Three of the five hedge fund strategies published by Dow Jones Hedge Fund Indexes posted negative returns for the month of March. The two strategies posting gains for the month also ended the first quarter in positive territory.
Merger arbitrage led the way, returning 1.52% for the month, and pushing its YTD gain to 2.64%. Event driven gained another 30 basis points in March and is in a close second for the year with YTD performance of 2.04%.
On another positive note, both the equity market neutral and equity long/short benchmarks resumed publication at the beginning of the month. The benchmarks resumed as a result of lifting the temporary risk restrictions imposed on certain managers of these two strategies by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks. The two strategies posted small losses for the month as equity market neutral was down -0.78% and equity long/short lost -1.31%. Including the price history of these two benchmarks during the suspension period, both strategies are down for the year returning -1.90% and -0.62%, respectively.
Lastly, distressed securities continued to struggle in March, falling 4.39% and further dropping its YTD performance to a loss of -9.31%.
Convertible arbitrage remained suspended through the month of March; it began its suspension on January 2, 2009.
|
DJHFSB Net of Fees Performance 2009 |
||
| March | YTD | |
| Distressed Securities | -4.39% | -9.31% |
| Equity Long/Short | -1.31% | -0.62% |
| Equity Market Neutral | -0.78% | -1.90% |
| Event Driven | 0.30% | 2.04% |
| Merger Arbitrage | 1.52% | 2.64% |
| Dow Jones U.S. Total Stock Market Index | 8.70% | -10.56% |
| Dow Jones Global Total Stock Market Index | 8.36% | -10.28% |
| Dow Jones Corporate Bond Index | -0.59% | -1.87% |
On a float-adjusted basis, the Dow
Jones U.S. Total Stock Market Index, the only
broad measure of the domestic equity market, returned 8.70% (8.77% on a full-cap
basis) in March, decreasing its YTD loss to -10.56% (-10.11% on a full-cap
basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index lost -0.59% this month pulling its YTD to a loss of -1.87%.
Finally, the Dow Jones Global Total Stock Market Index, the broadest measure of global equity markets, performed well in March with a return of 8.36%, decreasing its YTD decline to -10.28% for 2009.
Note: March 2009 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for March 2009 will be available towards the end of April 2009. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
