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All six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in August 2006.
Equity long/short was the top performing strategy for the month with a net-of-fee return of 1.77% (after three successive down months). This was followed closely by convertible arbitrage that posted a gain of 1.74%. Event driven returned 0.82% and distressed securities was up 0.53%. With returns of 0.08% and 0.03% respectively, merger arbitrage and equity market neutral were relatively flat for the month.
On a YTD basis, distressed securities leads with a gain of 8.54%. Convertible arbitrage is up 8.24% for this year and the month-end estimates indicate that the strategy may have hit a new month-end high-water mark, with a preliminary closing value of 128.45 on August 31, 2006. The previous month-end high was 126.94 on April 30, 2004. Year to date, event driven is up 6.07%; merger arbitrage is up 5.72%; equity market neutral is up 4.41%; and equity long/short is up 2.01%.
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