Citi Prime Finance EMEA · 2011-05-17 · This report has been prepared by members of Citi ICG Analytics and Prime Finance and is not a research report. This report doe s not constitute

This report has been prepared by members of Citi ICG Analytics and Prime Finance and is not a research report. This report does not constitute advice on investments or a solicitation to buy or sell any financial instrument. Please see final pages for Market Commentary Disclosures.

Citi Prime Finance

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www.citigroupgcib.com

Market CommentaryReport Date: April 2010

Citi Prime FinanceHedge Fund Industry SnapshotData as of March 2010

Table of Contents

Monthly Highlights 2

Hedge Fund Industry Overview 3– AUM, Performance– Industry Flows

Hedge Fund Stats by Strategy 5

Performance at a Glance 6– Hedge Fund Performance– Securities Market Performance

Short Flows Data 8– U.S. Short Sales & Short Cover by Sector– U.S. Short Sales & Short Cover by Industry Group

Hedge Fund (Fund Level) Profiles 11– Fund Structure– Fund Analytics

Risk vs. Return Metrics 13

By Strategy 14– Performance vs. Respective Benchmark(s)– Leverage Profile – Hedge Fund Performance by Size– Hedge Fund Performance by Age

Firm Disclaimers and Market Commentary Disclosures 25

Contacts 26

New In This IssueCiti Short Flows Data Pages 8-10

Commitment of Trader Combined S&P/Mini Chart Page 15Citi Long Leverage Data Pages 14, 16-24

1

HighlightsPerformance, AUM & Flows:

Equal-weighted hedge fund composite indices were up in March 2010, posting gains of +2.67% to +2.88%. This brought first-quarter 2010 performance to +2.57% to +2.90% versus +0.17% to +0.36% in first-quarter 2009

Equity strategies continued to benefit from strong global markets. Credit strategies were constrained by lingering concerns about Greek debt. CTA/Managed Futures stabilized in line with rising commodity prices. Emerging Markets strategies and Distressed strategies focused in Emerging Markets benefitted from restructurings in Russia and the Middle East

According to HedgeFund.net (HFN), hedge fund industry AUM ended March 2010 at $2.27 trillion, up from a revised $2.19 trillion in February 2010 and just shy of the level seen October 2008. Despite the rebound, however, Industry AUM remains below the June 2008 peak, which HFN estimates at $2.94 trillion

Additionally, HFN analysis shows that gains in Industry AUM during March 2010 stemmed primarily from performance (+$71.9 billion); new investor flows were (+$6.8 billion.)

While net investor flows were positive each of the last three months (a cumulative +$20 billion), the industry is showing difficulty attracting net new money. Our survey work shows asset raising impacted at the Institutional investor level as contributor bases continue under pressure from sustained higher unemployment. Additionally, also under pressure are high net worth investors grappling with the recession and the threat of higher taxes. We believe these liquidity concerns – and the need for higher cash requirements – are asset raising challenges that are here to stay, at least throughout 2010.

Fund Profiles:

Across the subset of hedge funds reporting performance and AUM, the monthly median performance for both large individual funds (>$500 million) and medium individual funds ($100-$500 million) was +2.6% versus median returns for small individual funds (<$100 million) of +1.9%

From a structural perspective, the focus remains on liquidity. Across the entire subset of reporting funds, 67% required <30 days notice and 68% of funds allowed monthly or better redemptions. The majority of funds (56%) either required no lock-up (44%) or less than a 1-year lock-up (12%.) Whereas our data shows most large funds require a 1-2 year lock-up, the majority of more established (over 5 years) small and medium sized individual funds were the most likely to forego lock-ups as 51% of Medium-sized funds and 49% of Small-sized funds reported “No Lock-up”

Leverage & Cover:

On a global basis, we calculate gross leverage (as measured on a mean basis) at 1.63x in March 2010 versus 1.74x in February 2010 and back in line with January’s 1.65x figure

Both long leverage and gross leverage indications are provided for major strategies beginning this month. Across both measures, Convertible Arbitrage and Multi-Strategy funds continued to display the highest use of leverage

New Citi short flows data included in this month’s report shows the Financial, Consumer Discretionary & Information Technology sectors accounting for 58.0% of short sales and 55.5% of short cover noted during March 2010

2

Hedge Fund Industry: AUM, Performance

Monthly Industry AUM and Performance

Source: Hedge Fund Research, Inc., © 2010; www.hedgefundresearch.com

Composite hedge fund performance, equal-weighted across funds, was up between +2.67% to +2.88% in March 2010. This compares to an increase of +1.49% to +1.66% a year-ago. First-quarter 2010 performance was +2.57% to +2.90% versus +0.17% to +0.36% in 2009

