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Portfolio > Alternative Investments > Hedge Funds

September Sees Boost in Hedge Fund Index Returns: MSCI

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NEW YORK (–Long/short equity managers’ performance rose along with that of equity markets in September, helping the MSCI Hedge Fund Composite Index gain 1.15% last month.

For the year through Sept. 30, the index is up only 1.95%, as discretionary trading funds and other hedge fund strategies gained ground after posting losses earlier in the year. By comparison, the MSCI World Equity Index rose 1.89% in September.

The composite index captures performance in five strategy sub-indexes, each of which has struggled over the course of 2004.

The MSCI Security Selection Index was the top-performing strategy group for the month, gaining 1.75%. For the year, long/short equity managers are outperforming the composite hedge fund index with returns tallying 2.61% through September. Short-bias managers in particular underperformed last month with a negative return of 1.10%.

The MSCI Directional Trading Index negated its downward performance trend of the last five months and posted a gain of 1.25% in September. Systematic trading funds led the pack, according to MSCI officials. Still, directional trading strategies are in negative territory year-to-date, with a loss of 2.84% through Sept. 30.

The MSCI Specialist Credit Index and the MSCI Multi-Process Group Index each had gains last month of 0.86% and 1.08%, respectively. The MSCI Relative Value Index, which groups strategies focused on spread relationships between pricing components of financial assets or commodities, lost 0.04% in September. Still, the relative value benchmark is up 1.55% year-to-date.

At the same time, the MSCI Hedge Invest Index was up only 0.49% in September and has only gained 0.27% year-to-date.

Of the geographic hedge fund indexes, the MSCI Hedge Fund Emerging Markets Index was the best performing for the second month in a row with a return of 2.35% last month. The MSCI Hedge Fund Japan Index (-1.68%) was the only geographic index with a negative return.

The MSCI Hedge Fund Database from where the index returns are derived now totals more than 1,900 hedge funds and more than 190 indexes that represent in excess of US$240 billion in assets.

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Contact Bob Keane with questions or comments at: [email protected].


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