Five of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in May 2008.
With net-of-fee gains of 1.58% for the month, event driven remains the best performing strategy for the year. Equity long/short improved its standing among the strategies with its strong performance in May, posting a return of 5.18%, and ranking second on a YTD basis with a 2.11% return. Merger arbitrage rounded out the top three, and finished the month with a respectable gain of 1.68% pushing its YTD performance to 1.46%.
The bottom three strategies were nearly flat for the month. Equity market neutral posted the only loss for the month with a return of -0.07%, pushing its 2008 loss to -0.54%. Distressed securities and convertible arbitrage both posted small net-of-fee gains, but remain distant laggards from the other strategies with YTD losses of -3.72% and -5.93%, respectively.
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DJHFSB Net-of-fees Performance 2008 |
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May |
1Q |
YTD |
|
| Convertible Arbitrage | 0.72% | -4.77% | -5.93% |
| Distressed Securities | 0.60% | -5.49% | -3.72% |
| Equity Long/Short | 5.18% | -6.21% | 2.11% |
| Equity Market Neutral | -0.07% | -0.52% | -0.54% |
| Event Driven | 1.58% | -1.75% | 2.86% |
| Merger Arbitrage | 1.68% | -0.64% | 1.46% |
| Dow Jones Wilshire 5000 | 2.09% | -9.52% | -3.02% |
| Dow Jones Wilshire Global Index | 1.90% | -9.33% | -2.64% |
| Dow Jones Corporate Bond Index | -1.05% | 0.88% | 0.61% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned 2.09% (2.13% on a full-cap basis) in May reducing its YTD loss of -3.02% (-3.02% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was down 1.05% this month and its cumulative gain is down to 0.61% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, was up 1.90% for the month lowering its YTD loss to -2.64% for 2008.
Note: May 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for May 2008 will be available towards the end of June 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
