Convertible arbitrage posted a solid return of 1.17% for the month reducing its YTD losses to -4.99%. This has been the fourth consecutive month that the strategy has been up, indicating a turn-around from its weak performance at the start of the year.
Equity long/short (U.S.) was up 1.60% making it the best performer for the month. The strategy is up 1.53% on a YTD basis.
With a return of 0.65% for the month, distressed securities has slowly been emerging as the hedge fund strategy leader on a cumulative basis. Posting its fifth consecutive gain, the strategy is up 5.82% for the year.
With a YTD gain of 5.49%, event driven is not far behind and with a whole quarter to go in 2005 it could still emerge as the best performer. The strategy was up 0.29% for the month – its fifth consecutive gain.
Equity market neutral added 0.40% in September resulting in a 1.41% gain on a YTD basis. This is also the strategy’s fifth consecutive gain.
Merger arbitrage – the only strategy that was down for the month – posted -0.20% for the month reducing its cumulative gain to 2.94% for the year.
On a float-adjusted basis, the Dow Jones Wilshire 5000 gained 0.80% (0.70% on a full-cap basis) for the month of September increasing the YTD gains of the domestic broad equity markets to 4.07 % (3.92% on a full-cap basis).
The fixed income asset class performed poorly for the month with the Dow Jones Corporate Bond Index returning -2.12% for the month driving the YTD gains down to 1.13%.
The world equity markets as measured by the Dow Jones World Total Market Index gained 2.98% in September driving the cumulative returns to 7.78% for the year.
Note: September 2005 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for September 2005 will be available towards the end of October. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
Click here to download the September Factsheet.
