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Global Hedge Fund Index Shows Strong 1Q

Date: Monday, May 8, 2006
Author: HFN Daily Report

The first quarter review of the Lehman Brothers/HFN Global Hedge Fund Index found funds returned on average 5.10% during the first three months of 2006.

Long-short funds comprise the largest portion of the index, with about 33% of hedge fund assets under management. Long-short funds outperformed global macro funds and CTAs first quarter, returning 7.07% asset weighted or 7.67% equal weighted. Among long-short funds, long-biased funds outperformed short-biased and variable-biased funds.

Among relative value funds, statistical arbitrage and event driven funds outperformed cap structure, market neutral and broad relative value funds. Among event driven funds, the Reg D strategy performed the best, returning 8.33%.

Of funds that are geographically specific, emerging markets, which have a 9.18% year-to-date return, surpassed developed market funds. European funds far out-performed the rest of developed markets, however, returning 9.48% asset weighted. Emerging market Europe had the best performance of any region, returning 20.55% asset weighted.

The Global Hedge Index contains 1,562 index-eligible funds. Of these, 174 have more than $500 million in assets under management and 76 have more than $1 billion in assets under management. Since inception, smaller funds have outperformed larger funds, so equal weighted indexes tend to outperform asset weighted indexes.

Lehman Bros. and HedgeFund.net publish a review of the index quarterly. It includes recent hedge fund index analysis by the quantitative portfolio strategies team at Lehman Bros.