Close Close

Portfolio > Asset Managers

MSCI Hedge Fund Index Return Positive in August

Your article was successfully shared with the contacts you provided.

NEW YORK (–Morgan Stanley Capital International’s Hedge Fund Composite index returned 0.44% in August and 0.38% year-to-date through August compared to the Standard & Poor’s 500 stock index that return 0.49% and -20.21% for the same periods, respectively.

The MSCI Asset Weighted Hedge Fund Composite index returned 0.84% in August and 1.08% year-to-date.

The main driver of returns in the composite index was the security selection category, according to MSCI, which includes funds considered to have a long bias (long/short equity), no bias (market neutral), a short bias and a variable bias. The security selection index returned 0.1% in August and was down 3.88% year-to date. The asset-weighted version of the security selection index returned 0.52% in August and -2.85% year-to-date.

Directional trading funds performed well in August and year-to-date, according to MSCI, returning 1.28%, and 8.48%, respectively. The directional trading category includes futures managers and global macro managers. On an asset-weighted basis, returns were 2.67% and 11.88%, respectively.

Relative value funds tracked by MSCI returned 0.68% in August and were up 2.96% year-to-date. The category includes merger arbitrage, statistical arb and multi-process managers that focus on spread relationships between securities. Asset-weighted returns for relative value funds were 0.58% and 2.35%, respectively.

Fixed-income arbitrage and distressed securities managers are the largest components of MSCI’s specialist credit index, which returned -0.43% in August and 1.86% year-to-date. Respective returns on an asset-weighted basis were -0.05% and 1.36%.

The multi-process group category, for funds that use more than one major approach, returned 0.71% in August and -1.46% year to date. Multi-process funds returned 0.49% in August and -2.41% year to date, on an asset-weighted basis.

MSCI’s results parallel the slightly positive results reported by the managers of the asset-weighted CSFB/Tremont* Hedge Fund Index, which posted a mild gain of 0.85% in August and 0.82% year-to-date.

*Tremont Advisers Inc., Rye, N.Y., is a strategic partner of, and minority investor in, HedgeWorld.