - - - - 0.58% 7.27% -9.13% 4.06% 17.95%
HFRX RV: Multi-Strategy Index -0.0705% -0.32% 3.17% 1826.39 0.12% 3.50% 0.05% 10.05% 42.05%
HFRX RV: Volatility Index - - - - 1.19% 2.79% 1.42% -4.36% -3.19%
HFRX RV: Yield Alternative Index - - - - 0.48% 5.14% -2.53% 13.85% 26.72%


Americas
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Latin America Index - - - - -0.06% 5.95% -8.54% 19.71% 41.63%
HFRX North America Index -0.1297% -1.80% 0.77% 1263.57 -0.01% 2.61% -3.20% 2.28% 5.36%


Asia
  Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Asia Composite Hedge Fund Index - - - - -0.68% 3.85% -9.22% 10.50% 16.80%
HFRX Asia Equally Weighted Index - - - - -0.74% 3.92% -8.65% 10.51% 14.85%
HFRX Asia ex-Japan Index - - - - -0.45% 2.78% -13.81% 10.38% 29.16%
HFRX Asia with Japan Index - - - - -0.63% 4.94% -5.18% 10.77% 17.55%
HFRX Japan Index - - - - -1.12% 4.04% -6.80% 8.32% -0.64%


Europe
  Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Northern Europe Index - - - - 0.78% 6.19% -1.92% 5.60% 14.95%
HFRX Russia/Eastern Europe Index - - - - -1.07% 6.25% -14.95% 21.60% 17.86%
HFRX Western/Pan Europe Index - - - - -0.05% 4.38% -2.43% 7.60% 6.80%


Emerging Markets
  Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Asia ex-Japan Index - - - - -0.45% 2.78% -13.81% 10.38% 29.16%
HFRX Brazil Index - - - - 0.27% 7.99% -16.35% 16.39% 42.64%
HFRX BRIC Index - - - - -0.88% 8.85% -20.17% 15.99% 53.43%
HFRX China Index - - - - -0.22% 0.83% -9.88% 9.37% 50.37%
HFRX India Index - - - - -1.90% 16.91% -40.70% 15.47% 50.87%
HFRX Korea Index - - - - -1.04% 5.16% -7.54% 22.22% 7.08%
HFRX Latin America Index - - - - -0.06% 5.95% -8.54% 19.71% 41.63%
HFRX MENA Index - - - - 1.05% 7.28% -11.71% 22.67% 28.31%
HFRX Multi-Emerging Markets Index - - - - 0.18% 5.95% 4.79% 17.34% 29.07%
HFRX Russia Index - - - - -1.65% 9.49% -12.43% 19.61% 64.62%
HFRX Russia/Eastern Europe Index - - - - -1.07% 6.25% -14.95% 21.60% 17.86%
HFRX Total Emerging Market Index - - - - -0.39% 5.14% -5.91% 17.12% 24.01%


Other Regions
Daily Performance as of: 2012-05-15    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Multi-Region Index 0.0219% -0.20% 2.30% 1155.12 0.51% 2.50% -14.77% 8.29% -1.00%


FX Hedged Indices 
Daily Performance as of: 2012-05-14    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Equal Weighted Strategies CHF Index -0.1832% -0.81% 1.59% 1229.44 -0.18% 2.42% -7.20% 4.65% 10.86%
HFRX Equal Weighted Strategies EUR Index -0.1798% -0.80% 1.73% 1055.07 -0.15% 2.55% -5.91% 4.99% 11.67%
HFRX Equal Weighted Strategies GBP Index -0.1706% -0.77% 1.90% 2063.61 -0.12% 2.69% -6.05% 5.37% 11.46%
HFRX Equal Weighted Strategies JPY Index -0.1680% -0.77% 1.77% 99131.14 -0.17% 2.56% -6.34% 4.98% 10.87%
HFRX Global Hedge Fund CHF Index -0.2753% -1.13% 1.82% 1239.67 0.07% 2.98% -9.75% 4.36% 12.66%
HFRX Global Hedge Fund EUR Index -0.2733% -1.12% 1.98% 1057.25 0.10% 3.13% -8.70% 4.63% 13.15%
HFRX Global Hedge Fund GBP Index -0.2609% -1.09% 2.17% 2095.34 0.14% 3.29% -8.41% 5.19% 13.37%
HFRX Global Hedge Fund JPY Index -0.2628% -1.09% 2.06% 100911.02 0.09% 3.19% -9.03% 4.85% 12.67%
HFRX Equity Hedge EUR Index -0.7008% -2.29% 1.36% 968.70 -0.10% 3.74% -18.90% 8.24% 12.95%
HFRX Macro/CTA EUR Index 0.0716% -0.62% -1.56% 1112.62 0.41% -0.95% -4.53% -1.69% -8.45%
HFRX Event Driven EUR Index -0.2930% -1.00% 4.52% 1312.40 -0.11% 5.57% -4.67% 1.60% 16.84%
HFRX Relative Value Arbitrage EUR Index -0.1236% -0.44% 3.31% 1116.52 0.28% 3.77% -3.68% 7.35% 38.59%


Concept Indices
Daily Performance as of: 2012-05-14    Monthly Performance Historical Performance
  DTD MTD YTD INDEX
VALUE		 Apr 12 ROR YTD 2011 2010 2009
HFRX Alternative Energy Index - - - - 0.08% 3.20% 6.05% 6.76% 46.83%
HFRX Diversity Index - - - - -0.30% 4.38% -2.12% 8.73% 17.32%
HFRX Opportunity EUR Index -0.0998% -0.85% 2.51% 1238.24 0.25% 3.38% -11.11% 6.24% 21.26%



NOTES:
The names for several HFRX Indices have been updated in order to better reflect how each index falls within the HFR Hedge Fund Strategy Classification system. (October 1, 2011)

HFRX Indices are designed to be representative of the overall composition of the hedge fund industry.

