August 2007 Performance Review Of The Dow Jones Hedge Fund Strategy Benchmarks - A Monthly Report From Dow Jones Indexes On The Performance Of The Dow Jones Hedge Fund Strategy Benchmarks

With only one of the six strategies covered by Dow Jones Hedge Fund Indexes posting net-of-fees gains, August surpassed July as the poorest month in 2007 for the performance of hedge fund strategies.

Merger arbitrage posted gains in August with a return of 0.42%. The strategy is up 14.59% for the year.

The other strategies fell in August: Convertible arbitrage, distressed securities, equity long/short and equity market neutral declined more than 1% while event driven was down -0.21% for the month. All the strategies are still up for the year.

On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, gained 1.39% (1.32% on a full-cap basis) in August increasing its YTD return to 5.35% (5.29% on a full-cap basis).

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was up 1.13% this month and its cumulative return is up 2.29% for the year.

Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, dropped 0.65% for the month, decreasing its YTD performance to 8.30% for 2007.

Note: August 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for August 2007 will be available towards the end of September 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.

August Factsheet