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The six strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in October marking a good start to the fourth quarter of 2007.
Once again equity long/short was the best performer in October, gaining 3.77% for the month (the strategy gained 4.82% in September). With a year-to-date return of 20.48%, it is the top performer so far this year.
Merger arbitrage was the other strong performer in October posting a return of 2.72% increasing its YTD return to 18.19%.
Convertible arbitrage and event driven notched gains of 1.06% and 0.99% for the month, while equity market neutral and distressed securities (the two decliners in September) also increased 0.59% and 0.49%, respectively.
|
DJHFSB |
Net-of-fees
Performance 2007 |
||||
|
|
October |
3Q |
2Q |
1Q |
YTD |
|
Convertible
Arbitrage |
1.06% |
0.12% |
0.50% |
1.89% |
3.67% |
|
Distressed
Securities |
0.49% |
-3.97% |
2.36% |
4.24% |
3.12% |
|
Equity
Long/Short |
3.77% |
4.37% |
6.94% |
4.06% |
20.48% |
|
Equity
Market Neutral |
0.59% |
-2.76% |
1.18% |
1.26% |
0.24% |
|
Event
Driven |
0.99% |
-0.06% |
3.52% |
3.27% |
7.57% |
|
Merger
Arbitrage |
2.72% |
4.04% |
3.89% |
6.42% |
18.19% |
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
1.19% |
1.46% |
6.07% |
1.40% |
11.22% |
|
Dow
Jones Wilshire Global Index |
4.11% |
2.96% |
7.43% |
2.94% |
18.55% |
|
Dow
Jones Corporate Bond Index |
1.17% |
1.88% |
-0.67% |
1.62% |
4.07% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, gained 1.19% (2.13% on a full-cap basis) in October increasing its YTD return to 11.22% (11.42% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was up 1.17% this month and its cumulative return is up 4.07% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, gained 4.11% for the month increasing its YTD performance to 18.55% for 2007.
Note: October 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for October 2007 will be available towards the end of November 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.
