March 2006 Performance Review of the DOW Jones Hedge Fund Strategy Benchmarks

A monthly report from Dow Jones Indexes on the performance of the Dow Jones Hedge Fund Strategy Benchmarks

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

March 2006 was an up month for all of the six strategies and the relative performance of the strategies this month was a good reflection of the relative performance of the strategies for the year so far. Equity long/short came in first posting a net-of-fee gain of 2.14%. This gain made up for the -1.31% the strategy lost in February (the only negative monthly return posted by a strategy this year) and increased its YTD gains to 5.66%. Event driven was next with a return of 1.43% in March and a YTD return of 4.08%. This strategy was followed by distressed securities which returned 1.36% in March and 3.42% on a YTD basis. With returns of 0.97% and 0.93%, the performance this month of the convertible arbitrage and merger arbitrage strategies was very similar – so is their YTD performance with returns of 3.40% and 3.29%, respectively. Finally, equity market neutral gained 0.69% for the month and is up 1.73% for the year.

On a float-adjusted basis, the Dow Jones Wilshire 5000, a broad measure of the domestic equity markets, gained 1.84% in March bringing its YTD performance up to 5.44% (on a full cap basis it gained 1.94% bringing its YTD performance up to 5.53%).

The fixed income asset class as measured by the Dow Jones Corporate Bond Index returned -1.68% this month and with a return of -1.16% for the year, the index is back in negative territory (the index started the year down, but was up in February).

The world equity markets, as measured by the Dow Jones World Total Market Index, were up 2.36% in March and up 7.32% for the year.