Steady hedge fund composite returns occurred against a backdrop of strong equity markets (S&P 500 +6.0% and MSCI World Index +6.2%) and rising commodity prices (S&P GSCI +1.9%.) Optimism about economic recovery in the U.S. given stabilizing unemployment helped fuel gains but lingering uncertainty about Greece and Eurozone contagion continued to impact Fixed Income/Credit driven markets. Emerging Markets and Distressed strategies posted gains tied to Russian and Middle Eastern restructurings

Industry AUM ending March 2010 is estimated at $2.27 trillion according to HedgeFund.net – up from February’s revised $2.19 trillion and back to levels last seen in October 2008. Depending on the source, estimates of industry AUM range from $1.7 to $2.3 trillion—the highest levels since the industry peak noted in Q2 2008

Industry Performance: Mar-10/Mar-09

Note Pad: MSCI World Index +6.2% March; Up 3.4% Q1 2010; MSCI Emerging Markets Index: +8.1% in March; Up 2.5% Q1 2010

S&P 500: +6.0% March; +5.4% Q1 2010

Citi US BIG Index: -0.3% in March; +1.5% Q1 2010

S&P GSCI: +1.9% March; -0.9% Q1 2010

U.S. Dollar Index: +0.9% March; +4.1% Q1 2010

HFN Country Indices (March/Q1 2010): Brazil +1.19%/-0.30%; Russia+7.89%/+10.04%; India: +5.93%/+3.29%; China: +2.44%/-1.23%

1,400

1,500

1,600

1,700

1,800

1,900

2,000

2,100

2,200

2,300

Mar-09 Apr-09 May-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 Mar-10

Indu

stry

AU

M ($

bn)

-2%

-1%

0%

1%

2%

3%

4%

5%

6%

Monthly P

erformance (%

)

AUM (bn) HFN EqWt HFRI EqWt HFRX Wt

Mar-10 Mar-09

Source: HedgeFund.net (HFN)

-0.03%1.38%

2.67%

2.88%

1.66%

1.49%

-2.0% 0.0% 2.0% 4.0%

HFRX Wt

HFRI EqWt

HFN EqWt

3

Hedge Fund Industry: Change in Industry AssetsAccording to HFN, the estimated change in industry assets for March 2010 was +$78.7 billion. Gains were primarily due to performance (+$71.9 billion)

The $71.9 billion AUM gain due to Performance in the month is the second highest seen since May 2009 ($98.8 billion.) Of note, other than a slight dip seen in January 2010, Performance has been a positive contributor to Industry AUM in 12 of the past 13 months—cumulatively posting gains of +$432.5 billion over that period

Investor difficulties in raising assets remained evident in March as net investors flows were only +$6.8 billion. While positive for 10 of the past 11 months (May 2009 – March 2010), cumulative net investor flows were only +$157 billion. The Industry has much to recover given the -$677 billion decline seen in the October 2008 – April 2009 period

HFN estimates industry AUM at $2.27 trillion for March 2010—up 31% from March 2009’s $1.73 trillion figure and just slightly under the level seen in October 2008

Monthly Change in Industry Assets and Composition


Composition of Change in Assets: Mar-10 Amounts in ($ bn)

Note Pad:

The Citi Prime Finance calculation of end-March 2010 aggregate gross leverage (as measured on a mean basis) was 1.63x, down from 1.74x at end-February

Gross leverage (mean): defined as sum of (LMV + abs SMV) / Net Equity


(75)

(50)

(25)

-

25

50

75

100

125

M ar-09 Apr-09 M ay-09 Jun-09 Jul-09 Aug-09 Sep-09 Oct-09 Nov-09 Dec-09 Jan-10 Feb-10 M ar-10

Cha

nge

in In

dust

ry A

sset

s ($

bn)

Chg due to Performance Net Investor Flows Total Change in Indus Assets

$6.8

$71.9

0 15 30 45 60 75 90

Net InvestorFlows

Chg due toPerformance

4

Hedge Fund Stats by Strategy

Hedge Fund Strategy Breakdown by Assets

Note: Hedge fund data is self-reported; each calculation is based on the respective data available for the reporting period

Hedge Fund Strategy Breakdown by Number of Funds

Hedge Fund Performance by Strategy Hedge Fund Leverage Ratios by StrategyGross Leverage (Mean): Defined as the sum of (LMV + abs SMV) / Net Equity

