NEW YORK (HedgeWorld.com)–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.