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MSCI Hedge Fund Index Returns 3.6% in May

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NEW YORK (–Hedge funds returned 3.6% in May, based on the preliminary data collected by Morgan Stanley Capital International.

With that strong performance in May, year-to-date returns for the MSCI Hedge Fund Composite Index climbed to 7.4%. April’s composite return was revised to 2% from the preliminary report of 1.9%.

Equities outpaced hedge funds in those periods, though. The Standard & Poor’s 500 stock index returned 5.09% in May and was up 9.52% year-to-date through May, while the MSCI World Equity Index returned 5.5% and 8.3% in the same respective periods. The MSCI World Sovereign Debt Index returned 4.4% in May and 9% in the first five months of the year.

The strongest performing MSCI sub-index was the MSCI Directional Trading Index, which is comprised of global macro funds and futures funds. That category returned 5.2% in May and was up 10.5% year-to-date through May, based on the preliminary reports. The Directional Trading Index returned 1.2% in April, with preliminary results showing 1.3%.

MSCI’s Security Selection Index, which has a strong equity component of long/short equity, market neutral, and short funds, zoomed 4.3% in May, bringing its year-to-date returns through May to 7%. April returns were revised downward from preliminary results to 2.7% from 3.1%.

The Multi-Process Index, which includes event-driven funds and those with more than one strategy, returned 3.5% in May and 7.9% the first five months of the year. April’s results were revised upward to 2.4% from 0.7%.

The MSCI Specialist Credit Index returned 2.6% in May and is up 9.1% year-to-date through May. Returns for April were revised to 2.6% from 1.7%. The category includes distressed funds, long/short credit funds and private placement funds.

The MSCI Relative Value Index returned 1.2% in May and is up 4.8% year-to-date through May. The category includes arbitrage funds of various types. April’s returns were 0.9%.

May’s numbers were calculated with 61% of funds reporting.

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