July a Rough Month for Hedge Funds: Dow Jones Indexes
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:
DJHFSB | 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% |
align=”center”> | align=”center”> | align=”center”> | align=”center”> | |
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
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