MSCI Hedge Fund Index Off in March

May 3, 2005 ( - The MSCI Hedge Fund Composite Index suffered a 0.61% setback in March, bringing its total for the year to a 0.33% gain, according to an MSCI news release.

According to MSCI data, the majority of process groups posted losses in March. The MSCI Specialist Credit Index boasted the highest return of all process groups by gaining 0.11%. Meanwhile, the MSCI Security Selection Index   suffered the largest loss of 1.08%.

Under MSCI Security Selection Index, Long Bias funds posted a loss of 1.47% and Short Bias funds posted a gain of 1.72%. The MSCI Relative Value Index posted a loss of 0.13% among process groups.

Under MSCI Relative Value Index, Statistical Arbitrage posted the highest gain of 0.50%, while Convertible Arbitrage posted the largest loss of 1.21%. By asset class, the MSCI Hedge Fund Equity Index lost 0.86%, while the MSCI Hedge Fund Fixed Income Index posted gains of 0.27%.

The MSCI Hedge Fund Currency Index posted a loss of 1.04%. By geography, the MSCI Hedge Fund Emerging Markets Index posted the largest setback of 1.94%, followed by the MSCI Hedge Fund Global Markets Index and the MSCI Hedge Fund North America Index, which lost 1.08% and 0.63%, respectively.

In terms of hedge fund size, the MSCI Hedge Fund Small Fund Composite Index lagged the MSCI Hedge Fund Core Fund Composite Index by 0.30%, according to the MSCI data.

March also saw the MSCI World Equity Index and the MSCI World Sovereign Debt Index, posting losses of 1.93% and 1.32% respectively.

The MSCI Hedge Fund Database has grown to over 2,000 hedge funds and more than 190 indices representing more than $270 billion in assets. Over 98% of the funds in the database reported performance as of March’s index calculation, MSCI said.