hedge fund industry snapshot - citigroup...hedge fund indices returns were higher than the previous...

Hedge Fund Industry SnapshotData as of July 2013

AmericasNew York: +800 773-2889 San Francisco: +415 617-8554

Citi Prime Finance | Market Commentary

www.citigroupgcib.com | Report Date: August 2013

EMEAEMEA: +44 0 207-986-0822

Asia PacHong Kong: +852 2501-8356Tokyo: +813 6270-3165Singapore: +65 6432-1223Australia: +612 8225-6424

This report has been prepared by members of Citi 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.

Table of Contents

Monthly Highlights 1

Hedge Fund Industry Overview AUM, Performance Industry Flows

2

Hedge Fund Stats by Strategy 4

Performance at a Glance Hedge Fund Performance Citi HARP vs. HFRI Fund of Fund Performance Securities Market Performance

5

Short Flows Data US Short Sales & Short Cover by Sector US Short Sales & Short Cover by Industry Group

8

Hedge Fund (Fund Level) Profiles Fund Structure Fund Analytics

11

Risk vs. Return Metrics 13

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

14

Firm Disclaimers and Market Commentary Disclosures 25

Contacts 26

HighlightsPerformance, AUM & Flows Composite hedge fund performance, equal-weighted across funds, was up in July 2013 with performance ranging from +1.01% to +1.40%. Across the major

hedge fund indices returns were higher than the previous month which experienced -1.42% to -1.33% over the same period.

Hedge fund strategy wise, top performing strategies in July 2013 include Equity Long/Short at +2.43%, Distressed +1.83%, Event Driven +1.52% and Equity Market Neutral at +1.27% The lowest performing strategies include Dedicated Short -3.37%, CTA/Managed Futures -0.89%, and Fixed Income Arbitrage at -3.37%.

According to eVestment, industry assets rose for July 2013 increased finishing net positive at +$24.31 billion. Asset growth was attributed mostly from performance gains of +$13.5 billion with net investor flows totaling +$10.8 billion.

Net positive investor flows of +$13.5 billion for July 2013 marks the fifth period of net positive flows YTD. July 2013 flows are higher than the mean monthly flows for 2013 which now stand at +$1.9 billion. July 2012 net flows were -$12.3 billion over the same period

Fund Profiles Across the subset of hedge funds reporting performance and AUM, the monthly median performance for large single funds (>$500 million) was +1.1%,

medium single funds ($100–$500 million) +1.0% and small single funds (<$100 million) +1.2%.

Liquidity terms continued its consistent pattern from the recent reporting periods showing little changes to redemption notice periods with 64% of funds requiring 30 days or less notice for redemption. Across the entire subset of reporting funds, the majority (52%) required no lockup (42%) or less than 1 year lock up (10%).

Consistent throughout recent reporting periods, large funds ( >$500 million AUM) continue to hold a large portion of industry AUM (73%) compared to medium funds ($100–$500 million) at 20% and small funds (<$100 million) holding only 7%.

Leverage, Shorts and Futures Market Positioning On a global basis, we calculate gross leverage (as measured on a mean basis) at 2.0x in July 2013 versus 1.98x in June and 1.98x in May.

Looking across both long leverage and gross leverage, the following strategies showed the highest uses of leverage: Equity Market Neutral (5.94x), Global Macro (3.80x), Convertible Arbitrage (3.40x), and Multi Strategy (3.29x).

Citi US short flows data included in this month’s report show decreased interest in the Consumer Discretionary and Financials sectors. These sectors accounted for 28.98% of short executions and 31.53% of short covers in July vs. 26.84% of short executions and 30.0% of short covers in June 2013.

The large speculator accounts didn’t shift their net positioning much in the month of July in the products that we follow and the net positioning isn’t far from neutral. With rates expected to stay low for some time and the Fed poised to move towards a reduction in their monthly asset purchases it looked to be a “steady as she goes” type of environment during July. Large speculators were flat in their net position in the 10-Year T-note contract, built their net longs in both gold and S&P contracts but did swing back to a net short position in EuroFX by the end of the month.

1

Composite hedge fund performance, equal-weighted across funds, was up in July 2013 with performance ranging from +1.01% to +1.40%. Across the major hedge fund indices returns were higher than the previous month which experienced -1.42% to -1.33% over the same period.

Global financial markets posted strong gains in July as equities recovered from the June losses on strong earnings releases. Equity markets posted gains across regions, sectors and capitalization, with leadership from small cap, Biotechnology, Healthcare & Financials. European equity gains were led by France, Italy, the Netherlands, Spain and Sweden, while Asian gains were led by Australia and Hong Kong as equity volatility declined. The US yield curve steepened as yields increase across mid-to-longer dated maturities rose while shorted dated yields declined for the month, high yield credit tightened over 100 basis points. Energy and Metal commodities gained led by Oil, Gold and Platinum. The US dollar declined against the Euro but was little changed against both the British Pound and Japanese Yen.

Hedge fund strategy wise, top performing strategies in July 2013 include Equity Long/Short at +2.43%, Distressed +1.83%, Event Driven +1.52% and Equity Market Neutral at +1.27% The lowest performing strategies include Dedicated Short -3.37%, CTA/Managed Futures -0.89%, and Fixed Income Arbitrage at -3.37%.

Hedge Fund Industry: AUM, Performance

Source: eVestment; Hedge Fund Research, Inc., © 2012.

Source: HFR, eVestment|HFN.

Industry Performance: July-13 / YTD

Monthly Industry AUM and Performance

Note Pad

MSCI World Index: +5.3%; +14.0% YTD

MSCI EM Index: +1.1%; -8.5% YTD

S&P 500: +5.1%; +18.3% YTD

Citi US BIG Index: 0.13%; +3.5% YTD

S&P GSCI: +4.9%; -0.3% YTD

US Dollar Index: -2.0%; +2.2% YTD

HFN Country Indices Apr-13/ YTD: – Brazil: -1.03% / -7.75%; Australia: -2.40% / -0.67%– China: +2.41%/+4.65%; Japan: +0.56%/+19.22%

2

4.20%

4.76%

4.94%

1.01%

1.40%

1.32%

-0.5% 1.5% 3.5% 5.5%

HFRX Wt

HFR EqWt

HFN EqWt

July-13 2013

-2%

-1%

0%

1%

2%

3%

2,350

2,400

2,450

2,500

2,550

2,600

2,650

2,700

2,750

Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13

Monthly P

erformance (%

)

Indu

stry

AU

M ($

bn)

AUM HFN EqWt HFR EqWt HFRX Wt

Hedge Fund Industry: Change in Industry Assets

Source: eVestment

Source: eVestment|HFN.

According to eVestment, industry assets rose for July 2013 increased finishing net positive at +$24.31 billion. Asset growth was attributed mostly from performance gains of +$13.5 billion with net investor flows totaling +$10.8 billion.

July 2013 marks the fifth month with positive industry performance gains reversing course from June losses of -$49.62 billion. Mean monthly performance gains now stand at +$10.9 billion for 2013 compared to +$9.6 billion for 2012. July 2013 performance was lower than July 2012 performance gains which stand at +$31.9 billion.

Net positive investor flows of +$10.8 billion for July 2013 marks the fifth period of net positive flows YTD. July 2013 flows are higher than the mean monthly flows for 2013 which now stand at +$1.9 billion. July 2012 net flows were -$12.3 billion over the same period.

Total industry AUM now stands at $2.69 trillion for July 2013 an increase of +1.7% from December 2012 and an increase of +6.3% from July 2012.

