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Hedge Fund Returns Weak in March, According to MSC

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NEW YORK (–Hedge fund returns were negative 0.4% in March and 1.8% in the first quarter of the year, according to preliminary data of the MSCI Hedge Fund Index.

February’s Hedge Fund Index returns were revised upward to 0.8% from the 0.5% based on early data.

The March returns were dragged down by a sharp downturn in performance in the MSCI Directional Trading Index, which fell 3.9% in March, but is still up 3.4% in the quarterly numbers. The Directional Trading index includes futures funds and global macro funds.

Futures funds had been performing great. The final returns for the Directional Trading Index in February was 4%, up from the preliminary tabulation of 2.9% . That followed a strong January, when funds returned 3.3%.

The weak performance for hedge funds comes amid similar returns for global equities. The MSCI World Equity Index fell 0.6% in March and was down 5.5% in the first three months of the year.

The MSCI Multi-Process Group Index, which includes event-driven and multi-strategy funds, returned 0.8% on a preliminary basis in March and is up 1.9% in the first quarter of the year. February returns were adjusted to negative 0.1% from the preliminary return of 0.2%.

MSCI’s Specialist Credit Index returned 0.7% in March and 3.6% year-to-date through March. The final February returns for the Specialist Credit Index came in at 1.1%, slightly higher than the preliminary returns of 1%. The Specialist Credit Index includes distressed securities funds, long/short credit funds and private placement funds.

The MSCI Relative Value Index returned 0.6% in March and is up a solid 2.8% in the first quarter. Final February returns were 0.6%, down slightly from the early results of 0.7%. The relative value category includes general and targeted arbitrage funds.

The MSCI Security Selection Index returned 0.2% in March and was up a meager 0.1% during the year through March. In February, the final returns were negative 0.5%, up slightly from early data showing returns to be negative 0.6%. This category includes long/short equity, equity market neutral and short-biased funds.

The composite index returns were calculated with 55% of funds reporting and with between 53% to 60% of funds reporting for the different sub-indexes.

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