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Four of the six strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in September, and five of the six strategies ended the third quarter in positive territory for the year.
Equity long/short, the best performer of the month, rose 4.86% in September enabling the strategy to post the highest gain of 4.37% for the third quarter. With a return of 16.15%, the strategy is also currently the top performer for the year.
Merger arbitrage was the other strong performer in the third quarter. The strategy was up 4.04% during the quarter and is up 15.04% for the year.
Both event driven and convertible arbitrage gained more than 1% in September which helped wash-out the prior losses the strategies suffered in the third quarter. The strategies are still up for the year.
Both distressed securities and equity market neutral declined less than 1% in September but added to their prior third quarter losses. Though distressed securities suffered the biggest loss during the third quarter of 2007, the strategy is still up for the year. On the other hand, equity market neutral is down -0.38% for the year.
DJHFSB |
Net-of-fees Performance 2007 |
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|
September |
3Q |
2Q |
1Q |
YTD |
Convertible Arbitrage |
1.05% |
0.12% |
0.50% |
1.89% |
2.53% |
Distressed Securities |
-0.23% |
-3.97% |
2.36% |
4.24% |
2.46% |
Equity Long/Short |
4.86% |
4.37% |
6.94% |
4.06% |
16.15% |
Equity Market Neutral |
-0.63% |
-2.76% |
1.18% |
1.26% |
-0.38% |
Event Driven |
1.56% |
-0.06% |
3.52% |
3.27% |
6.84% |
Merger Arbitrage |
0.37% |
4.04% |
3.89% |
6.42% |
15.04% |
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Dow Jones Wilshire 5000 |
3.59% |
1.46% |
6.07% |
1.40% |
9.13% |
Dow Jones Wilshire Global Index |
5.13% |
2.96% |
7.43% |
2.94% |
13.85% |
Dow Jones Corporate Bond Index |
0.53% |
1.88% |
-0.67% |
1.62% |
2.87% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, gained 3.59% (3.61% on a full-cap basis) in August increasing its YTD return to 9.13% (9.09% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was up 0.53% this month (2.96% over the third quarter of 2007) and its cumulative return is up 2.87% for the year.
Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, gained 5.13% for the month increasing its YTD performance to 13.85% for 2007.
Note: September 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for September 2007 will be available towards the end of October 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
