All six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in October 2006.
Equity long/short, the laggard for the year, posted the top net-of-fee return for October, gaining 2.94%. Event driven rose 2.21% while distressed securities and merger arbitrage returned 1.53% and 1.21%, respectively. The equity market neutral and convertible arbitrage benchmarks were up 0.96% and 0.76%.
Meanwhile, on a YTD basis, the distressed securities strategy continues to lead the six strategies with a double digit gain of 11.29%. With two more months to go in the year, a double-digit YTD gain is also within reach for the convertible arbitrage and event driven benchmarks – so far they are up 9.70% and 9.52% for the year. The remaining three strategies, merger arbitrage, equity market neutral and equity long/short, have posted performances of 7.33%, 6.12% and 5.27% for 2006.
|
|
2006
Performance (net of fees) |
||||
|
DJHFSB
|
October |
3rd quarter |
2nd quarter |
1st
quarter |
YTD |
|
Convertible
Arbitrage |
0.76% |
3.27% |
1.84% |
3.45% |
9.70% |
|
Distressed
Securities |
1.53% |
2.02% |
3.78% |
3.46% |
11.29% |
|
Equity
Long/Short |
2.94% |
0.05% |
-3.29% |
5.67% |
5.27% |
|
Equity
Market Neutral |
0.96% |
1.84% |
1.36% |
1.83% |
6.12% |
|
Event
Driven |
2.21% |
1.69% |
1.23% |
4.08% |
9.52% |
|
Merger
Arbitrage |
1.21% |
0.95% |
1.67% |
3.28% |
7.33% |
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
3.63% |
4.47% |
-1.96% |
5.44% |
11.91% |
|
Dow
Jones Wilshire Global Total Market Index |
3.85% |
4.16% |
-0.85% |
7.63% |
15.45% |
|
Dow
Jones Corporate Bond Index |
1.06% |
4.88% |
-1.26% |
-1.15% |
3.45% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned 3.63% (3.72% on a full-cap basis) in October. The index is now up 11.91% (11.99% on a full-cap basis) for the year.
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, gained 1.06% this month. The index is now up 3.45% for the year.
Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equities, was up 3.85% in October, increasing the index’s cumulative return to 15.45% for 2006.
All of the three indexes were up for the third quarter ending September 2006.
Note: October 2006 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for October 2006 will be available towards the end of November 2006. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
Factsheet October 2006
