With a net-of-fee gain of 2.05%, distressed securities led the way in May. Its cumulative YTD gains for the year increased to 7.26%; the strategy is now the best performing strategy for the year so far.
May was a difficult month for equity long/short – the YTD best performer at the end of April. It ended the month down -3.53% reducing its YTD gains to 3.76% (from 7.55% at the end of April).
Convertible arbitrage and equity market neutral – the other two strategies that were up in May – retuned 0.83% and 0.08% and their YTD gains climbed to 4.93% and 2.50%, respectively.
With returns of -0.51% and -0.48%, May reduced the YTD returns of event driven and merger arbitrage to 4.98% and 3.96% for the year.
|
2006
Performance (net of fees) |
|||
|
|
May
2006 |
1st
quarter |
YTD |
|
Convertible
Arbitrage |
0.83% |
3.46% |
4.93% |
|
Distressed
Securities |
2.05% |
3.46% |
7.26% |
|
Equity
Long/Short |
-3.53% |
5.67% |
3.76% |
|
Equity
Market Neutral |
0.08% |
1.83% |
2.50% |
|
Event
Driven |
-0.51% |
4.08% |
4.98% |
|
Merger
Arbitrage |
-0.48% |
3.28% |
3.96% |
|
|
|
|
|
|
Dow
Jones Wilshire 5000 (Float) |
-3.21% |
5.44% |
3.19% |
|
Dow
Jones World TMI |
-4.18% |
7.32% |
6.15% |
|
Dow
Jones Corporate Bond Index |
-0.34% |
-1.15% |
-1.65% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, a broad measure of the domestic equity markets lost -3.21% in May (-3.12% on a full cap basis). The index is now up 3.19 % for the year (3.32% on a full cap basis).
The fixed income asset class as measured by the Dow Jones Corporate Bond Index lost -0.34% this month. The index is now down -1.65% for the year.
Finally, the world equity markets, as measured by the Dow Jones World Total Market Index were down -4.18% in May reducing the indexes cumulative return to 6.15% for 2006.
Note: May 2006 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for May 2006 will be available towards the end of June 2006. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
