January 2006 Performance Review Of The Dow Jones Hedge Fund Strategy Benchmarks - A Monthly Report From Dow Jones Indexes On The Performance Of The Dow Jones Hedge Fund Strategy Benchmarks

All of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes entered 2006 by posting net-of-fees gains in January.

One point worth noting is that as per the indexes’ calculation methodology, at the start of 2006, the high-water mark for all of the Benchmark components is set to zero. This means that in addition to the net-of-fees YTD performance of the Benchmarks being net of a (prorated) 2% management fee as applied to the components, it is also net of a (prorated) 20% performance incentive fee as applied to the gains accrued by the components in 2006, even if the components ended 2005 in a drawdown.

With net-of-fees returns of 4.87%, equity long/short (U.S.) was the top performing strategy. This was followed by event driven, which gained 2.43%. After a difficult 2005, convertible arbitrage posted a gain of 1.83% in January 2006. Distressed securities, merger arbitrage and equity market neutralwere up 1.49%, 1.36% and 0.40%, respectively.

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January Factsheet