Five of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in June 2007.
June gains ranged from a high of 70 basis points for equity market neutral to a low of 38 basis points for distressed securities. Event driven, the only strategy down in June, lost 65 basis points.
As was the case in the first quarter of 2007, all of the strategies were up in the second quarter of the year with returns ranging from a high of 6.97% for equity long/short to a low of 0.43% for convertible arbitrage.
Half way through the year, equity long/short was the top performing strategy with a YTD gain of 11.31%, followed closely by merger arbitrage which was up 10.06%. With a YTD return of 6.97%, both distressed securities and event driven have posted similar performances for the year. Equity market neutral is up 2.42% for the year, while convertible arbitrage lags the six strategies with a cumulative gain of 2.34% for the year.
|
DJHFSB |
Net-of-fees
Performance 2007 |
|||
|
|
June |
1Q |
2Q |
YTD |
|
Convertible
Arbitrage |
0.63% |
1.89% |
0.43% |
2.34% |
|
Distressed
Securities |
0.38% |
4.24% |
2.63% |
6.97% |
|
Equity
Long/Short |
0.43% |
4.06% |
6.97% |
11.31% |
|
Equity
Market Neutral |
0.70% |
1.26% |
1.14% |
2.42% |
|
Event
Driven |
-0.65% |
3.27% |
3.59% |
6.97% |
|
Merger
Arbitrage |
0.48% |
6.42% |
3.41% |
10.06% |
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-1.61% |
1.40% |
6.07% |
7.56% |
|
Dow
Jones Wilshire Global Index |
-0.43% |
2.94% |
7.16% |
10.35% |
|
Dow
Jones Corporate Bond Index |
-0.46% |
2.02% |
-1.04% |
0.96% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, was down 1.61% (-1.51% on a full-cap basis) in June, decreasing its YTD return to 7.56% (7.56% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was down 0.46% this month and its cumulative gain is down to 0.96% for the year.
Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, was down 0.43% for the month dropping its YTD gain to 10.35% for 2007.
Note: June 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for June 2007 will be available towards the end of July 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
