MSCI Hedge Composite December Falls Short of November Showing

January 27, 2004 ( - The MSCI Hedge Fund Composite Index posted a December increase of 1.64%, down from November's 1.94% showing.

According to an MSCI news release, the composite rose by a 13.34% total for the year – a commanding advance from 2.44% for the 12 months of 2002.

The Composite underperformed the MSCI World Equity Index, up 6.27% in December and 33.11% for the year.   World Sovereign Debt Index had a return of 3.91% for December and staked out a 14.97% advance for the year.

Hedge Fund Indices

Performance was comparatively strong for the month, with two indices breaking the 2% barrier.  The highest December return came from the Directional Trading Index, which reported an increase of 2.79%.and 10.57% for the year.  Directional Trading strategies are based on speculating on the direction of market prices of currencies, commodities, equities, and bonds in the futures and cash markets

Meanwhile, Multi-Process Group Index followed in second place with a 2.02% December showing and 18.3% over the year. Multi-Process strategies are those in which a single investment process does not account for more than 80% of their risk capital. Next in line was Security Selection, those who combine long positions and short sales with the aim of benefiting from their ability in selecting investments while offsetting systematic market risks. Security Selection had a 1.97% December showing with 18.88% for the year.

Specialist Credit, funds that seek to lend to credit-sensitive issuers, had a 1.88% December and year-to-date return of 24.02%.  Specialist Credit led the way in November (See  Specialist Credit Leads MSCI Hedge Composite to November Hike ).

Finally, Relative Value, the index focused on spread relationships between pricing components of financial assets or commodities, had a 0.35% December showing with a 6.66% advance year to date.

The MSCI Hedge Fund Indices are composed of more than 190 indices. More than 1,800 hedge funds have agreed to participate in the database and there are over 1,600 hedge funds currently in the MSCI Hedge Fund Indices and Database.