HFRI Indices 2008 Re-classification

HFR reclassified its universe of hedge funds effective as of the publication of the January 2008 performance of the HFRI Indices.

In 2008 Hedge Fund Research, Inc. published a new accurate, relevant, robust and contemporaneous Strategy Classification System for all investment managers present in the HFR Database. The classifications reflect the evolution of strategic trends in the hedge fund industry, cognizant of the reality that over market cycles the classification system is likely to continue to evolve, as new opportunities attract investor capital. The objective of the system is to define pure strategy and sub-strategy buckets which can be used to characterize pure strategy return at each level of analysis, to be used for purposes of quantitative index construction.

All indices are now directly derived from a fund’s strategy, sub-strategy and geographic designation in HFR Database. Please note that while there were changes to the HFRI Index names and a change to the Index constituencies, HFR did not restate the past performance of any index. However, in order to effect the reclassification system, the constituents of certain indices were merged into other indices as appropriate, according to their new strategy classification (see table below).

NOTES:

• HFR did not restate the past performance of any index.
• The constituents of eight previously-published indices were merged into other indices.