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MSCI Hedge Fund Composite Index Up 2.4% in November

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NEW YORK (–Directional trading strategies are still the gain leaders in the MSCI Hedge Fund Composite and Process Group Indexes.

In preliminary results, based on the funds that reported, the MSCI Directional Trading Strategies Index, which includes systematic and discretionary trading used by managed futures managers, gained 3.4% in November, 76% of constituent funds reporting to the index company.

The composite index gained 2.4% last month and is up 5.2% for the year to date, quite a bit better than the S&P 500 Hedge Fund Index, which is up 2.62% through November. The CSFB/Tremont Index was up 7.91% for the same time period.

For the same span the MSCI World Equity Index showed a return of 5.3% in November alone.

The MSCI paralleled other indexes in finding that managed futures managers boosted index performance and generally fared better than long/short stock pickers.

The MSCI Security Selection and the MSCI Multi-Process Group Indexes were tied for second place in November, with boosts of 2.8% during the month. Security Selection managers are those combining long positions and short sales to avoid systematic market risks, while Multi-Process Group managers use an event-driven approach.

The Security Selection and Multi-Process indexes were up 6.1% and 8.7% for the year through November, according to MSCI.

The best-performing sector was the MSCI Specialist Credit Index, with a gain of 10.6% year to date. The grouping was up 2% in November, based on 65% of funds reporting. The underlying fund strategies it reflects are distressed securities, long/short credit and private placements.

Relative value strategies gained 0.7% in November, in an indicator combining the performance of arbitrage, merger arbitrage and statistical arbitrage funds. The MSCI Relative Value Index increased by 2.1% year to date, with 68% of funds reporting performance.

The MSCI Hedge Fund Composite is an equal-weighted index that is based on the MSCI hedge fund database, which has more than 1,900 hedge funds. The composite index comprises more than 190 indexes representing more than US$240 billion in assets.

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