All six hedge fund strategies calculated by Dow Jones Hedge Fund Indexes posted net-of-fees losses in March 2008. All of the strategies ended the first quarter in negative territory.
Merger Arbitrage was down 92 basis points in March but ended the quarter as the leading strategy with a YTD performance of -0.40%. Posting a return of -0.06%, equity market neutral is not far behind the leading strategy on a YTD basis with a quarterly return of -0.52%. Event driven was down 0.47% bringing its quarterly performance to -1.47%. Convertible arbitrage declined 4.55% for the month of March, while distressed securities fell 0.63%, bringing each strategy to a first-quarter decline of more than 4%. Equity long/short ended the month of March down 1.60% and placing it as the laggard for the quarter with a YTD performance of -6.23%.
|
DJHFSB |
Net
of Fees Performance 2008 |
|
|
|
March |
YTD |
|
Convertible
Arbitrage |
-4.55% |
-4.73% |
|
Distressed
Securities |
-0.63% |
-4.74% |
|
Equity
Long/Short |
-1.60% |
-6.23% |
|
Equity
Market Neutral |
-0.06% |
-0.52% |
|
Event
Driven |
-0.47% |
-1.47% |
|
Merger
Arbitrage |
-0.92% |
-0.40% |
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-0.69% |
-9.52% |
|
Dow
Jones Wilshire Global Index |
-1.60% |
-9.33% |
|
Dow
Jones Corporate Bond Index |
-0.67% |
0.88% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned -0.69% (-0.77% on a full-cap basis) in March, lowering its YTD performance to -9.52% (-9.61% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, lost 0.67% this month, pulling its cumulative gain down to 0.88% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, was also down -1.60% for the month increasing its YTD decline to -9.33% for 2008.
Note: March 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for March 2008 will be available towards the end of April 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
