For the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes, distressed securities and event driven have been the best performers so far in 2005 with a gain of 1.36% in August, up 5.41% for the year. The event driven benchmark is up 0.61% for the month and 5.13% on a YTD basis.
The merger arbitrage benchmark gained 0.37% in August and has yielded positive gains in seven of the eight months in 2005 – its YTD return is 3.12%. The 0.08% gain of the equity market neutral benchmark for the month pushed its cumulative YTD return to 1%.
The equity long/short (U.S.) hedge fund strategy benchmark was down -0.33% for August and -0.07% for the year. The difficult environment for convertible arbitrage in the first half of the year has shown some improvement as the strategy benchmark gained 0.31% in August making this the third consecutive month the benchmark has posted positive gains. The strategy is still down -6.05% for 2005.
On a float-adjusted basis, the Dow Jones Wilshire 5000 lost -0.90% (-0.98% on a full-cap basis) for the month of August reducing the YTD gains of the domestic broad equity markets to 3.24 % (3.19% on a full-cap basis). The fixed income asset class performed well for the month with the Dow Jones Corporate Bond Index returning 1.83% for the month driving the YTD gains to 3.32%. The world equity markets as measured by the Dow Jones World Total Market Index gained 0.82% in August resulting in a cumulative return of 4.66% for the year.