Hedge Fund Research, Inc. ("HFR") utilizes a UCITSIII compliant methodology to construct the HFRX Hedge Fund Indices. The methodology is based on defined and predetermined rules and objective criteria to select and rebalance components to maximize representation of the Hedge Fund Strategy Universe. Construction of each Index employs state-of-the-art quantitative techniques and qualitative analysis. Multi-level screening, cluster analysis, Monte-Carlo simulations and optimization techniques ensure that each Index is a pure representation of its corresponding hedge fund strategy.

The full "HFRX Hedge Fund Indices Defined Formulaic Methodology" may be downloaded here

HFRX index performance profiles reflect respective dates of inception. Index values provided prior to the inception of daily performance, are calculated by means of retroactive and iterative application of the index model. The values for the HFRX EUR, JPY, CHF and GBP FX Indices are calculated by applying to the USD index value the cost of a rolling monthly foreign exchange contract on the relevant currency. All HFRX Indices are re-balanced quarterly.



HFRX Update schedule notes:

Daily performance is available for some, but not all, HFRX Indices. The update frequency of HFRX Index performance can vary by index but all HFRX Indices provide monthly performance returns. HFRX Indices that report on a monthly interval only will be updated on the 1st and the 15th of each month (or nearest business day afterward). When a new month's performance is posted on the 15th (the Mid-Update) - the performance will be posted as an estimate. The Indices performance will then be finalized on the 1st of the following month (the End update).

HFRX Indices that report on a daily interval will post their finalized month-end performance 2 to 3 business days after the last business day of the month. The updated monthly returns will be posted as soon as the values are available.

HFRX Monthly Indices Update Schedule



DISCLAIMER: This information is obtained from sources that Hedge Fund Research, Inc. considers to be reliable; however, no representation is made as to, and no responsibility or liability is accepted for, the accuracy or completeness of the information. Information contained herein is subject to change at any time without notice.


HFRX Indices April 2012 performance notes
Equity markets posted declines in April as investors focused on renewed concerns related to European sovereign debt crisis, upcoming European elections and mixed data on the strength of the global economic recovery. Performance was mixed across sectors, with Energy & Cyclicals posting advances while Financials, Technology and Telecom posted declines. By geographic region, gains in China were offset by declines across France, Spain & Italy. US yields declined as the US yield curve steepened, and the US dollar declined against the Japanese Yen and British Pound, but strengthened against the Euro. Commodities were mixed, with Natural Gas recovering a portion of the previous months' declines. Hedge funds posted a gain in April, with the HFRX Global Hedge Fund Index gaining +0.12%, with contributions from Macro & Relative Value strategies; the HFRX Market Directional Index gained +0.32% for the month..

The HFRX Macro CTA Index posted a gain of +0.43% for April with contributions from systematic and macro discretionary strategies. Short-term trend following strategies gained on fixed income and currency positions, which were partially offset by mixed performance in equities and commodities; the HFRX Systematic Diversified Index posted a gain of +0.48%. Tactical allocation to commodities and currency also led to gains in macro discretionary strategies, which were also partially offset by exposure to Emerging Markets equities and global fixed-income exposure.

The HFRX Relative Value Arbitrage Index posted a gain of +0.29%, the fifth consecutive month of gains, with positive contributions from convertible arbitrage, corporate fixed-income and yield alternative exposure. Yields declined as the US yield curve steepened while credit posted mixed performance, with the HFRX RV Multi-Strategy Index posting a gain of +0.12%. In convertibles, rising volatility and falling yields offset mixed credit markets, with the HFRX Convertible Arbitrage Index gaining +0.07%; Energy Infrastructure also has a positive contribution as MLPs posted strong gains for the month.

The HFRX Equity Hedge Index posted a decline of -0.09% for the month, with positive contributions from both fundamental growth and value strategies offset by mixed performance in Energy and weakness in market neutral strategies. The HFRX Fundamental Growth Index and the HFRX Fundamental Value Index posted gains of +0.33% and +0.15%, respectively, with EH:FG leading all strategies with a gain of +6.54% YTD. The HFRX Equity Market Neutral Index declined by -1.52% with trading, behavioral-finance strategies and factor-based models all posting declines.

The HFRX Event Driven Index posted a decline of -0.10% for April, with a narrow gain in merger arbitrage strategies offset by mixed performance in special situations and distressed strategies. The HFRX Special Situations Index and the HFRX Distressed Index declined by -0.45% and -0.51%, with gains in activist exposure offset by mixed results across other ED sectors & strategies. The HFRX Merger Arbitrage Index posted a gain of +0.05% for the month, with positions in Barnes & Noble, United Technologies and Kinder Morgan contributing to ED results.

Comments reference performance figures for April 30, 2012


Previous notes:

March 2012

February 2012

January 2012

December 2011

November 2011

October 2011

September 2011

August 2011

July 2011

June 2011

May 2011

April 2011











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