MSCI Hedge Fund Index Wrings Out Gain In June

July 24, 2003 ( - The MSCI Hedge Fund Composite Index matched earlier reports, posting a 0.50% final return in June.

June’s Composite index gain, though, was lower than the MSCI World Equity Index, which was up 1.56%.  For the year, the Composite index is up 7.95%, underperforming its World counterpart’s 9.95% return, according to a MSCI news release.

Compared to the World Sovereign Debt Index, which returned a negative 1.63% in June, the Composite index was better for the month.   For the year, the World Sovereign Debt Index has stayed on the positive side, up 7.19%.

June’s largest process group gainer was Specialist Credit, up 1.76%.  Specialist Credit, those funds that seek to lend to credit-sensitive issuers, has now returned 11.05% year-to-date.

Likewise, gains were seen in Security Selection and Multi-Process Group.   Multi-Process Group funds, strategies that focus on spread relationships between pricing components of financial assets or commodities, ended the month 1.31% higher.   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, was the third best performing process group for June with a 1.30% return.   Relative Value was the only process group on the plus side for the month, up a miniscule 0.09%

Conversely, last month’s best performer, Directional Trading managed a complete reverse of fortune, returning June’s only negative performance at -1.59%.   Such a dramatic drop and d irectional traders comprising more than half of the MSCI Hedge Fund Diversified Index, were also largely responsible for the -0.93% June performance in that asset class index.   Otherwise, the remaining two asset class indices – Fixed Income and Equity – were up 1.37% and 1.07%, respectively, in June.

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 1,550 hedge funds currently in the MSCI Hedge Fund Indices and Database.