HedgeCo.net – Five of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted net-of-fees gains in May 2007.
With net-of-fees returns of 3.65%, the performance of equity long/short was significantly higher than the other hedge fund strategies in May. Consequently, its gains jumped to double digits for the year and displaced merger arbitrage as the top performing strategy of the year.
Still, merger arbitrage finished the month with a gain of 1.94% pushing its YTD gains to 9.53%. Event driven gained 1.90% and is up 7.67% for the year. Distressed securities posted a return of 0.64% for the month and 6.57% for the year.
With a return of 0.03%, equity market neutral was nearly flat in May, while convertible arbitrage posted -0.36% for the month. With an annual cumulative gain of 1.70% for the year, both of the strategies are the laggards for 2007.
|
DJHFSB |
Net-of-fees Performance 2007 |
||
|
|
May |
1Q |
YTD |
|
Convertible Arbitrage |
-0.36% |
1.89% |
1.70% |
|
Distressed Securities |
0.64% |
4.24% |
6.57% |
|
Equity Long/Short |
3.65% |
4.06% |
10.84% |
|
Equity Market Neutral |
0.03% |
1.26% |
1.70% |
|
Event Driven |
1.90% |
3.27% |
7.67% |
|
Merger Arbitrage |
1.94% |
6.42% |
9.53% |
|
|
|
|
|
|
Dow Jones Wilshire 5000 |
3.66% |
1.40% |
9.36% |
|
Dow Jones Wilshire Global Index |
3.15% |
2.94% |
10.83% |
|
Dow Jones Corporate Bond Index |
-1.11% |
1.62% |
1.48% |
On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, returned 3.66% (3.61% on a full-cap basis) in May, making a significant contribution to its YTD gain of 9.36% (8.45% on a full-cap basis).
The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was down -1.11% this month and its cumulative gain is 1.48% for the year.
Finally, the Dow Jones Wilshire Global Total Market Index, the broadest measure of global equity markets, was up 3.15% for the month increasing its YTD gain to 10.83% for 2007.
Note: May 2007 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for May2007 will be available towards the end of June 2007.
