NEW YORK (HedgeWorld.com)–Dow Jones announced that it now calculates and disseminates on a daily basis indexes for five hedge fund strategies. Previously this data was available monthly but not daily.
These measures show that for the year 2003 distressed securities returned 23.4%; event-driven strategies, 18%; convertible arbitrage, 11.8%; and merger arbitrage, almost 8%. The index for the fifth strategy, equity market neutral, has a later inception date. It indicates a minus 0.7% return from June 30 to Dec. 31, 2003.
The publisher bought the database from Lyra Capital LLC, a firm started by a team that previously was part of Zurich Capital Markets and that had started developing investable hedge fund index products there .
Dow Jones and Lyra face strong competition in the hedge fund index field. There are at least 11 databases, according to a recent review by State Street Global Advisers. Investable index providers include Credit Suisse First Boston/Tremont,* Morgan Stanley Capital International and Standard and Poor’s. Various indexes differ in construction and underlying hedge funds.