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Thursday, January 27, 2022

November 2008 Performance Review of the DJ Hedge Fund Strategy Benchmarks

Date: Friday, December 12, 2008
Author: Riskcenter.com

Only one of four strategies in the Dow Jones Hedge Fund Strategy Benchmarks posted net-of-fee gains in November.

After hedge funds experienced two of the most volatile months in market history,merger arbitragewas the only strategy thatemerged with a small positive net-of-fee gain in November, returning 0.15%. The small gain held YTD performance formerger arbitrage at approximately the same level as last month, down about -9%.

Convertible arbitragewas hit the hardest in the recent months, but, with a loss of -4.80%, was the second best performer in November among the four calculated strategies, bringing its YTD loss to -47.70%. The remaining two strategies,event drivenanddistressed securitieswere down -6.35% and -7.47%, respectively, for the month. On a YTD basis,event drivenis down -23.83% anddistressed securitiesis down -32.57%.

Theequity market neutralandequity long/shortbenchmarks were suspended at the start of the month as a result of the temporary risk mitigation measures taken by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks. It has not been determined when calculation of these benchmarks will resume.

DJHFSB Net-of-fees Performance 2008
November 1Q 2Q 3Q YTD
Convertible Arbitrage
-4.80% -4.77% -1.28% -13.72% -47.70%
Distressed Securities-7.47% -5.49% -0.08% -11.90% -32.57%
Event Driven-6.35% -1.75% 1.81% -8.66% -23.83%
Merger Arbitrage0.15% -0.64% 1.08% -3.13% -8.72%

Dow Jones Wilshire 5000 -8.00% -9.52% -1.55% -8.67% -38.30%
Dow Jones Wilshire Global Index-6.73% -9.33% -1.53% -16.67% -44.68%
Dow Jones Corporate Bond Index4.88% 0.88% -0.76% -5.66% -5.99%

On a float-adjusted basis, theDow Jones Wilshire 5000,the only broad measure of the domestic equity market, lost -8% (-8.15% on a full-cap basis) in November decreasing its YTD return to -38.30% (-38.37% on a full-cap basis).

The fixed income asset class, as measured by theDow Jones Corporate Bond Index was up 4.88% this month and its cumulative return is down -5.99% for the year.

Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity market, lost -6.73% for the month decreasing its YTD return to -44.68% for 2008.