Only one of four strategies in the Dow Jones Hedge Fund Strategy Benchmarks posted net-of-fee gains in November.
After hedge funds experienced two of the most volatile months in market history, merger arbitrage was the only strategy that emerged with a small positive net-of-fee gain in November, returning 0.15%. The small gain held YTD performance for merger arbitrage at approximately the same level as last month, down about -9%.
Convertible arbitrage was hit the hardest in the recent months, but, with a loss of -4.80%, was the second best performer in November among the four calculated strategies, bringing its YTD loss to -47.70%. The remaining two strategies, event driven and distressed securities were down -6.35% and -7.47%, respectively, for the month. On a YTD basis, event driven is down -23.83% and distressed securities is down -32.57%.
The equity market neutral and equity long/short benchmarks were suspended at the start of the month as a result of the temporary risk mitigation measures taken by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks. It has not been determined when calculation of these benchmarks will resume.
|
DJHFSB |
Net-of-fees
Performance 2008 |
||||
|
|
November |
1Q |
2Q |
3Q |
YTD |
|
Convertible
Arbitrage |
-4.80% |
-4.77% |
-1.28% |
-13.72% |
-47.70% |
|
Distressed
Securities |
-7.47% |
-5.49% |
-0.08% |
-11.90% |
-32.57% |
|
Event
Driven |
-6.35% |
-1.75% |
1.81% |
-8.66% |
-23.83% |
|
Merger
Arbitrage |
0.15% |
-0.64% |
1.08% |
-3.13% |
-8.72% |
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-8.00% |
-9.52% |
-1.55% |
-8.67% |
-38.30% |
|
Dow
Jones Wilshire Global Index |
-6.73% |
-9.33% |
-1.53% |
-16.67% |
-44.68% |
|
Dow
Jones Corporate Bond Index |
4.88% |
0.88% |
-0.76% |
-5.66% |
-5.99% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, lost -8% (-8.15% on a full-cap basis) in November decreasing its YTD return to -38.30% (-38.37% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was up 4.88% this month and its cumulative return is down -5.99% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity market, lost -6.73% for the month decreasing its YTD return to -44.68% for 2008.
Note: November 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for November 2008 will be available towards the end of December 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
