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Portfolio > Alternative Investments > Hedge Funds

MSCI Unveils Hedge Fund Indexes

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NEW YORK (–Morgan Stanley Capital International launched a line of hedge fund indexes and a web-based hedge fund analytical tool.

MSCI will offer 90 different indexes that segregate the industry at four different levels: by strategy, investment process (which groups all strategies belonging to one investment process), investment process group (directional trading, relative value, security selection, specialist credit and multi-process) and composite (which combines all five process groups).

All four groupings will be offered in equal-weighted versions, while the process group and composite indexes also will be offered in asset-weighted versions. MSCI will have three indexes based on domiciles, onshore, offshore, and the two combined.

Currently, MSCI collects data for more than 750 hedge funds and includes more than 350 in its indexes. MSCI collects its hedge fund data directly from managers, according to an MSCI statement. They required managers to supply audited financial statements and offering documents for all funds where available.

Assisting MSCI with the index was Financial Risk Management, which first partnered with MSCI in January of 2000. Michel Serieyssol was hired early last year to work on the project as global head of MSCI’s hedge fund index business.

The new web tool, called MSCI Hedge Fund Indices Subscriber Site, offers the ability to chart funds, create scatter plots, download data and create reportes. Indexes and the database will be available in the XML reporting format.

A number of other firms already offer hedge fund indexes, including a joint venture between Credit Suisse First Boston and Tremont Advisers Inc.,* Zurich Capital Markets Inc., and Hennessee Group LLC. A recent study of hedge fund indexes concluded the best index is a statistically combined version of the various hedge fund indexes being offered.


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