June 2006 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

Four of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in June 2006. Convertible arbitrage, equity market neutral, event driven and merger arbitrage posted net-of-fees returns of less than 1% for the month. Distressed securities returned -0.20% and equity long/ short lost -1.51%.

June also marked the end of the second quarter of 2006 – a quarter in which five of the six strategies posted net-of-fees gains. With a return of 3.62%, distressed securities was the best performing strategy for the quarter. On a YTD basis, the strategy leads with a gain of 7.21%.

Convertible arbitrage, equity market neutral, event driven and merger arbitrage performed similarly, posting net-of-fees returns between 1% and 2% for the second quarter of 2006. The strategies are up 5.47%, 3.21%, 5.30% and 4.97%, respectively, for the year.

With a second quarter return of -3.29%, equity long/short shed more than half of its first quarter gains of 5.67%. The strategy is still up 2.19% for the year.

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