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As was the case in June, four of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in July 2006.
Equity market neutral was the best performing strategy for the month with a net-of-fee return of 1.10%. This was followed by a gain of 1.02% by convertible arbitrage. Merger arbitrage and distressed securities posted gains of 0.62% and 0.59%, respectively. Event driven returned -0.14% and equity long/short declined another -1.99%.On a YTD basis, distressed securities leads with a gain of 8%. Convertible arbitrage is up 6.44% for this year and now has completely recovered the -5.61% loss it suffered in 2005. Both merger arbitrage and event driven are up more than 5% for the year, while equity market neutral is up 4.35%. Factoring in July’s loss, equity long/short has now been down for three consecutive months and with a YTD gain of 0.15% is about even for the year (This strategy was the top performer for the first quarter of this year).
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