Composition of Change in AssetsJuly -13 Amounts in ($ Billion)

Monthly Change in Industry Assets and Composition Note Pad

The Citi Prime Finance calculation for gross leverage (as measured on a mean basis) 2.0x in July 2013 versus 1.98x in June and 1.98x in May.

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

3

(75)

(50)

(25)

-

25

50

75

100

125


Chg

in In

dus

Asse

ts ($

bn)

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

$10.8

$13.5

(60) (40) (20) 0 20

Net Investor Flows

Chg due toPerformance

Hedge Fund Stats by Strategy

Note: Hedge fund data is self-reported; each calculation is based on the respective data from funds who have reported for the current period. Breakdown by assets and number of funds updated on a quarterly basis

Source: Citi Prime Finance.

Source: Citi Prime Finance.Source: Citi Prime Finance.


Hedge Fund Strategy Breakdown by Assets 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

4

2.0%

14.0%

0.0%

1.1%

3.4%

30.1%

2.0%

5.6%

11.0%

21.3%

9.5%

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

2.5%

12.7%

0.1%

1.3%

6.4%

32.3%

5.4%

5.6%

10.1%

16.5%

7.0%

Convert Arb

CTA/Managed Futures


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

3.40

2.45

0.92

1.41

1.72

5.94

2.48

2.57

3.80

3.29

Convert Arb


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

1.18%

-0.89%

-3.37%

1.83%

0.55%

2.43%

1.27%

1.52%

0.49%

0.83%

1.15%

Convert Arb

CTA/Managed Futures


Distressed

Emerging Markets

Equity Long/Short


Event Driven

FI Arbitrage

Global Macro

Multi-Strategy

-5%

-4%

-3%

-2%

-1%

0%

1%

2%

3%

4%

5%

Jul-12 Sep-12 Nov-12 Jan-13 Mar-13 May-13 Jul-13

Citi HARP Index

HFRIFOF Index

Citi Liquid Hedge Fund Replicator (HARP)

Jul-13 Jun-13 Jul-12 YTD-13

Citi Harp 0.36% -1.33% 1.09% -0.14%

HFRIFOF 1.05% -1.30% 0.78% 4.52%

Citi HARP Index vs. Benchmark (monthly rolling)

Citi HARP is a liquid investable index, which aims at approximating the performance of the hedge fund sector

Source: Citi and Hedge Fund Research, Inc., © www.hedgefundresearch.comHFRIFOF Index is the HFRI Funds of Funds Composite Index

Annualized Performance:

Last 12-Month

Citi HARP Index

HFRIFOF

Annualised Return 0.51% 7.63%

Annualised Volatility2.78% 2.88%

Sharpe Ratio 0.16 2.62

Correlation 83% -

The purpose of the Index is to approximate in broad termsthe performance of the hedge fund sector by achieving asimilarity between the pattern of the returns of the Indexand the pattern of the returns of a Benchmark - the HFRIFund of Funds Composite Index.

The Index contains weighted components. Thecomponents are a money market component and variousindex components. Each index component represents aclass of asset in which the hedge fund sector is assumedto invest: bond, commodity, equity and foreign exchange.

The weighting within the Index of each component isdetermined monthly. Every month, a multiple linearregression algorithm is used to identify the appropriateweighting.

Source: Citi Prime Finance; FactSet; Citigroup Index LLC.

US Equities(Large Cap vs. Small Cap)

Global Equities Developed vs. Emerging)

Fixed Income(High-Grade vs. High-Yield)

Commodities(US$ Performance)

7

Market Performance

-4%

-2%

0%

2%

4%

6%

8%

7/31/201305/31/20133/29/20131/31/201311/30/20129/28/20127/31/2012-15%

-10%

-5%

0%

5%

10%

15%

20%

7/31/201305/31/20133/29/20131/31/201311/30/20129/28/20127/31/2012

-3%-3%-2%-2%-1%-1%0%1%1%2%2%3%

7/31/201305/31/20133/29/20131/31/201311/30/20129/28/20127/31/2012-15%

-12%

-9%

-6%

-3%

0%

3%

6%

9%

7/31/201305/31/20133/29/20131/31/201311/30/20129/28/20127/31/2012

July-13 June-13 July-12 YTD-13S&P 500 5.1% -1.3% 1.4% 18.3%RUS 2000 7.0% -0.5% -1.4% 22.1%S&P Mid 6.2% -1.8% 0.0% 20.2%

