The Dow Jones Hedge Fund Strategy Benchmarks were developed to meet the needs of institutional investors who invest in hedge fund strategies. The Benchmarks track the performance of the following five hedge fund strategies: convertible arbitrage, distressed securities, equity market neutral, event driven and merger arbitrage. The Benchmarks are characterized by “style pure” hedge fund managers within each of the strategies, position transparency, daily valuation and ongoing risk controls to meet the needs of institutional investors.
Using December ’03 estimates the five Benchmarks showed returns of 11.81% (convertible arbitrage), 23.44% (distressed securities), 18.07% (event driven) and 7.98% (merger arbitrage) for the whole year of 2003, and -0.66% (equity market neutral) from June 30 to December 31, 2003.
Daily index values of the Dow Jones Hedge Fund Strategy Benchmarks will be published in The Wall Street Journal and the Dow Jones Indexes Web site at www.djindexes.com. Weekly index values will be published in Barron’s. Previously, data for the Benchmarks was available only on a monthly basis. The Benchmarks have a base date of December 31, 2001, except for the Dow Jones Equity Market Neutral Benchmark, which started on June 30, 2003.
Dow Jones Hedge Fund Indexes, which is an affiliate of Dow Jones Indexes, assumed ownership rights with respect to the Benchmark data from Lyra Capital LLC in October 2003 and now maintains and publishes the series of investable hedge fund strategy benchmark indexes
To ensure that the Benchmarks continue to meet investors’ expectations and the objectives in the selection and deletion of Benchmark components, an Advisory Committee oversees and advises Dow Jones Hedge Fund Strategy Benchmarks.
Please click here for details of the Dow Jones Indexes Hedge Fund strategy benchmark advisory committee members and historical performance.