Source: Citi ICG Analytics Source: Citi ICG Analytics

Source: Citi ICG Analytics Source: Citi Prime Finance

1.3%

14.2%

0.1%

2.2%

2.5%

30.9%

4.1%

13.0%

11.2%

12.4%

8.1%

Convert Arb

CTA/Managed Futures

Dedicated Short Bias

Distressed

Emerging Markets

Equity Long/Short

Equity Market Neutral

Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

1.3%

13.7%

0.5%

2.1%

3.6%

42.4%

5.0%

5.8%

9.8%

11.5%

4.4%

Convert Arb

CTA/Managed Futures


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

2.3%

1.4%

-4.9%

2.8%

3.5%

3.1%

0.7%

2.3%

1.2%

1.7%

1.5%

Convert Arb

CTA/Managed Futures


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

3.9

2.0

2.0

1.3

1.8

3.4

3.1

4.6

3.2

4.8

Convert Arb


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

5

Monthly Performance by Strategy

Monthly Median:Trailing 60 Month Median:

CTA/Managed Futures

Dedicated Short Bias Distressed

Equity Long/Short Equity Market Neutral Event Driven

FI Arbitrage Global Macro Multi-Strategy

Emerging Markets

Convertible Arbitrage

Source: Citi ICG AnalyticsNote: Hedge fund data is self-reported; each calculation is based on the respective data available for the reporting period

0%

2%

4%

6%

8%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10-2%

0%

2%

4%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10

-8%-6%-4%-2%0%2%4%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-100%

2%

4%

6%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10-2%

0%2%

4%6%

8%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10

-2%

0%

2%

4%

6%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10-2%

0%

2%

4%

6%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-100%

2%

4%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10

0%

1%

2%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10-2%

0%

2%

4%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-100%

1%

2%

3%

3 4 5 6 7 8 9 10 11 12 1 2 3M ar-09 M ar-10

M ar- 10 F eb - 10 M ar- 0 92.3% 0.4% 1.9%

0.92% 0.84% 0.45%

M ar- 10 F eb - 10 M ar- 0 91.4% 0.6% -0.7%

0.61% 0.48% 0.55%

M ar- 10 F eb - 10 M ar- 0 9-4.9% -1.7% -3.2%

0.17% 0.26% 0.36%

M ar- 10 F eb - 10 M ar- 0 92.8% 0.6% 0.0%

0.93% 0.90% 0.67%

M ar- 10 F eb - 10 M ar- 0 93.5% 0.3% 2.4%

1.06% 1.01% 1.08%

M ar- 10 F eb - 10 M ar- 0 93.1% 0.4% 1.8%

1.04% 0.95% 0.81%

M ar- 10 F eb - 10 M ar- 0 90.7% 0.3% 0.6%

0.58% 0.57% 0.60%

M ar- 10 F eb - 10 M ar- 0 92.3% 0.6% 1.1%

0.82% 0.80% 0.71%

M ar- 10 F eb - 10 M ar- 0 91.2% 0.5% 0.6%

0.70% 0.70% 0.62%

M ar- 10 F eb - 10 M ar- 0 91.7% 0.3% 0.7%

0.65% 0.60% 0.56%

M ar- 10 F eb - 10 M ar- 0 91.5% 0.7% 0.9%

0.82% 0.80% 0.74%

6

Market Performance

Global Equities (Developed vs. Emerging)US Equities (Large Cap vs. Small Cap)

Commodities (US$ performance)Fixed Income (High-Grade vs. High-Yield)

Source: Citi ICG Analytics; FactSet; Citigroup Index LLC; Altman-NYU Salomon Center defaulted Debt Security Indexes;

-10%

-5%

0%

5%

10%

15%

20%


Mon

thly

Per

form

ance

-15%

-10%

-5%

0%

5%

10%

15%

20%


Mon

thly

Per

form

ance

-4%

-2%

0%

2%

4%

6%

8%

10%

12%

14%


Mon

thly

Per

form

ance

-9%-6%

-3%0%3%6%

9%12%15%

18%21%


Mon

thly

Per

form

ance

Mar-10 Feb-10 Mar-09 YTD-10S&P 500 6.0% 3.1% 8.8% 5.4%RUS 2000 8.1% 4.5% 8.9% 8.9%S&P Mid 7.1% 5.2% 9.0% 9.1%

Mar-10 Feb-10 Mar-09 YTD-10MSCI World 6.2% 1.4% 7.6% 3.4%MSCI EM 8.1% 0.4% 14.4% 2.5%

