In spite of March performance being flat to negative for all of the six hedge fund strategies covered by Dow Jones Hedge Fund Indexes, on a year-to-date basis four of the six strategies had positive returns at the end of the first quarter.
The distressed securities, event-driven, equity market neutral and merger arbitrage strategies – as measured by the Dow Jones Hedge Fund Strategy Benchmarks – all showed gains.
The largest advances were posted by the merger arbitrage and event-driven strategies, which ended the first quarter with gains of 1.25% and 0.91%, respectively. The equity market neutral and distressed securities strategies showed modest gains of 0.26% and 0.20%, respectively.
On the other hand, the losing strategies exhibited significant losses: The convertible arbitrage strategy had a first quarter return of -3.31%, and the equity long/short (U.S.) strategy lost -1.62%.
In March, four of the six Dow Jones Hedge Fund Strategy Benchmarks declined, the fifth barely stayed even and only one returned a gain. The convertible arbitrage strategy with a return of -1.43% was the worst performer; the merger arbitrage strategy with a return of 0.57% was the best. In order, the distressed securities, equity long/short, event driven and equity market neutral strategies returned -0.84%, -0.83%, -0.18% and 0.05%, respectively.
Other asset classes as represented by the domestic equity and fixed income markets also declined during the first quarter. The Dow Jones Wilshire 5000 posted -1.74% for the month of March extending the losses of the broad equity markets to -2.22% for 2005. The Dow Jones Corporate Bond Index returned -1.50%, resulted in a cumulative -1.27% return for the first quarter.