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Two of the six strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in December and four of the six were up in the fourth quarter of 2007.
The year was kind to equity long/short and merger arbitrage – both strategies were rewarded with double-digit gains of 19.79% and 16.12% in 2007. Event driven finished the year up 5.58%, while convertible arbitrage and equity market neutral came in with 2.63% and 1.54%, respectively. Finally, distressed securities crossed the finish line where it began at the start of year posting a net-of-fee return of 0% in 2007. This resulted in all of the six strategies covered by Dow Jones Hedge Fund Indexes ending 2007 in the green.
|
DJHFSB |
Net-of-fees
Performance 2007 |
|||||
|
|
December |
4Q |
3Q |
2Q |
1Q |
2007 |
|
Convertible
Arbitrage |
-0.20% |
0.05% |
0.12% |
0.50% |
1.89% |
2.63% |
|
Distressed
Securities |
-0.82% |
-2.56% |
-3.97% |
2.36% |
4.24% |
0.00% |
|
Equity
Long/Short |
1.64% |
3.17% |
4.37% |
6.94% |
4.06% |
19.79% |
|
Equity
Market Neutral |
1.02% |
1.90% |
-2.76% |
1.18% |
1.26% |
1.54% |
|
Event
Driven |
-0.27% |
-0.87% |
-0.06% |
3.52% |
3.27% |
5.58% |
|
Merger
Arbitrage |
-0.26% |
0.92% |
4.04% |
3.89% |
6.42% |
16.12% |
|
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-0.61% |
-3.22% |
1.46% |
6.07% |
1.40% |
5.62% |
|
Dow
Jones Wilshire Global Index |
-1.33% |
-2.28% |
2.96% |
7.43% |
2.94% |
10.64% |
|
Dow
Jones Corporate Bond Index |
0.44% |
2.31% |
1.88% |
-0.67% |
1.62% |
5.24% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, lost 0.61% (-0.60% on a full-cap basis) in December decreasing its 2007 return to 5.62% (5.73% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was up 0.44% this month and its cumulative return is +5.24% for 2007.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, lost 1.33% for the month decreasing its performance to 10.64% for 2007.
Note: December 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for December 2007 will be available towards the end of January 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
