HedgeCo.Net – All of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes entered 2006 by posting net-of-fees gains in January.

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 net of a (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.

With net-of-fees returns of 4.87%, equity long/short (U.S.) was the top performing strategy. This was followed by event driven, which gained 2.43%. After a difficult 2005, convertible arbitrage posted a gain of 1.83% in January 2006. Distressed securities, merger arbitrage and equity market neutral were up 1.49%, 1.36% and 0.40%, respectively.

On a float-adjusted basis, the Dow Jones Wilshire 5000, a broad measure of the domestic equity markets, gained 3.56% (3.58% on a full-cap basis).

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index, returned -0.13% in January.

The world equity markets, as measured by the Dow Jones World Total Market Index, recorded a gain of 4.98% in January 2006.