Four of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees losses in June 2008.
June losses ranged from a low of -2.80% for event driven to nearly flat for convertible arbitrage, down only -0.08%. Equity long/short and equity market neutral were the only strategies with gains for June, returning 0.53% and 1.90%, respectively.
On a quarterly basis, the benchmarks had an almost complete reversal of fortune as five of the six strategies posted gains in the second quarter whereas all six were down in the first quarter of 2008. Only convertible arbitrage was down for the most recent three months with a loss of -1.39%. On the other end, equity long/short was the overwhelming front-runner for the quarter posting a return of 9.33%, outperforming the nearest strategy by more than 7%.
Half way through the year, equity long/short was the top performing strategy with a YTD gain of 2.55%, followed by equity market neutral, which was up 1.50%. With YTD returns of 0.40% and -0.01%, respectively, both merger arbitrage and event driven have posted similar performances for the year. Distressed securities was down 5.11%, while convertible arbitrage remains the trailing benchmark with a cumulative loss of -6.09% for the year.
DJHFSB Net-of-fees Performance 2008 |
||||
June |
1Q |
2Q |
YTD |
|
Convertible Arbitrage | -0.08% | -4.77% | -1.39% | -6.09% |
Distressed Securities | -1.36% | -5.49% | 0.40% | -5.11% |
Equity Long/Short | 0.53% | -6.21% | 9.33% | 2.55% |
Equity Market Neutral | 1.90% | -0.52% | 2.03% | 1.50% |
Event Driven | -2.80% | -1.75% | 1.77% | -0.01% |
Merger Arbitrage | -1.03% | -0.64% | 1.05% | 0.40% |
Dow Jones Wilshire 5000 | -8.14% | -9.52% | -1.55% | -10.92% |
Dow Jones Wilshire Global Index | -8.30% | -9.33% | -1.53% | -10.72% |
Dow Jones Corporate Bond Index | -0.49% | 0.88% | -0.76% | 0.12% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, lost 8.14% (-8.18% on a full-cap basis) in June decreasing its YTD return to -10.92% (-10.95% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, was down 0.49% this month and its cumulative YTD gain is down to 0.12% for the year.
Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, was down 8.30% for the month dropping its YTD performance to -10.72% for 2008.
Note: June 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for June 2008 will be available towards the end of July 2008. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com .