Mar-10 Feb-10 Mar-09 YTD-10Citi US BIG Index -0.3% 0.3% 1.4% 1.5%Citi HY Bond Index 2.9% -0.1% 3.5% 4.0%Altman Defaulted 7.4% 1.5% 4.5% 14.4%

Mar-10 Feb-10 Mar-09 YTD-10S&P GSCI 1.9% 5.6% 4.5% -0.9%US-$ Index 0.9% 1.1% -2.9% 4.1%US 2yr Note 1.0% 0.8% 0.8% 0.9%

7

U.S. Securities Lending Sector Short FlowsShort Sale Executions Short Cover Executions

% Previous Month % Change From Sector Short Flows % Short Execution Short Execution Previous MonthConsumer Discretionary 24.54 24.34 0.82Information Technology 17.08 16.66 2.52Financials 16.41 16.69 -1.68Energy 11.76 10.39 13.19Health Care 8.28 8.95 -7.49Industrials 7.86 7.87 -0.13Materials 7.53 8.10 -7.04Consumer Staples 5.09 4.89 4.09Telecom Services 0.96 1.04 -7.69Utilities 0.49 1.07 -54.21

Source: S&P (GICS); Citi U.S. Securities Lending. Executions of shorts and short covers settled at Citi Prime Finance based on Market Value

% Previous Month % Change From Sector Short Flows % Cover Execution Short Cover Previous MonthFinancials 19.88 17.18 15.72Information Technology 18.60 17.48 6.41Consumer Discretionary 16.98 18.55 -8.46Health Care 13.25 11.48 15.42Industrials 12.36 11.95 3.43Energy 6.75 10.92 -38.19Materials 6.17 6.50 -5.08Consumer Staples 3.32 3.89 -14.65Telecom Services 1.42 1.01 40.59Utilities 1.27 1.04 22.12

Consumer Discretionary24.54%

Information Technology

17.08%

Financials16.41%

Utilities 0.49%

Telecom Services 0.96%

Consumer Staples 5.09%

Materials 7.53%

Industrials 7.86%

Health Care 8.28%

Energy 11.76%

Financials19.88%

Information Technology

18.60%

Consumer Discretionary16.98%

Utilities 1.27%

Telecom Services 1.42%

Consumer Staples 3.32%

Materials 6.17%

Energy 6.75%

Industrials 12.36%

Health Care 13.25%

8

U.S. Securities Lending Industry Group Short FlowsCiti Industry Group Short Flows

% Previous Month % Change From Industry % Short Execution Short Execution Previous MonthEnergy 11.76 10.39 13.19Consumer Services 8.91 9.78 -8.90Software & Services 8.26 8.07 2.35Materials 7.53 8.10 -7.04Retailing 7.33 6.64 10.39Diversified Financials 5.86 6.31 -7.13Insurance 5.71 7.40 -22.84Capital Goods 5.39 5.67 -4.94Technology Hardware & Equipment 4.60 4.54 1.32Pharmaceuticals, Biotechnology & Life 4.44 4.81 -7.69Semiconductors & Semiconductor 4.22 4.05 4.20Health Care Equipment & Services 3.83 4.14 -7.49Food Beverage & Tobacco 3.56 2.69 32.34Automobiles & Components 3.22 3.03 6.27Consumer Durables & Apparel 2.74 2.35 16.60Banks 2.54 1.33 90.98Media 2.34 2.54 -7.87Real Estate 2.30 1.66 38.55Transportation 1.90 1.80 5.56Household & Personal Products 1.02 1.21 -15.70Telecom Services 0.96 1.04 -7.69Commercial Services & Supplies 0.56 0.40 40.00Food & Staples Retailing 0.52 0.99 -47.47Utilities 0.49 1.07 -54.21

% Previous Month % Change From Industry % Cover Execution Short Cover Previous MonthSoftware & Services 9.02 8.28 8.94Capital Goods 7.67 8.19 -6.35Pharmaceuticals, Biotechnology & Life 7.10 5.42 31.00Energy 6.75 10.92 -38.19Consumer Services 6.46 6.39 1.10Diversified Financials 6.38 3.51 81.77Materials 6.17 6.50 -5.08Health Care Equipment & Services 6.16 6.07 1.48Technology Hardware & Equipment 5.86 5.34 9.74Real Estate 5.46 5.61 -2.67Insurance 4.78 6.56 -27.13Retailing 4.24 4.87 -12.94Transportation 3.97 2.50 58.80Semiconductors & Semiconductor 3.72 3.85 -3.38Banks 3.26 1.49 118.79Automobiles & Components 2.99 2.76 8.33Media 1.74 2.45 -28.98Food Beverage & Tobacco 1.71 1.98 -13.64Consumer Durables & Apparel 1.54 2.07 -25.60Telecom Services 1.42 1.01 40.59Utilities 1.27 1.04 22.12Food & Staples Retailing 1.06 0.52 103.85Commercial Services & Supplies 0.71 1.26 -43.65Household & Personal Products 0.60 1.39 -56.83

