With only three of the six strategies covered by Dow Jones Hedge Fund Indexes posting net-of-fees gains, July was the weakest month in 2007 for the performance of hedge fund strategies.
Merger arbitrage came in strong with a July return of 2.45% and moved into the top performing spot for the year. Its cumulative year-to-date return of 13.27% surpassed that of equity long/short, which posted a positive July return of 0.58%, pushing its return to 11.93% for the year.
Convertible arbitrage was gained 0.26% for the month and is up 2.67% for the year.
Distressed securities and event driven returned -1.82% and -1.12% for the month, but with returns of 4.75% and 5.71% are still up for 2007.
Equity market neutral returned -0.48% in July, dropping its performance to 1.96% for the year.
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Net-of-fees Performance 2007 |
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July |
1Q |
2Q |
YTD |
Convertible
Arbitrage |
0.26% |
1.89% |
0.43% |
2.67% |
Distressed
Securities |
-1.82% |
4.24% |
2.63% |
4.75% |
Equity
Long/Short |
0.58% |
4.06% |
6.97% |
11.93% |
Equity Market
Neutral |
-0.48% |
1.26% |
1.14% |
1.96% |
Event Driven |
-1.12% |
3.27% |
3.59% |
5.71% |
Merger
Arbitrage |
2.45% |
6.42% |
3.41% |
13.27% |
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Dow Jones
Wilshire 5000 |
-3.40% |
1.40% |
6.07% |
3.90% |
Dow Jones
Wilshire Global Index |
-0.61% |
2.94% |
7.16% |
9.69% |
Dow Jones
Corporate Bond Index |
0.20% |
2.02% |
-1.04% |
1.15% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, lost -3.40% (-3.38% on a full-cap basis) in July decreasing its YTD return to 3.90% (3.92% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was up 0.20% this month and its cumulative return is 1.15% for the year.
Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, dropped -0.61% for the month decreasing its YTD performance to 9.69% for 2007.
Note: July 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for July 2007 will be available towards the end of July 2007. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.