July-13 June-13 July-12 YTD-13MSCI World 5.3% -2.4% 1.3% 14.0%MSCI EM 1.1% -6.3% 2.0% -8.5%

July-13 June-13 July-12 YTD-13Citi US BIG Index 0.1% -1.5% 1.4% -2.9%Citi HY Bond Index 1.9% -2.6% 1.8% 3.5%

July-13 June-13 July-12 YTD-13S&P GSCI 4.9% 0.2% 6.4% -0.3%US-$ Index -2.0% -0.3% 1.2% 2.2%US 2yr Note 0.3% 0.4% 0.2% 1.9%

US Securities Lending Sector Short Flows

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

Short Sale Executions Short Cover Executions

Utilities3.04%

Telecom Services2.66%

Financials12.77%

ConsumerStaples6.12%

Energy9.73%

Consumer Discretionary

16.21%

InformationTechnology

15.83%

Health Care12.39%

Industrials12.10%

Energy9.23%

Utilities3.03%

Telecom Services2.35%

Materials5.33%

Health Care13.43%

Financials14.04%

Information Technology

17.45%

8

Consumer Staples5.67%

Materials5.27%

% Previous Month % Change From Sector Short Flows % Short Execution Short Execution Previous MonthConsumer Discretionary 16.21 14.59 11.1Information Technology 15.83 14.00 13.07Financials 12.77 12.30 3.82Health Care 12.39 15.46 -19.86Industrials 11.12 10.61 4.81Energy 9.73 12.86 -24.34Consumer Staples 6.12 6.96 -12.07Materials 5.27 5.27 0Utilities 3.04 4.34 -29.95Telecom Services 2.66 3.62 -26.52

% Previous Month % Change From Sector Short Flows % Cover Execution Short Cover Previous MonthConsumer Discretionary 17.49 14.93 17.15Information Technology 17.45 12.55 39.04Financials 14.04 15.11 -7.08Health Care 13.43 13.50 -0.52Industrials 12.10 11.51 5.13Energy 9.23 13.12 -29.65Consumer Staples 5.67 7.20 -21.25Materials 5.33 5.83 -8.58Utilities 3.03 3.82 -20.68Telecom Services 2.35 2.44 -3.69

Industrials11.12%

Consumer Discretionary

17.49%

US Securities Lending Industry Group Short Flows

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

Citi Industry Group Short Flows (% Short)

9

% Previous Month % Change From Industry % Short Execution Short Execution Previous MonthEnergy 9.73 12.86 -24.34 Software & Services 9.38 6.48 44.75 Capital Goods 8.38 7.94 5.54Pharmaceuticals, Biotechnology & Life 6.43 10.56 -39.11Retailing 5.98 5.15 16.12Health Care Equioment & Services 5.96 4.91 21.38Materials 5.27 5.27 0.00Diversified Financials 5.10 4.38 16.44Technology Hardware & Equipment 3.75 4.90 -23.47Consumer Services 3.34 2.58 29.46Real Estate 3.10 3.25 -4.62Utilities 3.04 4.34 -29.95Semiconductors & Semiconductor 3.04 2.62 16.03Food Beverage & Tobacco 2.79 4.65 -40.00Telecom Services 2.66 3.62 -26.52Media 2.57 2.41 6.64Consumer Durables & Apparel 2.51 2.87 -12.54Insurance 2.39 2.15 11.16Banks 2.18 2.52 -13.49Household & Personal Products 2.12 0.93 127.96Automobiles & Components 1.89 1.58 19.62Transportation 1.87 1.65 13.33Food & Tables Retailing 1.31 1.39 -5.76Commercial Services & Supplies 0.86 1.02 -15.69