% S

hort


9

% Short Executions % Short Executions % Change From % Short Cover % Short Cover % Change FromDescription This Month From Last Month Last Month This Month From Last Month Last MonthSectorEnergy 11.76 10.39 13.19 6.75 10.92 -38.19Materials 7.53 8.10 -7.04 6.17 6.50 -5.08Industrials 7.86 7.87 -0.13 12.36 11.95 3.43Consumer Discretionary 24.54 24.34 0.82 16.98 18.55 -8.46Consumer Staples 5.09 4.89 4.09 3.32 3.89 -14.65Health Care 8.28 8.95 -7.49 13.25 11.48 15.42Financials 16.41 16.69 -1.68 19.88 17.18 15.72Information Technology 17.08 16.66 2.52 18.60 17.48 6.41Telecommunication Services 0.96 1.04 -7.69 1.42 1.01 40.59Utilities 0.49 1.07 -54.21 1.27 1.04 22.12

Industry GroupEnergy 11.76 10.39 13.19 6.75 10.92 -38.19Materials 7.53 8.10 -7.04 6.17 6.50 -5.08Capital Goods 5.39 5.67 -4.94 7.67 8.19 -6.35Commercial Services & Supplies 0.56 0.40 40.00 0.71 1.26 -43.65Transportation 1.90 1.80 5.56 3.97 2.50 58.80Automobiles & Components 3.22 3.03 6.27 2.99 2.76 8.33Consumer Durables & Apparel 2.74 2.35 16.60 1.54 2.07 -25.60Consumer Services 8.91 9.78 -8.90 6.46 6.39 1.10Media 2.34 2.54 -7.87 1.74 2.45 -28.98Retailing 7.33 6.64 10.39 4.24 4.87 -12.94Food & Staples Retailing 0.52 0.99 -47.47 1.06 0.52 103.85Food Beverage & Tobacco 3.56 2.69 32.34 1.71 1.98 -13.64Household & Personal Products 1.02 1.21 -15.70 0.60 1.39 -56.83Health Care Equipment & Services 3.83 4.14 -7.49 6.16 6.07 1.48Pharmaceuticals,Biotechnology & Life Sciences 4.44 4.81 -7.69 7.10 5.42 31.00Banks 2.54 1.33 90.98 3.26 1.49 118.79Diversified Financials 5.86 6.31 -7.13 6.38 3.51 81.77Insurance 5.71 7.40 -22.84 4.78 6.56 -27.13Real Estate 2.30 1.66 38.55 5.46 5.61 -2.67Software & Services 8.26 8.07 2.35 9.02 8.28 8.94Technology Hardware & Equipment 4.60 4.54 1.20 5.86 53.34 9.74Semiconductors & Semiconductor Equipment 4.22 4.05 4.20 3.72 3.85 -3.38Telecommunication Services 0.96 1.04 -7.69 1.42 1.01 40.59Utilities 0.49 1.07 -54.21 1.27 1.04 22.12

U.S. Securities Lending Short Flows SummaryCiti Short Flows: March 2010


10

Hedge Fund (Fund Level) ProfilesBy Fund Size—No. of Funds Redemption Notice Period On-shore/Off-shore

By Fund Size—$ AUM Redemption Frequency Legal Status

By Fund Age—No. of Funds Lock-Up Domicile (by $ AUM)

By Fund Age—$ AUM Minimum Investment

Source: Citi ICG AnalyticsNote: Hedge fund data is self-reported; each calculation is based on the respective data available for the reporting period

Medium:22%

Large:8%

Small:70%

30-60 days:20%

7-30 days:50%

Under 7:17%

60+ days:13%

On-shore:43%Off-

shore:57%

Small:11%

Large:63%

Medium:26%

Monthly:53%

< 30 days:15%

> Qtrly:4%Qtrly:28%

Open-End:91%

Closed-End:9%

5+ yrs:46%

2-5 yrs:33%

<= 2 Yrs:21%

< 1 yr:12%

2+ yrs:2%

1 -2 yrs:42%

No L/U:44%

Amer:66%ASIA:

5%

EMEA:29%

> 5 yrs:73%

2-5 yrs:20%

<= 2 Yrs:7%

$5+ MM5%

=<250 K48%

$250 K - $5 MM47%

11

Hedge Fund (Fund Level) ProfilesHedge Funds: Large (>$500 MM)

Hedge Funds: Medium ($100 – $500 MM)

Hedge Funds: Small (<$100 MM)

Source: Citi ICG AnalyticsNote: Hedge fund data is self-reported; each calculation is based on the respective data available for the reporting period. Median YTD performance is calculated from funds reporting for all underlying periods. - “n/m” = Not Meaningful.

Hedge Fund Age

% ofTotal Funds

MedianAUM

($MM)

Median Monthly Perform

Median YTD

Perform

Domicile:AmericasRegion

Off-Shore

Preferred Lock-Up /% of Total

PreferredRedemption

Notice/ % of Total

PreferredRedemptionFrequency/% of Total

Under 2 yrs 6% $673 1.6% 1.8% 87% 53% n/m n/m Monthly / 45%2-5 yrs 18% $715 1.6% 2.3% 72% 74% 1-2 yrs / 43% 7-30 days / 31% Monthly / 52%Over 5 yrs 77% $915 2.3% 2.7% 70% 65% 1-2 yrs / 44% 7-30 days / 36% Monthly / 49% Total 100% $869 2.2% 2.6% 71% 66% 1-2 yrs / 44% 7-30 days / 35% Monthly / 49%

Hedge Fund Age

% ofTotal Funds

MedianAUM

($MM)


Median YTD

Perform


Off-Shore


PreferredRedemption

Notice/ % of Total


Under 2 yrs 12% $166 2.1% 3.4% 61% 64% 1-2 yrs / 52% 7-30 days / 47% Monthly / 56%2-5 yrs 29% $183 1.8% 2.1% 68% 68% 1-2 yrs / 51% 7-30 days / 44% Monthly / 50%Over 5 yrs 59% $195 2.4% 2.7% 72% 61% No / 51% 7-30 days / 50% Monthly / 50% Total 100% $186 2.2% 2.6% 70% 63% No / 45% 7-30 days / 48% Monthly / 51%

Hedge Fund Age

% ofTotal Funds

MedianAUM

($MM)


Median YTD

Perform


Off-Shore


PreferredRedemption

Notice/ % of Total


Under 2 yrs 20% $14 1.8% 2.1% 58% 63% 1-2 yrs / 54% 7-30 days / 39% Monthly / 55%2-5 yrs 36% $20 1.8% 1.7% 68% 57% 1-2 yrs / 44% 7-30 days / 50% Monthly / 56%Over 5 yrs 44% $23 2.3% 2.0% 76% 50% No / 49% 7-30 days / 57% Monthly / 51% Total 100% $20 2.0% 1.9% 70% 55% No / 45% 7-30 days / 52% Monthly / 54%

12

Risk and Return MetricsSharpe Ratios (Jun-94 – Mar-10)

Source: Citi ICG Analytics

Risk vs. Return (Jan-09 – Mar-10)

Source: Credit Suisse Tremont

(0.39)

0.17 0.24 0.24 0.29

0.590.68

0.85 0.87

1.14 1.18

(0.5)

0.0

0.5

1.0

1.5

DedicatedShort Bias

Equity MarketNeutral

CTA/ManagedFutures

FI Arbitrage EmergingMarkets

Convert Arb EquityLong/Short

Multi-Strategy Global Macro Event Driven Distressed

Convert Arb

CTA/Managed Futures


Distressed Emerging Markets

Equity Long/Short


Event DrivenFI Arbitrage

Global MacroMulti-Strategy

-45%

-30%

-15%

0%

15%

30%

45%

0.0% 0.5% 1.0% 1.5% 2.0% 2.5% 3.0%

Standard Deviation

Ret

urn

13

Convertible Arbitrage

Leverage Profile (Monthly, LTM)Hedge Fund Performance vs. Benchmark (Monthly, LTM)

Hedge Fund Performance by Age (1) Hedge Fund Performance by Size (1)

Note: Hedge fund data is self-reported; each calculation is based on the respective data available for the reporting period. (1) Universe and sample sizes may be small


