Investing April 28, 2003

MSCI Hedge Fund Index Slides 0.47% in March

April 28, 2003 (PLANSPONSOR.com) - After experiencing three months of positive returns, final data shows the MSCI Hedge Fund Indices slid into the red by 0.47% in March.
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March’s numbers came in lower than February’s 0.81% gain (See   MSCI Hedge Fund Index Achieves Slight February Gain).  However, the index performed better than the MSCI World Equity Index, which slid 0.56%.  For the year, the index is up 1.69%, far outperforming its World counterpart, which is down 5.50%, according to a MSCI news release.

Components

Unlike February, March was dragged down by negative returns in Directional Trading, those strategies based upon speculating on the direction of market prices of currencies, commodities, equities, and bonds in the futures and cash markets, which was 3.53% lower.  Comparatively, Directional Trading was February’s biggest gainer, up 4.01%.

Otherwise gains were seen across the board.   March’s biggest gainer was the Specialist Credit funds, up 0.75%.  Specialist Credit, those funds thatseek to lend to credit-sensitive issuers, was likewise buoyed by returns in Long-Short Credit and Distressed Securities, which gained 0.98% and 0.87%, respectively.

Likewise, gains were seen in Multi-Process Group and Relative Value.  Multi-Process Group funds,those strategies that focus on spread relationships between pricing components of financial assets or commodities, became the second best performing process group for March with a 0.52% return.  Relative Value, strategies that focus on spread relationships between pricing components of financial assets or commodities, was up 0.48%.

March’s other gainer was the Security Selection Index, 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.   Security Selection managed to reverse February’s negative 0.45% return, ending March 0.07% higher.

Broken down by asset class, March’s top performer was the MSCI Hedge Fund Fixed Income Index,which gained 0.87%.   This performance was followed by the MSCI Hedge Fund Equity Index gaining 0.10%, while the MSCI Hedge Fund Diversified Indexfell 2.98%.

The MSCI Hedge Fund Indices are composed of more than 160 indices. More than 1,700 hedge funds have agreed to participate in the database and there are over 1,100 hedge funds currently in the MSCI Hedge Fund Indices and Database.

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