The Dow Jones Hedge Fund Strategy Benchmarks were not invulnerable to the financial hardships that have hit the US economy. Five of the six strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fee losses in October continuing the landslide that began last month.
Equity market neutral and equity long/short performed relatively well for the month of October returning 0.41% and -4.47%, respectively, in part as a result of the temporary risk mitigation measures taken during the month by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks.
Merger arbitrage rounded out the top three strategies with a loss of -6.33%, further lowering its YTD return to -8.86%.
The bottom three strategies continued to fall further behind the top three. Event driven and distressed securities surpassed double digit losses for the month with returns of -10.99% and -12.41%, respectively. For the year, event driven is down -18.67% and distressed securities has fallen -27.12%.
Convertible arbitrage lost nearly one third of its value during October, bringing its YTD loss to -45.06%.
|
DJHFSB |
Net-of-fees
Performance 2008 |
||||
|
|
October |
1Q |
2Q |
3Q |
YTD |
|
Convertible
Arbitrage |
-32.27% |
-4.77% |
-1.28% |
-13.72% |
-45.06% |
|
Distressed
Securities |
-12.41% |
-5.49% |
-0.08% |
-11.90% |
-27.12% |
|
Equity
Long/Short |
-4.47% |
-6.21% |
9.33% |
-11.19% |
-12.99% |
|
Equity
Market Neutral |
0.41% |
-0.52% |
2.01% |
-5.51% |
-3.72% |
|
Event
Driven |
-10.99% |
-1.75% |
1.81% |
-8.66% |
-18.67% |
|
Merger
Arbitrage |
-6.33% |
-0.64% |
1.08% |
-3.13% |
-8.86% |
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-17.57% |
-9.52% |
-1.55% |
-8.67% |
-32.94% |
|
Dow
Jones Wilshire Global Index |
-20.28% |
-9.33% |
-1.53% |
-16.67% |
-40.69% |
|
Dow
Jones Corporate Bond Index |
-5.11% |
0.88% |
-0.76% |
-5.66% |
-10.37% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, fell -17.57% (-17.61% on a full-cap basis) in October lowering its YTD return to -32.94% (-33.01% on a full-cap basis). The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was down -5.11% this month and its cumulative return is down -10.37% for the year. Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, lost -20.28% for the month lowering its YTD performance to -40.69% for 2008.
Note: October 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for October 2008 will be available towards the end of November 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
