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 percent, 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 percent pushing its YTD gains to 9.53 percent. Event driven gained 1.90 percent and is up 7.67 percent for the year. Distressed securities posted a return of 0.64 percent for the month and 6.57 percent for the year.
With a return of 0.03 percent, equity market neutral was nearly flat in May, while convertible arbitrage posted -0.36 percent for the month. With an annual cumulative gain of 1.70 percent for the year, both of the strategies are the laggards for 2007.