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MSCI Hedge Fund Index Rises 1% in August

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NEW YORK (–Hedge funds tracked by Morgan Stanley Capital International returned 1% in August, bringing returns for 2003 through August to 9.3%, based on preliminary results for the month.

In the same respective periods, the MSCI World Equity Index returned 2% and 14.3%, the MSCI World Sovereign Debt Index returned negative 0.6% and 3.4% and the Standard & Poor’s 500 Index returned 1.8% and 14.6%.

The MSCI Hedge Fund Index was boosted by good performance from three MSCI hedge fund groupings: MSCI Security Selection Index; MSCI Multi-Process Group Index; and MSCI Specialist Credit Index.

The MSCI Security Selection Index returned 1.8% in August and was up 11.8% in the first eight months of the year. The Security Selection Index is MSCI’s category for long/short equity funds, equity market neutral funds and short-biased funds. Returns for July were 1.4%, up from preliminary returns of 1.2%

The MSCI Multi-Process Group Index , made up of event-driven and multi-strategy funds, also returned 1.8% in August and was up 12.5% in the year-to-date period through August.

The Specialist Credit Index, which includes distressed securities funds and long/short credit funds, returned 1.3% in August and a leading 14% year-to-date through August. Returns for July were revised up to 0.9% from the preliminary result of 0.6%.

Performing less well were the MSCI Directional Trading Index and the MSCI Relative Value Index. The Directional Trading Index, composed mostly of global macro, futures and tactical allocation funds, returned 0.0% in August and was up 6.8% this year through August. July’s returns were revised to negative 1.6% from negative 1.8%.

The MSCI Relative Value Index returned negative 0.1% in August and was up a lagging 4.7% in the first eight months of 2003. The relative value category includes arbitrage, merger arbitrage and statistical arbitrage funds.

The MSCI Index for August was calculated with 65% of funds reporting. Final results are planned for release later this month.

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