% Previous Month % Change From Industry % Cover Execution Short Cover Previous MonthSoftware & Services 10.35 6.35 62.99Energy 9.23 13.12 -29.65Capital Goods 8.51 8.35 1.92Health Care Equioment & Services 7.07 5.36 31.90Retailing 6.39 5.15 24.08Pharmaceuticals, Biotechnology & Life 6.36 8.14 -21.87Materials 5.33 5.83 -8.58Diversified Financials 5.03 5.61 -10.34Technology Hardware & Equipment 4.26 3.75 13.60Real Estate 3.48 4.37 -20.37Consumer Services 3.46 2.58 34.11Semiconductors & Semiconductor 3.21 2.45 31.02Banks 3.09 2.74 12.77Utilities 3.03 3.82 -20.68Consumer Durables & Apparel 2.79 2.51 11.16Food Beverage & Tobacco 2.77 4.53 -38.85Media 2.77 3.20 -13.44Insurance 2.44 2.38 2.52Telecom Services 2.35 2.44 -3.69Automobiles & Components 2.19 1.49 46.98Transportation 1.98 2.09 -5.26Commercial Services & Supplies 1.62 1.07 51.40Household & Personal Products 1.62 0.84 92.86Food & Stables Retailing 1.37 1.83 -25.14

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Hedge Fund (Fund Level) Profiles

Source: Citi Prime Finance.Note: Hedge fund data is self-reported; each calculation is based on the respective data from funds who have reported for the current period.

On-shore/Off-shore

By Fund Size—$ AUM Redemption Frequency

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

By Fund Age—$ AUM Minimum Investment

Legal Status

Redemption Notice PeriodBy Fund Size—No. of Funds

11

Small:69%

Medium:22%

Large:9%

Small:8%

Medium20%

Large:73%

<= 2 Yrs:17%

2-5 yrs:32%

5+ yrs:51%

<= 2 Yrs:3%

2-5 yrs:21%

> 5 yrs:76%

Under 7:17%

7-30 days:47%

30-60 days:21%

60+ days:15%

< 30 days:23%

Monthly:51%Qtrly:

23%

> Qtrly:3%

< 1 yr:10%

1 -2 yrs:46%

2+ yrs:2%

No L/U:42%

=<250 K42%

$250 K -$5 MM52%

$5+ MM6%

32%

68%

On-shore: Off-shore:

Open-End:92%

Closed-End:8%

Amer:65%

EMEA:31%

ASIA:4%

Hedge Fund (Fund Level) Profiles

Source: Citi Prime Finance.Note: Domiciles, lock-up and redemption metrics updated quarterly. Hedge fund data is self-reported; each calculation is based on the respective data from funds who have reported for the

current period. Median YTD performance is calculated from funds reporting for all underlying periods. “n/m” = Not Meaningful.

Hedge Funds: Large (>$500 Million)

Hedge Funds: Medium ($100–$500 Million)

Hedge Funds: Small (<$100 Million)

12

% of Total

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 4% $1,074 -0.6% 3.2% 72% 98% 1-2 yrs / 76% 7-30 days / 69% Monthly / 56%2-5 yrs 26% $2,182 -2.0% 1.8% 70% 63% 1-2 yrs / 79% 60+ days / 31% Monthly / 40%Over 5 yrs 70% $1,871 -1.6% 4.4% 66% 72% 1-2 yrs / 41% 7-30 days / 32% Monthly / 47% Total 100% $1,935 -1.7% 3.6% 68% 69% 1-2 years / 51% 7-30 days / 34% Monthly / 48%

Hedge Fund Age % of Total

MedianAUM

($MM)


