Hedge funds continued to struggle for the year as only two of the six strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains for the month of August.
Merger arbitrage posted gains in August with a return of 1.10%. The strategy is the only benchmark with positive gains for the year with a return of 1.62%. Event driven had a small gain in August with a return of 0.05%, but is still down for the year with a return of -2.06%.
The other strategies fell in August: Convertible arbitrage, distressed securities, equity long/short declined just under -1%, and make up the bottom performing strategies for the year. Equity market neutral had the largest drop for the month of August, falling more than 3%, but the strategy remains in the middle of the pack on a YTD basis with a return of -2.39%.
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Net-of-fees Performance 2008 |
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August |
1Q |
2Q |
YTD |
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Convertible
Arbitrage |
-0.77% |
-4.77% |
-1.28% |
-8.44% |
|
Distressed
Securities |
-0.94% |
-5.49% |
-0.08% |
-7.56% |
|
Equity
Long/Short |
-0.65% |
-6.21% |
9.33% |
-2.38% |
|
Equity
Market Neutral |
-3.22% |
-0.52% |
2.01% |
-2.39% |
|
Event
Driven |
0.05% |
-1.75% |
1.81% |
-2.06% |
|
Merger
Arbitrage |
1.10% |
-0.64% |
1.08% |
1.62% |
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Dow
Jones Wilshire 5000 |
1.57% |
-9.52% |
-1.55% |
-10.30% |
|
Dow
Jones Wilshire Global Index |
-2.10% |
-9.33% |
-1.53% |
-14.75% |
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Dow
Jones Corporate Bond Index |
0.79% |
0.88% |
-0.76% |
0.38% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, gained 1.57% (1.58% on a full-cap basis) in August 2008 and is now down -10.30% for the year (-10.30% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was up 0.79% this month and its cumulative return is up 0.38% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, dropped -2.10% for the month decreasing its YTD performance to -14.75% for 2008.
Note: August 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for August 2008 will be available towards the end of September 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
