Sun, Oct 23, 2016
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Morningstar MSCI Composite Hedge Fund Index down -0.8% in October (+4.0% YTD)

Wednesday, November 28, 2012
Opalesque Industry Update: Morningstar, Inc., a leading provider of independent investment research, today reported preliminary hedge fund performance for October 2012 as well as estimated asset flows through September. The Morningstar MSCI Composite Hedge Fund Index, an asset-weighted composite of nearly 1,000 hedge funds in the Morningstar Hedge Fund database, fell 0.8% in October, but was up 4.0% year to date as well as during the last 12 months.

“Hedge funds were a mixed bag in October, as managed futures strategies performed particularly poorly, but international equity-focused and short-biased funds posted gains on average,” Nadia Papagiannis, director of alternative fund research at Morningstar, said.

The Morningstar MSCI Systematic Trading Hedge Fund Index, which includes hedge funds that profit from price trends in the futures market, plummeted almost 4.0% in October, the worst monthly performance since March 2003. Price reversals in a number of commodities, including precious metals, natural gas, and wheat, hurt many trend-following hedge fund strategies.

Domestic stock prices also seesawed throughout the month because of disappointing corporate earnings and fears of the impending fiscal cliff. The S&P 500 and Russell 2000 Indexes declined 1.9% and 2.2%, respectively. Short-biased hedged funds profited, and long-biased equity hedge funds successfully defended against the market turbulence. The Morningstar MSCI North America and the Equity Hedge Fund Indexes edged up slightly at 0.01% and 0.2%, respectively, while the Morningstar MSCI Short Bias All Size Hedge Fund Index climbed 3.1%.

International equity strategies profited in October, as the central banks of Europe, England, Japan, Australia, and South Korea maintained accommodative monetary policies. The Morningstar MSCI Europe and Asia Pacific Hedge Fund Indexes rose 0.1% and 1.6%, respectively, in October. The Morningstar MSCI Emerging Markets Hedge Fund Index also rose 1.3% in October, driven primarily by the strong performance of Chinese equities.

 October was a tough month for merger arbitrage strategies. BCE Inc.’s planned acquisition of Astral Media and Petronas’ targeted acquisition of Progress Energy Resources were halted by Canadian regulators. The Morningstar MSCI Merger Arbitrage Hedge Fund Index declined 0.4%.

In September, single-manager hedge funds in Morningstar's Hedge Fund Database saw outflows $1.1 billion. The global macro category experienced the heaviest redemptions among all single-manager categories, bleeding $546 million. The debt arbitrage strategies and long-only debt strategies had inflows of $147 million and $194 million, respectively.


Press Release


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. M&A - U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga, Hedge fund Parvus shows hand, toppling William Hill merger deal[more]

    U.S. hedge fund HarbourVest is shock winner in the £1.1bn SVG Capital takeover saga From The fierce battle to buy Britain's biggest private equity group has come to an unexpected conclusion, with the original bidder walking away with the prize. SVG Capital has agreed

  2. Marc Lasry: Energy is still a phenomenal opportunity[more]

    From Distressed debt specialist Marc Lasry said energy debt is still a "phenomenal opportunity" because investors can get "massively overpaid" for the risk they take on. There are "huge opportunities" in the energy sector especially in restructurings, the Avenue Capital Group CEO said Tues

  3. Opalesque Exclusive: Ex-SAC manager re-emerges with market neutral hedge fund[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: A manager re-emerged from the SAC battleground last year to launch his own hedge fund under the umbrella of New York-based investment firm Endicott Group.

  4. North America - Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation, Billionaire hedge fund titans Dinan, Lasry on election, markets and best investment ideas[more]

    Hedge-fund manager Kyle Bass says the U.S. is on track for stagflation From Kyle Bass, founder of Hayman Capital Management, on Wednesday warned that the U.S. is headed toward so-called stagflation. Stagflation is typically described as persistently high inflation and hi

  5. Macro hedge funds up 3.3% in one week on Fed and Brexit pays off[more]

    Komfie Manalo, Opalesque Asia: Hedge funds were boosted by the strong performance of global macro funds, with the Lyxor Global Macro Index gaining 3.3% as of the week ending Oct. 11 (-1.7% YTD), Lyxor Asset Management reported. Their short on the p