Median YTD

Perform


Off-Shore


PreferredRedemption

Notice/ % of Total


Under 2 yrs 12% $200 -1.3% 2.6% 71% 84% 1-2 yrs / 75% 7-30 days / 52% Under 30 / 51%2-5 yrs 67% $225 -1.6% 3.6% 70% 73% 1-2 yrs / 66% 7-30 days / 41% Monthly / 49%Over 5 yrs 21% $224 -1.0% 5.2% 70% 65% No / 52% 7-30 days / 48% Under 30 / 57% Total 100% $227 -1.2% 5.6% 71% 68% No / 44% 7-30 days / 46% Monthly / 52%

Hedge Fund Age % of Total

MedianAUM

($MM)


Median YTD

Perform


Off-Shore


PreferredRedemption

Notice/ % of Total


Under 2 yrs 13% $39 -1.7% 2.8% 87% 79% 1-2 yrs / 71% 7-30 days / 32% Monthly / 44%2-5 yrs 62% $43 -2.0% 2.1% 64% 78% 1-2 yrs / 63% 7-30 days / 43% Monthly / 52%Over 5 yrs 25% $42 -1.6% 5.3% 68% 65% No / 42% 7-30 days / 55% Monthly / 54% Total 100% $33 -1.7% 4.4% 67% 73% 1-2 yrs / 46% 7-30 days / 50% Monthly / 52%

Risk and Return Metrics

Source: Credit Suisse Dow Jones Index

Risk vs. Return (June 12 – July 13)

Sharpe Ratios (Oct-04 - July-13)

13


Convert Arb

CTA/Mgd Futures

Distressed

Emerging Mkts

Equity L/S

Event Driven

FI Arbitrage

Global Macro

Multi-Strat

-25%-23%-20%-18%-15%-13%-10%-8%-5%-3%0%3%5%8%

10%13%15%18%20%

0.50% 0.75% 1.00% 1.25% 1.50% 1.75% 2.00% 2.25% 2.50%

Ret

urn

Standard Deviation

(0.49)

0.20 0.18

0.31

0.660.45

0.67

0.90 0.97 1.051.17

(0.6)(0.4)(0.2)0.00.20.40.60.81.01.21.4

Dedicated ShortBias

Equity MarketNeutral

CTA/ManagedFutures

EmergingMarkets

EquityLong/Short

FI Arbitrage Convert Arb Global Macro Multi-Strategy Event Driven Distressed

Convertible Arbitrage


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

Note: Hedge fund data is self-reported; each calculation is based on the respective data from funds who have reported for the current period.1. Universe and sample sizes may be small.

Hedge Fund Performance vs. Benchmark(Monthly, LTM)

Leverage Profile(Monthly, LTM)

Hedge Fund Performance by Age1 Hedge Fund Performance by Size1

14

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


1.4%

1.8%

0.6%

Under 2 Years

2 - 5 Years

Over 5 Years

1.5%

1.0%

1.6%

Large($500+ MM)

Medium($100 - $500 MM)

Small(Under $100 MM)

1.0

1.5

2.0

2.5

3.0

3.5

4.0


-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%


July -13 June-13 July-12 YTD-13Convert Arb 1.2% -0.7% 0.5% 6.2%CWB ETF 4.6% -2.3% 1.1% 11.9%

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 2.3% 0.3% 0.9% 1.1% 1.2% -0.7% 1.2% 6.2%

CTA/Managed Futures


Source: Citi Prime Finance; FactSet.

Source: CFTC, Bloomberg, Citi Futures Perspective.Source: Citi Prime Finance.


