Mon, 17 Nov 2008, 12:00

       

 

Equity market neutral and equity long/short performed relatively well for the month of October, returning 0.41 per cent and losing 4.47 per cent respectively, in part as a result of temporary risk mitigation measures taken during the month by the investment manager of the managed account platform that supports the Dow Jones Hedge Fund Strategy Benchmarks.

 

Merger arbitrage rounded out the top three strategies with a loss of 6.33 per cent, further lowering its year to date decline to 8.86 per cent.

The bottom three strategies continued to fall further behind the top three. Event driven and distressed securities suffered double digit losses for the month of 10.99 per cent and 12.41 per cent respectively. For the year, event driven is down 18.67 per cent and distressed securities has fallen 27.12 per cent.

 

Convertible arbitrage lost nearly one third of its value during October, bringing its YTD loss to 45.06 per cent.

 

On a float-adjusted basis, the Dow Jones Wilshire 5000, the only broad measure of the domestic equity market, fell -17.57 per cent (-17.61 per cent on a full-cap basis) in October lowering its YTD return to -32.94 per cent (-33.01 per cent on a full-cap basis).

 

The fixed income asset class, as measured by the Dow Jones Corporate Bond Index was down -5.11 per cent this month and its cumulative return is down -10.37 per cent for the year.

 

Finally, the Dow Jones Wilshire Global Index, the broadest measure of global equity markets, lost -20.28 per cent for the month lowering its YTD performance to

-40.69 per cent for 2008.

 

October 2008 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for October 2008 will be available towards the end of November 2008.