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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