March 2007 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 calculated by Dow Jones Hedge Fund Indexes posted net-of-fees gains in March 2007. All of the strategies ended the first quarter in positive territory.

Merger arbitrage picked up another 20 basis points in March to end the quarter as the leading strategy with a year-to-date performance of 6.43%. Equity long/short and distressed securities posted returns of 1.76% and 1.23%, respectively, extending the quarterly returns of each strategy to more than 4%. Event driven was up 0.73% for the month, resulting in a 3.25% gain for the quarter, while convertible arbitrage gained 21 basis points in March for a cumulative quarterly return of 1.76%. Equity market neutral notched a gain of 0.80% in March but had the worst quarterly performance of the six strategies with a YTD performance of 1.26%.

On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned 1.11% (1.09% on a full-cap basis) in March, increasing its YTD gain to 1.40% (1.48% on a full-cap basis).

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, lost 0.36% this month but is up 1.99% for the year.

Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, was up 2.10% for the month, increasing its YTD gains to 2.94% so far in 2007.

Note: March 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for March 2007 will be available toward the end of April 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.