.jpg)
With only one of the six strategies covered by Dow Jones Hedge Fund Indexes posting net-of-fees gains, July marked the poorest month in 2008 for the performance of hedge fund strategies.
Merger arbitrage posted the only gains with a July return of 0.05%. Its cumulative YTD return of 0.49% is only second to that of equity market neutral which posted a July return of -0.65%, lowering its YTD gains to 0.82% for the year.
Distressed securities and convertible arbitrage had similar performances in July with returns of -1.31% and -1.83%, respectively. However, they remain the poorest performing strategies for the year with losses of -6.80% and -7.71%, respectively.
Event Driven was down -2.18% for July and down nearly the same on a YTD basis, returning -2.14%.
Equity Long/Short had the worst month, falling -4.17%, causing the strategy to lose its lead as the top performing strategy after the first six months of the year. The poor July performance brings the strategy’s cumulative 2008 return to -1.73%.
|
DJHFSB |
Net-of-fees
Performance 2008 |
|||
|
|
July |
1Q |
2Q |
YTD |
|
Convertible
Arbitrage |
-1.83% |
-4.77% |
-1.28% |
-7.71% |
|
Distressed
Securities |
-1.31% |
-5.49% |
-0.08% |
-6.80% |
|
Equity
Long/Short |
-4.17% |
-6.21% |
9.33% |
-1.73% |
|
Equity
Market Neutral |
-0.65% |
-0.52% |
2.01% |
0.82% |
|
Event
Driven |
-2.18% |
-1.75% |
1.81% |
-2.14% |
|
Merger
Arbitrage |
0.05% |
-0.64% |
1.08% |
0.49% |
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-0.86% |
-9.52% |
-1.55% |
-11.69% |
|
Dow
Jones Wilshire Global Index |
-2.47% |
-9.33% |
-1.53% |
-12.93% |
|
Dow
Jones Corporate Bond Index |
-0.52% |
0.88% |
-0.76% |
-0.40% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, lost -0.86% (-0.84% on a full-cap basis) in July further dropping its YTD return to -11.69% (-11.69% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was down -0.52% this month and its cumulative return is -0.40% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, dropped -2.47% for the month decreasing its YTD performance to -12.93% for 2008.
Note: July 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for July 2008 will be available towards the end of August 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
