July a Rough Month for Hedge Funds: Dow Jones Indexes

August 7, 2007 (PLANSPONSOR.com) - 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, according to a press release.

Merger arbitrage came in with a July return of 2.45% and moved into the top performing spot for the year, as 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, based on preliminary figures.  

Convertible arbitrage gained 0.26% for the month and is up 2.67% for the year.  

On the downward trend for the month was:

  • Distressed securities and event driven, which lost 1.82% and 1.12% for the month, respectively, but still have year-to-date gains of 4.75% and 5.71%.
  • Equity market neutral fell 0.48% in July, dropping its performance to 1.96% for the year.

A table of returns and comparative indices is below:


align=”center”> Net-of-fees Performance 2007

align=”center”> July

align=”center”> 1Q

align=”center”> 2Q

align=”center”> YTD

Convertible Arbitrage

align=”center”> 0.26%

align=”center”> 1.89%

align=”center”> 0.43%

align=”center”> 2.67%

Distressed Securities

align=”center”> -1.82%

align=”center”> 4.24%

align=”center”> 2.63%

align=”center”> 4.75%

Equity Long/Short

align=”center”> 0.58%

align=”center”> 4.06%

align=”center”> 6.97%

align=”center”> 11.93%

Equity Market Neutral

align=”center”> -0.48%

align=”center”> 1.26%

align=”center”> 1.14%

align=”center”> 1.96%

Event Driven

align=”center”> -1.12%

align=”center”> 3.27%

align=”center”> 3.59%

align=”center”> 5.71%

Merger Arbitrage

align=”center”> 2.45%

align=”center”> 6.42%

align=”center”> 3.41%

align=”center”> 13.27%





Dow Jones Wilshire 5000

align=”center”> -3.40%

align=”center”> 1.40%

align=”center”> 6.07%

align=”center”> 3.90%

Dow Jones Wilshire Global Index

align=”center”> -0.61%

align=”center”> 2.94%

align=”center”> 7.16%

align=”center”> 9.69%

Dow Jones Corporate Bond Index

align=”center”> 0.20%

align=”center”> 2.02%

align=”center”> -1.04%

align=”center”> 1.15%

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