One point worth noting is that as per the indexes’ calculation methodology, at the start of 2006, the high-water mark for all of the Benchmark components is set to zero. This means that in addition to the net-of-fees YTD performance of the Benchmarks being net of a (prorated) 2% management fee as applied to the components, it is also (prorated) 20% performance incentive fee as applied to the gains accrued by the components in 2006, even if the components ended 2005 in a drawdown. Therefore, two identical index methodologies tracking the same set of components will result in different indexes if one carries component losses forward while the other sets the high-water marks for the component to zero. The former methodology will lead to higher returns than the latter methodology.
With net-of-fees returns of -1.27% in February, the equity long/short strategy was the worst performer among the strategies covered, but continued to lead on a YTD basis with a gain of 3.48%. The best performer in February was merger arbitrage, which was up 0.95%. This was followed by equity market neutral, which gained 0.63%. However, with a YTD return of 1.04%, it is the weakest performer for the year. Distressed securities was up 0.51% while convertible arbitrage posted a gain of 0.50% in February (convertible arbitrage posted a gain of 1.83% in January). Event driven was up 0.21% for the month and 2.61% for the year.
DJHFSB |
February
2006 (net
of fees) |
YTD
2006 (net
of fees) |
Convertible
Arbitrage |
0.50% |
2.33% |
Distressed
Securities |
0.51 |
1.86 |
Equity
Long/Short |
-1.27 |
3.48 |
Equity
Market Neutral |
0.63 |
1.04 |
Event
Driven |
0.21 |
2.61 |
Merger
Arbitrage |
0.95 |
2.33 |
|
|
|
Dow
Jones Wilshire 5000 (Float) |
-0.03% |
3.53% |
Dow
Jones World TMI |
-0.20% |
4.85% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, a broad measure of the domestic equity markets, lost -0.03% in February, bringing its YTD performance marginally down to 3.53% (on a full-cap basis, it lost -0.05% bringing its YTD performance down to 3.52%).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, returned 0.68% this month and with a return of 0.54%, the index is in positive territory for the year.
The world equity markets, as measured by the Dow Jones World Total Market Index, recorded a loss of -0.20% in February. It is up 4.85% for the year.
Note: February 2006 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for February 2006 will be available towards the end of March 2006. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .