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MSCI Hedge Fund Index Climbs 1.6% in September

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NEW YORK (–The MSCI Hedge Fund Composite Index returned a healthy 1.6% in September, on a preliminary basis, buoyed by good performance from all five of MSCI’s hedge fund process indexes.

And with September’s performance, the MSCI Hedge Fund Index preliminary year-to-date returns jumped into double-digit territory at 11.1%.

Event-driven and multi-process hedge funds, grouped together as the MSCI Multi-Process Group Index, performed best in September with a return of 2.3%, bringing the group’s year-to-date return through September to 15.2%. The final August Multi-Process Group Index return was 1.9%, revised from preliminary returns of 1.8%.

Distressed securities, long/short credit and private placement hedge funds reported returns of 1.8% in September under the Specialist Credit grouping, bringing the category’s returns for the first three quarters to 15.7%. August’s final returns were 1.3%, compared with the preliminary return of 0.9%.

The MSCI Security Selection Index, composed of long/short equity, equity market neutral and short-focused funds, also returned 1.8% in September and was up 14% for the year through September, according to MSCI. The final Security Selection Index August return was 1.8%, down from preliminary results of 1.9%.

Relative value funds–arbitrage, merger arbitrage and statistical arbitrage–returned 1.6% in September and rose 6.2% in the first three quarters of the year, the worst-performing category tracked by MSCI.

And the MSCI Directional Trading Index, made up of global macro funds, futures funds and tactical allocation funds, returned 1.1% in September and 7.8% year-to-date. August’s return for the index was -0.1%, down slightly from the preliminary result of 0.0%.

In the same respective monthly and nine-month year-to-date periods, Standard & Poor’s Hedge Fund Index returned 0.49% and 7.38% , the S&P 500 Index returned -1.2% and 13.2%, the MSCI World Equity Index returned 0.5% and 14.8% and the MSCI World Sovereign Index returned 5.7% and 9.3%.

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