Hedge Fund Performance vs. BenchmarkLarge Speculator Positions: CFTC Commitment Of Traders (Futures & Options) Report Net of Longs Less Shorts as Percent of Total Open Positions

Hedge Fund Performance by Age

Hedge Fund Performance by Size

Combined S&P/Weighted Mini S&P Contracts US 10-Year Treasury Futures

EuroFX Futures Gold Futures

Last Update: 7/30/13 +2.8% Last Update: 7/30/13 -0.1%

Last Update: 7/30/13 -2.0% Last Update: 7/30/13 +3.6%

15

-0.4%

-0.9%

-0.9%

Under 2 Years

2 - 5 Years

Over 5 Years

-0.4%

-0.2%

-1.1%

Large($500+ MM)

Medium($100 - $500 MM)


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


(5)

(4)

(3)

(2)

(1)

-

1

2

3

4

5

Jan-07 Jan-08 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14

%

prior month-end

(8)

(6)

(4)

(2)

-

2

4

6

8

10


%

prior month end

(30)

(25)

(20)

(15)

(10)

(5)

-

5

10

15

20

25


%

prior month-end

-

5

10

15

20

25


%

prior month-end

July -13 June-13 July-12 YTD-13CTA/Mgd Futures -0.9% -1.8% 2.0% -1.0%S&P GSCI Commodity (SPGSCI) 0.0% -1.8% 6.4% -0.3%DJ-UBS Commodity (DJAGK) 1.4% -4.7% 6.5% -9.4%

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 1.8% -0.1% 0.5% 1.3% -1.9% -1.8% -0.9% -1.0%


Source: Citi Prime Finance. Source: Citi Prime Finance.

Source: Citi Prime Finance; FactSet. Source: Citi Prime Finance.





16


n/m

n/m

0.0%

Under 2 Years

2 - 5 Years

Over 5 Years

n/m

n/m

-3.4%

Large($500+ MM)

Medium($100 - $500 MM)


0.0

0.5

1.0

1.5

2.0

2.5

3.0


-20.0%

-15.0%

-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%


July -13 June-13 July-12 YTD-13Ded Short Bias -3.4% 0.5% 1.7% -17.7%S&P Short ETF (SH) -5.3% 1.4% -1.5% -18.7%Rus 2000 Short ETF (RWM) -7.0% 0.5% 1.2% -23.1%

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median -5.0% 0.5% -3.2% -3.8% -3.3% 0.5% -3.4% -17.7%

Distressed


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





17


2.5%

2.6%

0.1%

Under 2 Years

2 - 5 Years

Over 5 Years

4.2%

1.0%

2.4%

Large($500+ MM)

Medium($100 - $500 MM)


0.0

0.5

1.0

1.5

2.0

2.5

Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%


July -13 June-13 July-12 YTD-13Distressed 1.8% -1.0% 0.9% 9.3%Citi HY Bond Index 1.9% -2.6% 1.8% 0.0%


Emerging Markets







18


1.7%

1.1%

0.3%

Under 2 Years

2 - 5 Years

Over 5 Years

0.0

0.5

1.0

1.5

2.0


-10.0%

-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%

Jul-12 Aug-12 Sep-12 Oct-12 Nov-12 Dec-12 Jan-13 Feb-13 Mar-13 Apr-13 May-13 Jun-13 Jul-13July -13 June-13 July-12 YTD-13

Emerging Mkts 0.5% -4.1% 0.5% 0.9%MSCI EM 1.1% -6.3% 2.0% -8.5%JPM EMBIG Core ETF (EMB) 0.2% -4.4% 3.7% -9.2%DB EM Liquid ETF (PCY) 0.6% -5.2% 4.4% -10.9%

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 3.4% 0.1% -0.5% 1.0% 0.5% -4.1% 0.5% 0.9%

1.6%

0.2%

0.5%

Large($500+ MM)

Medium($100 - $500 MM)


Equity Long/Short







19


2.6%

2.2%

2.5%

Under 2 Years

2 - 5 Years

Over 5 Years

2.7%

1.9%

2.4%

Large($500+ MM)

Medium($100 - $500

MM)

Small(Under $100

MM)