Source: Citi ICG Analytics; FactSet Source: Citi Prime Finance

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 0.5% 0.4% 2.3% 3.2%

-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%


Mar-10 Feb-10 Mar-09 YTD-10Convert Arb 2.3% 0.4% 1.9% 3.2%CWB ETF 4.3% 2.9% n/a 4.2%

Gross Leverage (Mean): Defined as the sum of (LMV + abs SMV) / Net EquityLMV Leverage (Mean): Defined as Long Market Value / Net Equity

1.0

1.5

2.0

2.5

3.0

3.5

4.0

4.5


4.3%

1.7%

2.3%

Under 2 Years

2 - 5 Years

Over 5 Years

2.1%

2.1%

2.0%

Large ($500+ MM)

Medium ($100 - $500 MM)

Small(Under $100 MM)

14

(6)

(5)

(4)

(3)

(2)

(1)

-

1

2

3

4

Jun-99 Oct-00 Mar-02 Jul-03 Dec-04 Apr-06 Sep-07 Jan-09 Jun-10

%

Source: CFTC, Bloomberg & Citi Futures Perspective

Last Update as of 3/30/10 = - 0.7%

CTA/Managed Futures

Hedge Fund Performance vs. Benchmark (Monthly, LTM)


Hedge Fund Performance by Age

Hedge Fund Performance by Size

CFTC Commitment of Trader (Futures & Options) ReportNet of Long less Shorts as a % of Total Open Positions

Combined S&P and Weighted Mini S&P Contracts

Net Large Speculator Positions: S&P Futures

Net Large Speculator Positions: U.S. 10-Year Treasury FuturesCFTC Commitment of Trader (Futures & Options) Report Net of Long less Shorts as a % of Total Open Positions



Source: Citi ICG Analytics; FactSet

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median -1.6% 0.6% 1.4% 0.3%

-10.0%

-5.0%0.0%

5.0%

10.0%

15.0%20.0%

25.0%


Mar-10 Feb-10 Mar-09 YTD-10CTA/Mgd Futures 1.4% 0.6% -0.7% 0.3%S&P GSCI Commodity (SPGSCI) 1.9% 5.6% 4.5% -0.9%DJ-UBS Commodity (DJAGK) -1.3% 3.7% 3.6% -5.1%

1.4%

1.1%

1.4%

Under 2 Years

2 - 5 Years

Over 5 Years

2.0%

1.4%

1.4%

Large ($500+ MM)

Medium ($100 - $500 MM)

Small(Under $100 MM) (8)

(6)

(4)

(2)

-

2

4

6

8

10

12

Jun-99 Oct-00 Mar-02 Jul-03 Dec-04 Apr-06 Sep-07 Jan-09 Jun-10

%

Source: CFTC, Bloomberg & Citi Futures Perspective

Last Update 3/30/10 = -6.8%

15






Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 1.7% -1.7% -4.9% -4.8%

-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%


Mar-10 Feb-10 Mar-09 YTD-10Ded Short Bias -4.9% -1.7% -3.2% -4.8%S&P Short ETF (SH) -6.0% -3.3% -9.0% -5.8%Rus 2000 Short ETF (RWM) -7.9% -4.8% -11.2% -9.4%



-3.9%

-6.2%

n/mUnder 2 Years

2 - 5 Years

Over 5 Years -4.0%

n/m

n/m

Large ($500+ MM)

Medium ($100 - $500 MM)


0.0

0.5

1.0

1.5

2.0

2.5


16

Distressed




Source: Citi ICG Analytics; Citigroup Index LLC; Altman-NYU Salomon Center Source: Citi Prime Finance


-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%


Mar-10 Feb-10 Mar-09 YTD-10Distressed 2.8% 0.6% 0.0% 5.4%Citi HY Bond Index 2.9% -0.1% 3.5% 4.0%Altman Defaulted Index 7.4% 1.5% 4.5% 14.4%



3.3%

2.8%

1.9%

Under 2 Years

2 - 5 Years

Over 5 Years

3.3%

2.7%

2.6%

Large ($500+ MM)

Medium ($100 - $500 MM)


0.0

0.5

1.0

1.5

2.0

2.5


17

Emerging Markets

Hedge Fund Performance by Age Hedge Fund Performance by Size





-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


Mar-10 Feb-10 Mar-09 YTD-10Emerging Mkts 3.5% 0.3% 2.4% 3.3%MSCI EM 8.1% 0.4% 14.4% 2.5%JPM EMBIG Core ETF (EMB) 2.6% 1.3% 5.1% 3.4%DB EM Liquid ETF (PCY) 3.3% 1.4% 3.7% 4.3%


