Early Data Puts MSCI Hedge Index Up for January

February 14, 2003 (PLANSPONSOR.com) - The MSCI Hedge Fund Composite Index turned in a 1.3% gain in January, according to preliminary data.

MSCI said the January return is based on information from the 59% of the funds that reported returns through February 14. Meanwhile, t he MSCI World Equity Index decreased by 3.1% in January, the MSCI World Sovereign Debt Index increased by 1.4% during the month, while LIBOR was up by 0.1% over the month.

The performance of the MSCI Hedge Fund Composite Index is comprised of five Process Group Indices:


  • The MSCI Directional Trading Index increased by 3.7% for January based on 60% of funds reporting. MSCI defines Directional Trading strategies as those based upon speculating on the direction of market prices of currencies, commodities, equities, and bonds in the futures and cash markets.
  • The MSCI Relative Value Index rose by 1.2% in January based on 56% of funds reporting.   Relative Value strategies focus on spread relationships between pricing components of financial assets or commodities.
  • The MSCI Security Selection Index headed north in January with a return of 0.4% based on 62% of funds reporting. Security Selection managers combine long positions and short sales with the aim of benefiting from their ability to select investments while offsetting systematic market risks.
  • The MSCI Specialist Credit Indexincreased by 1.3% in January based on 49% of funds reporting. Specialist Credit funds seek to lend to credit-sensitive issuers.
  • The MSCI Multi-Process Group Indexincreased by 0.9% in January based on 59% of funds reporting.   The Multi-Process Group comprises funds, which practice a strategy whereby a single investment process does not account for more than 80% of their risk capital.

The MSCI Hedge Fund Indicescontain more than 160 indices. More than 1,700 hedge funds have agreed to participate in the database and there are over 1,200 hedge funds currently in the MSCI Hedge Fund Indices and Database.