0.60.91.11.41.61.92.12.42.62.9


-5.0%

0.0%

5.0%

10.0%

15.0%

20.0%


July -13 June-13 July-12 YTD-13Eq Long/Short 2.4% -1.6% 0.4% 8.8%Eq Mkt Neutral 1.3% -0.4% 0.3% 4.7%S&P 500 5.1% -1.3% 1.4% 18.3%









20


1.0%

1.3%

1.3%

Under 2 Years

2 - 5 Years

Over 5 Years

0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0


-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%


July -13 June-13 July-12 YTD-13Eq Mkt Neutral 1.3% -0.4% 0.3% 4.7%Eq Long/Short 2.4% -1.6% 0.4% 8.8%LIBOR + 300 bps 0.3% 0.3% 0.3% 1.9%US T-Bill + 300 bps 0.3% 0.3% 0.3% 1.5%

1.7%

0.6%

1.6%

Large($500+ MM)

Medium($100 - $500 MM)



Event Driven







21


1.5%

1.7%

1.0%

Under 2 Years

2 - 5 Years

Over 5 Years

0.0

1.0

2.0

3.0

4.0

5.0

6.0


-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%


July -13 June-13 July-12 YTD-13Event Driven 1.5% -1.2% 0.4% 5.7%The Merger Fund (MERFX) 0.9% -0.3% 0.3% 1.3%AQR Div Arb Fund (ADANX) 0.1% -0.4% 0.3% 1.0%

1.7%

1.2%

1.2%

Large($500+ MM)

Medium($100 - $500 MM)


Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 1.8% -0.2% 1.3% 0.8% 1.7% -1.2% 1.5% 5.7%

FI Arbitrage


Source: Citi Prime Finance; Citigroup Index LLC. Source: Citi Prime Finance.





22


-0.2%

0.7%

0.6%

Under 2 Years

2 - 5 Years

Over 5 Years

0.8%

0.5%

0.5%

Large($500+ MM)

Medium($100 - $500 MM)


0.0

1.0

2.0

3.0

4.0

5.0

6.0


-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%


July -13 June-13 July-12 YTD-13FI Arbitrage 0.5% -1.1% 1.3% 5.1%Citi US BIG Index 0.1% -1.5% 1.4% 0.0%Citi HY Bond Index 1.9% -2.6% 1.8% 0.0%


Global Macro

Source: Citi Prime Finance. Source: Citi Prime Finance; FactSet.

Source: Citi Prime Finance; FactSet. Source: Citi Prime Finance; FactSet.





23


0.9%

0.8%

0.7%

Under 2 Years

2 - 5 Years

Over 5 Years

0.7%

0.5%

0.5%

Large($500+ MM)

Medium($100 - $500 MM)


0.0

1.0

2.0

3.0

4.0

5.0

6.0

7.0


-3.0%

-2.0%

-1.0%

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%


July -13 June-13 July-12 YTD-13Global Macro 0.8% -1.6% 1.2% 4.4%MSCI World 5.3% -2.4% 1.3% 14.0%US$-Index -2.0% -0.3% 1.2% 2.2%

Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec YTDCiti-derived Median 2.2% -0.5% 1.0% 2.3% 0.2% -1.6% 0.8% 4.4%

Multi-Strategy







24


1.8%

1.2%

1.3%

Under 2 Years

2 - 5 Years

Over 5 Years

1.0%

1.1%

0.9%

Large($500+ MM)

Medium($100 - $500

MM)

Small(Under $100

MM)

0.0

1.0

2.0

3.0

4.0

5.0

6.0


-1.0%

-0.5%

0.0%

0.5%

1.0%

1.5%

2.0%

2.5%


July -13 June-13 July-12 YTD-13Multi-Strategy 1.1% 0.0% 1.0% 5.9%


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25

Contacts

For Further Information, Please Contact

Sandy [email protected]

This report has been prepared by members of Citi 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 Market Commentary Disclosures.

26

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