MSCI: Hedge Fund Composite 1.9% Higher in October

November 14, 2003 ( - Preliminary results show the MSCI Hedge Fund Composite Index gained 1.9% in October.

With 65% of the funds reporting, the Composite’s gain is higher than September’s 1.6% (See   MSCI: Hedge Funds Harvest 1.6% Gain in September ), yet lower than the MSCI World Equity Index, which up 5.8%.  For the year, the Composite index is up 13.3%, underperforming its World counterpart’s 21.5% return, according to a MSCI news release.

Compared to the World Sovereign Debt Index, which returned a negative 0.5% in October, the Composite index was better for the month.  For the year, the World Sovereign Debt Index has now returned 8.8%.

Group Report

October’s largest process group gainer, based on 67% of funds reporting, was the Security Selection group, up 2.6%.   Security Selection, those managers who combine long positions and short sales with the aim of benefiting from their ability in selecting investments while offsetting systematic market risks, has now returned 16.9% year-to-date.

The remain four indexes also posted positive monthly returns, lead by the Multi-Process Group and Specialist Credit Indices’ 1.8%-October returns.   Multi-Process, strategies that focus on spread relationships between pricing components of financial assets or commodities, has now returned 16.9% year-to-date on a 55% reporting rate while Specialist Credit, those funds that seek to lend to credit-sensitive issuers, has now returned 18.6% year-to-date based on 58% of funds reporting.

Rounding out the list was a 1.6% gain notched by the Directional Trading Index and a 0.8% October return posted by the Relative Value Index. With 75% of funds reporting, Directional Trading, strategies based upon speculating on the direction of market prices of currencies, commodities, equities, and bonds in the futures and cash markets, is up 9.9% year-to-date.  Similarly, Relative Value is also positive for the year 7.1%, with 59% of funds reporting.

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.