Five of the six strategies covered by Dow Jones Hedge Fund Indexes showed gains for September 2005.
Convertible arbitrage posted a solid return of 1.17% for the month reducing its YTD losses to -4.99%. This has been the fourth consecutive month that the strategy has been up, indicating a turn-around from its weak performance at the start of the year. Equity long/short (U.S.) was up 1.60% making it the best performer for the month. The strategy is up 1.53% on a YTD basis.
With a return of 0.65% for the month, distressed securities has slowly been emerging as the hedge fund strategy leader on a cumulative basis. Posting its fifth consecutive gain, the strategy is up 5.82% for the year. With a YTD gain of 5.49%, event driven is not far behind and with a whole quarter to go in 2005 it could still emerge as the best performer. The strategy was up 0.29% for the month – its fifth consecutive gain.
Equity market neutral added 0.40% in September resulting in a 1.41% gain on a YTD basis. This is also the strategy’s fifth consecutive gain. Merger arbitrage – the only strategy that was down for the month – posted -0.20% for the month reducing its cumulative gain to 2.94% for the year.
On a float-adjusted basis, the Dow Jones Wilshire 5000 gained 0.80% (0.70% on a full-cap basis) for the month of September increasing the YTD gains of the domestic broad equity markets to 4.07 % (3.92% on a full-cap basis). The fixed income asset class performed poorly for the month with the Dow Jones Corporate Bond Index returning -2.12% for the month driving the YTD gains down to 1.13%.
The world equity markets as measured by the Dow Jones World Total Market Index gained 2.98% in September driving the cumulative returns to 7.78% for the year.