The month of September has turned out to be the worst month for hedge funds this year as all strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees losses. All six strategies ended the third quarter in negative territory for the year.
Equity market neutral had the smallest losses for the month of September, falling -1.84%, and is now down -4.20% for the year. Merger Arbitrage fell nearly 4% for the month to push its YTD performance into negative territory with a return of -2.44% YTD. The strategy remains the best performer, however, among the benchmarks on a YTD basis.
Event driven and equity long/short each declined a little more than -6% for the month, adding to an already weak third quarter. Both strategies are down more than -8% for the year.
Distressed securities and convertible arbitrage continue to be the distant laggards among the strategy benchmarks as both strategies had a dismal September, falling -8.92% and -10.89%, respectively. On a YTD basis, distressed securities is down -15.68% and ,B>convertible arbitrage remains the worst performing strategy with a loss of -18.40%.
|
DJHFSB |
Net-of-fees
Performance 2008 |
||||
|
|
September |
1Q |
2Q |
3Q |
YTD |
|
Convertible
Arbitrage |
-10.89% |
-4.77% |
-1.28% |
-13.20% |
-18.40% |
|
Distressed
Securities |
-8.92% |
-5.49% |
-0.08% |
-10.71% |
-15.68% |
|
Equity
Long/Short |
-6.75% |
-6.21% |
9.33% |
-11.21% |
-8.96% |
|
Equity
Market Neutral |
-1.84% |
-0.52% |
2.01% |
-5.60% |
-4.20% |
|
Event
Driven |
-6.16% |
-1.75% |
1.81% |
-8.19% |
-8.15% |
|
Merger
Arbitrage |
-3.88% |
-0.64% |
1.08% |
-2.86% |
-2.44% |
|
|
|
|
|
|
|
|
Dow
Jones Wilshire 5000 |
-9.30% |
-9.52% |
-1.55% |
-8.67% |
-18.64% |
|
Dow
Jones Wilshire Global Index |
-12.73% |
-9.33% |
-1.53% |
-16.67% |
-25.60% |
|
Dow
Jones Corporate Bond Index |
-5.94% |
0.88% |
-0.76% |
-5.66% |
-5.55% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, dropped -9.30% (-9.36% on a full-cap basis) in September lowering its YTD return to -18.64% (-18.70% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was down -5.94% this month (-5.66% over the third quarter of 2008) and its cumulative return is down -5.55% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, lost -12.73% for the month decreasing its YTD performance to -25.60% for 2008.
Note: September 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for September 2008 will be available towards the end of October 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .
