The Dow Jones Hedge Fund Strategy Benchmarks finished off a very difficult year down for the month of December with the exception of one strategy.
Merger arbitrage closed out the year with a net-of-fee gain of 1.09% bringing its 2008 performance to -7.73%, the best among the strategies.
The remaining three strategies took heavy losses as a result of a weakening marketplace. Event driven finished the year down -27.69%, while distressed securities was down -36.89%. Lastly, convertible arbitrage lost nearly half of its value finishing with a return of -49.80%.
The equity market neutral and equity long/short benchmarks were suspended at the start of November, and it has not been determined when the calculation of these benchmarks will resume.
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Net-of-fees Performance 2008 |
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December |
Q1 |
Q2 |
Q3 |
Q4 |
2008 |
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-4.01% |
-4.77% |
-1.28% |
-13.72% |
-38.11% |
-49.80% |
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Distressed Securities |
-6.41% |
-5.49% |
-0.08% |
-11.90% |
-24.15% |
-36.89% |
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Event Driven |
-5.07% |
-1.75% |
1.81% |
-8.66% |
-20.86% |
-27.69% |
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Merger Arbitrage |
1.09% |
-0.64% |
1.08% |
-3.13% |
-5.16% |
-7.73% |
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Dow
Jones Wilshire 5000 |
1.73% |
-9.52% |
-1.55% |
-8.67% |
-22.85% |
-37.23% |
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Dow
Jones Wilshire Global Index |
4.01% |
-9.33% |
-1.53% |
-16.67% |
-22.68% |
-42.48% |
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Dow
Jones Corporate Bond Index |
8.29% |
0.88% |
-0.76% |
-5.66% |
7.78% |
1.80% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, gained 1.73% (1.85% on a full-cap basis) in December and ending 2008 with a return of -37.23% (-37.34% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was up 8.29% this month and its cumulative return is up 1.80% for 2008.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, gained 4.01% for the month and finishing the year down 42.48%.
Note: December 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for December 2008 will be available towards the end of January 2009. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