0.0

0.5

1.0

1.5

2.0



2.1%

6.0%

3.4%

Under 2 Years

2 - 5 Years

Over 5 Years

4.0%

4.9%

3.3%

Large ($500+ MM)

Medium ($100 - $500 MM)


18

Equity Long/Short






-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


Mar-10 Feb-10 Mar-09 YTD-10Eq Long/Short 3.1% 0.4% 1.8% 2.9%Eq Mkt Neutral 0.7% 0.3% 0.6% 1.2%S&P 500 6.0% 3.1% 8.8% 5.4%


0.5

0.8

1.0

1.3

1.5

1.8

2.0



3.0%

2.7%

3.3%

Under 2 Years

2 - 5 Years

Over 5 Years

3.0%

2.7%

3.2%

Large ($500+ MM)

Medium ($100 - $500 MM)


19







-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%


Mar-10 Feb-10 Mar-09 YTD-10Eq Mkt Neutral 0.7% 0.3% 0.6% 1.2%Eq Long/Short 3.1% 0.4% 1.8% 2.9%LIBOR + 300 bps 0.3% 0.3% 0.3% 0.8%US T-Bill + 300 bps 0.3% 0.3% 0.3% 0.8%


0.0

1.0

2.0

3.0

4.0



0.7%

0.9%

0.6%

Under 2 Years

2 - 5 Years

Over 5 Years

0.5%

0.7%

0.7%

Large ($500+ MM)

Medium ($100 - $500 MM)


20

Event Driven






-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%


Mar-10 Feb-10 Mar-09 YTD-10Event Driven 2.3% 0.6% 1.1% 3.3%The Merger Fund (MERFX) 0.5% 0.4% 2.6% 1.7%AQR Div Arb Fund (ADANX) 0.5% -0.1% 0.8% 0.4%


0.0

1.0

2.0

3.0

4.0

5.0



2.2%

2.1%

2.3%

Under 2 Years

2 - 5 Years

Over 5 Years

3.3%

2.1%

2.2%

Large ($500+ MM)

Medium ($100 - $500 MM)


21

FI Arbitrage



Source: Citi ICG Analytics; Citigroup Index LLC Source: Citi Prime Finance


-4.0%

-2.0%

0.0%

2.0%

4.0%

6.0%

8.0%

10.0%

12.0%

14.0%


Mar-10 Feb-10 Mar-09 YTD-10FI Arbitrage 1.2% 0.5% 0.6% 2.8%Citi US BIG Index -0.3% 0.3% 1.4% 1.5%Citi HY Bond Index 2.9% -0.1% 3.5% 4.0%


0.0

1.0

2.0

3.0

4.0

5.0

6.0



1.5%

1.0%

1.5%

Under 2 Years

2 - 5 Years

Over 5 Years

1.5%

1.5%

1.0%

Large ($500+ MM)

Medium ($100 - $500 MM)



22

Global Macro



Source: Citi ICG Analytics; FactSet; Citi Prime Finance Source: Citi ICG Analytics; FactSet; Citi Prime Finance

Source: Citi ICG Analytics; FactSet Source: Citi ICG Analytics; FactSet; Citi Prime Finance


-8.0%-6.0%-4.0%-2.0%0.0%2.0%4.0%6.0%8.0%

10.0%12.0%14.0%


Mar-10 Feb-10 Mar-09 YTD-10Global Macro 1.7% 0.3% 0.7% 1.9%MSCI World 6.2% 1.4% 7.6% 3.4%US$-Index 0.9% 1.1% -2.9% 4.1%


0.0

1.0

2.0

3.0

4.0

5.0



1.3%

1.7%

2.0%

Under 2 Years

2 - 5 Years

Over 5 Years

2.6%

1.8%

1.6%

Large ($500+ MM)

Medium ($100 - $500 MM)


23

Multi-Strategy




Source: Citi ICG Analytics Source: Citi Prime Finance


0.0%

0.5%

1.0%

1.5%

2.0%

2.5%


Mar-10 Feb-10 Mar-09 YTD-10Multi-Strategy 1.5% 0.7% 0.9% 2.9% Gross Leverage (Mean): Defined as the sum of (LMV + abs SMV) / Net Equity

LMV Leverage (Mean): Defined as Long Market Value / Net Equity

0.0

1.0

2.0

3.0

4.0

5.0



1.9%

0.8%

1.8%

Under 2 Years

2 - 5 Years

Over 5 Years

1.3%

1.8%

1.2%

Large ($500+ MM)

Medium ($100 - $500 MM)


24

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