MSCI Conducts Hedge Fund Invest Index Review

October 2, 2003 ( - Hedge fund index provider MSCI has concluded its first quarterly Hedge Invest Index constituent review, which will result in the number of constituent funds increasing to 74 from 64.

The MSCI Hedge Invest Index, launched in July (See  MSCI, Lyxor Launching Investable Hedge Fund Index ), was found to consist of 11 hedge fund investment processes.   Most prevalent of these was long bias, with 17 constituents and a 12.37% target weight, systematic trading with 14 parts and a 14% weight and arbitrage at 11 elements and an 18.45% weight.   Other constituents included:

  • Long Bias – 7 components, 22.84% weight
  • Discretionary Trading – 6 constituents, 7.19% weight
  • Merger Arbitrage – 6 parts, 3.13% weight
  • Variable Bias – 4 elements, 7.99% weight
  • Statistical Arbitrage – 4 components, 6.36% weight.

Multi-process and short bias’ two constituents each and 3.78% and 0.97% weighting, respectively and the singular event-driven component (2.91% weighting) rounded out the list.

MSCI conducts the review quarterly to incorporate three variables.   First, the realignment of the strategy weights of the investable hedge fund index taking into account changes to the strategy weights in the hedge fund universe, as represented by the broader MSCI Hedge Fund Composite Indices.   Second, the addition to the investable hedge fund index of newly available funds on the platform, which meet the constituent eligibility criteria.   Third, deletions from the investable hedge fund index of existing constituents that no longer meet the ongoing eligibility criteria.

Any changes resulting from the review will take effect as of the close of business on October 7, 2003.