Fri, May 6, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Morningstar reports hedge fund performance for February, asset flows for January

Monday, March 26, 2012
Opalesque Industry Update: Morningstar, Inc., a leading provider of independent investment research, today reported preliminary hedge fund performance for February 2012 as well as estimated asset flows for January. The Morningstar MSCI Composite Hedge Fund Index, an asset-weighted composite of nearly 1,000 hedge funds in the Morningstar database, increased 1.2% in February, but significantly lagged the MSCI World NR Stock Index's 4.9% rise. With the exception of short-biased strategies, all hedge fund categories posted gains for the month.

"Global equities continued to rally throughout February and risk aversion further declined," said Mallory Horejs, alternative investments analyst at Morningstar. "For the second month in a row, equity-oriented hedge fund strategies led the way with the largest increases."

Emerging market equities again posted the largest gains as the Morningstar MSCI Emerging Markets Hedge Fund Index rose 3.5% against the MSCI Emerging Market NR Stock Index's 6.0% increase. European equity markets also delivered strong numbers, as both the European Central Bank's liquidity program and Greek bailout package buoyed market sentiment. The Morningstar MSCI Europe Hedge Fund Index rose 2.3% against the Morningstar MSCI Europe NR Stock Index's 6.3% increase.

The U.S. economy continued to show signs of improvement in February, as previous GDP estimates were revised upward and new claims for jobless benefits declined to their lowest level in four years. The Morningstar MSCI North America Hedge Fund Index climbed 1.7%, but fell short of the S&P 500's 4.3% surge.

Equity-oriented strategies also benefited from falling correlations across stock sectors and geographies. The CBOE S&P 500 Implied Correlation Index, which reached record highs in December 2011, steadily declined to more normalized levels throughout February. Fundamental stock pickers generated profits in this less-correlated environment and the Morningstar MSCI Security Selection Hedge Fund Index rose 2.8%.

Despite the month-end selloff of precious metals, sustained upward trends in energy and equity contracts throughout the month enabled trend-following strategies to deliver gains. Energy contracts rallied as geopolitical concerns surrounding Iran's nuclear ambitions drove oil prices higher. The Morningstar MSCI Directional Trading Hedge Fund Index, which includes funds that speculate on price trends across various asset classes, rose 1.5%.

Relative-value strategies also fared well, but posted more muted gains for the month. The Morningstar MSCI Relative Value and Morningstar MSCI Convertible Arbitrage Hedge Fund Indexes rose 1.0% and 0.7%, respectively. Merger arbitrage and corporate actions strategies in particular profited from the rebound in European deal flow. Merger activity in the region ground to a halt in the second half of 2011 amidst sovereign debt uncertainty and recessionary fears, but rising risk appetites sparked a flurry of new deals in January and February. The Morningstar MSCI Merger Arbitrage and Event-Driven Hedge Fund Indexes rose 0.7% and 1.9%, respectively.

Hedge funds in Morningstar's database leaked almost $1.5 billion in January, marking the fourth consecutive month of significant outflows. Most categories experienced redemptions, but global long/short equity and global macro funds were the hardest hit, leaking $873.6 and $803.1 million, respectively. Funds in the event-driven category also struggled, as investors pulled out $374.8 million in January. Diversified arbitrage and systematic futures funds did manage to gather more assets, though, with the categories enjoying $787.7 and $582.1 million in inflows for the month, respectively.

Hedge funds of funds in Morningstar's database also suffered from massive redemptions, totaling more than $1.7 billion in January. Single-manager, multistrategy hedge funds of funds fared much better, experiencing only $20 million in outflows.

February returns for the Morningstar MSCI Hedge Fund Indexes are based on funds that reported as of March 19, 2012. January asset flows are based on funds that reported as of March 12, 2012. Hedge fund investors, managers, consultants, and advisors can access additional information through Morningstar DirectSM, the company’s global research platform for institutions.

Morningstar

Press Release

BM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n

  2. Opalesque Exclusive: Hedge fund talent, fees take a hit at the Milken Global Conference[more]

    Bailey McCann, Opalesque New York: It's been a rough year for hedge funds and now, even other managers are panning them. "Frankly, I’m blown away by the lack of talent," was Point 72 CEO Steven Cohen's assessment of trying to find candidates to hire in the investment business at a panel o

  3. Hedge funds fell in April as alternative UCITS surge in Europe[more]

    Komfie Manalo, Opalesque Asia: Hedge funds shed more in April with the Lyxor Hedge Fund Index down 0.9% during the month (-2.8% YTD), but there was some good news with alternative UCITS showing strong inflows in Europe. In its Weekly Briefing, Lyxo

  4. Global hedge funds recover in April on resurging energy commodities[more]

    Komfie Manalo, Opalesque Asia: Global hedge funds recovered in April with the HFRX Global Hedge Fund Index gaining +0.41% last month (-1.47% YTD), while the HFRX Market Directional Index gained +5.31% during the same

  5. AIG lost $349m in hedge fund portfolio in Q1[more]

    Komfie Manalo, Opalesque Asia: Large US insurance group AIG lost a net $183m for the first quarter 2016, year-on-year. The group blames the loss on the impact of market volatility on investments, as well as net realised capital losses and restructuring costs. Its hedge fund portfolio made a n