February 2007 Performance Review of Dow Hedge Fund Strategy Benchmarks

Date: Tuesday, March 13, 2007
Author: RiskCenter Staff

Five of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in February 2007.

With net-of-fees returns of 3.71%, merger arbitrage was once again the best performing strategy in February and with a cumulative return of 6.24% for the year has quickly distinguished itself from the others – though it is still quite early to say.  With February gains of 0.95% and a YTD return of 2.80%, distressed securities was the second best performer for the month and the year so far. Except for equity market neutral, which was flat to negative with a return of -0.04% for the month, the remaining strategies were up in February with gains of 0.72% (convertible arbitrage), 0.43% (event driven)and 0.14% (equity long/short). All of the strategies are up for the year.

DJHFSB

Net-of-fees Performance

 

February 2007

YTD

Convertible Arbitrage

0.72%

1.45%

Distressed Securities

0.95%

2.80%

Equity Long/Short

0.14%

2.35%

Equity Market Neutral

-0.04%

0.49%

Event Driven

0.43%

2.34%

Merger Arbitrage

3.71%

6.24%

 

 

 

Dow Jones Wilshire 5000

-1.58%

0.29%

Dow Jones Wilshire Global Index

-0.30%

0.82%

Dow Jones Corporate Bond Index

2.19%

2.40%

 

On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned -1.58% (-1.59% on a full-cap basis) in February, pulling down its YTD gain to 0.29% (0.39% on a full-cap basis).

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, gained 2.19% this month for a cumulative gain of 2.40% for the year.

Finally, the Dow Jones Wilshire Global Index,the broadest measure of global equity markets, was down -0.30% for the month, reducing its YTD gains to 0.82% for 2007.

Note: February 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for February 2007 will be available towards the end of March 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.