A monthly report from Dow Jones Indexes on the performance of the Dow Jones Hedge Fund Strategy Benchmarks

After ending the third quarter on a high note, all of the hedge fund strategies covered by Dow Jones Hedge Fund Indexes posted negative returns for the first month of the fourth quarter in 2005. The losses in the domestic and international equity markets, together with the difficult bond market and increased uncertainty in the economic environment, contributed to the decline of hedge fund performance – particularly within the high-beta strategies.*

Convertible arbitrage posted a monthly return of -0.09%. The strategy is down -4.99% for the year.

Equity long/short (U.S.) lost -2.06% in October; however, the benchmark is down only -0.56% on a YTD basis.

Distressed securities ended its five-month run-up posting a return of -0.87%. With a cumulative gain of 4.89%, this strategy is still the leader on a YTD basis.

Event driven was down -1.99% for the month, reducing its YTD gains to 3.54%.

Equity market neutral was down -0.27% at the end of October with a 1.17% gain for the year.

Merger arbitrage posted -1.37% for the month. On a YTD basis, it is up 1.46%.

On a float-adjusted basis, the Dow Jones Wilshire 5000 lost -1.84% (-1.74% on a full-cap basis) for the month of October decreasing the YTD gains of the domestic broad equity markets to 2.15 % (2.11% on a full-cap basis).

The fixed income asset class performed poorly with the Dow Jones Corporate Bond Index returning -1.66% for the month and -0.55% for the year.

The world equity markets as measured by the Dow Jones World Total Market Index fell -2.59% in October, thereby reducing their cumulative returns to 4.98% for the year.

*The betas for the strategies may be viewed at www.djhedgefundindexes.com.

Note: October 2005 figures for the Dow Jones Hedge Fund Strategy Benchmarks are based on daily estimates net of fees. Final performance figures for October 2005 will be available towards the end of November. The methodology used to calculate the Dow Jones Hedge Fund Strategy Benchmarks is available on www.djhedgefundindexes.com.

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