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June Hedge Fund Returns Reported by MSCI

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NEW YORK (–Morgan Stanley Capital International released the first returns for its new family of hedge fund indexes.

The MSCI Hedge Fund Composite Index returned -0.54% in June and is up 1.44% year-to-date through June. MSCI also calculates asset-weighted returns for selected indexes. MSCI’s Asset Weighted Hedge Fund Composite returned -0.45% in June and 0.87% year-to-date through June.

One of the main drivers of the MSCI Hedge Fund Composite Index came from what MSCI calls the Security Selection process group, which contains mostly equity long/short funds. Security Selection funds returned -2.66% in June and -0.89% year-to-date. The MSCI Asset Weighted Security Selection Index returned -2.36% and -1.7% in the same respective periods.

The Directional Trading category, which contains global macro style funds, was the best performing hedge fund grouping in June, with a return of 5.31%. For the year through June, Directional Trading funds in the index returned 5.66%. Returns for the asset-weighted versions of the indexes were 5.64% and 5.4%, respectively.

Relative Value funds returned -0.12% in June and 2.32% year-to-date. On an asset-weighted basis, returns were 0.03% and 2.42%, respectively.

MSCI’s Specialist Credit Index, composed of distressed securities funds, long/short credit funds and private placement funds, returned -1.43% in June but still was up 3.68% for the year. Asset weighted returns for Specialist Credit funds were -1.12% and 3.28%, respectively.

The Multi-Process Group Index is made up of funds in which a single strategy does not make up at least 80% of risk capital. That category returned -2.25% in June and -0.14% year-to-date. Asset weighted returns were -2.87% and -1.73%, respectively.

MSCI unveiled the indexes in July with goals that included transparency, better hedge fund classification and index definition. MSCI executives were unavailable for comment on the June returns.