Sun, May 29, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Morningstar reports hedge fund index fell 0.9% in June (+1.6% YTD)

Monday, July 23, 2012
Opalesque Industry Update - Morningstar Inc, a provider of independent investment research, today reported preliminary hedge fund performance for June 2012 as well as estimated asset flows through May.

The Morningstar MSCI Composite Hedge Fund Index, an asset-weighted composite of nearly 1,000 hedge funds in the Morningstar Hedge Fund database, fell 0.9% in June, while the MSCI World Stock Index soared 5.1%.

"Hedge fund strategies came up short in June despite strong overall equity market performance," said Mallory Horejs, alternative investment analyst for Morningstar. "Trend-following funds were hit especially hard due to several mid-month price-trend reversals across asset classes."

The Morningstar MSCI Systematic Trading Hedge Fund Index, which includes funds that trade liquid global futures, options, and foreign-exchange contracts largely according to momentum strategies, sank 3.0% in June, its largest decline in eight months. Longer-term price-trend trading proved difficult due to sharp mid-month and month-end reversals across global equity markets. Shifting investor sentiment also led to sharp reversals across currency markets, with the Euro appreciating notably against the U.S. dollar at month end following positive developments at the European Union Summit. The Morningstar MSCI Currencies Hedge Fund Index managed to stay afloat though, inching up 0.1% for the month.

International equity-oriented hedge fund strategies fared much better in June, but significantly lagged the unhedged stock markets. The MSCI Europe Stock Index surged 7.9% after pro-austerity parties won Greek elections and European leaders announced the creation of a single banking supervisory body to address the region's debt crisis. The Morningstar MSCI Europe Hedge Fund Index, by comparison, rose only 0.4%. The Morningstar MSCI Emerging Markets Hedge Fund Index also stalled, climbing only 0.2% against the Morningstar MSCI Emerging Market Stock Market Index's 3.9% jump.

Hedge funds investing in North American equities also largely underperformed the broad stock markets—the Morningstar MSCI North America Hedge Fund Index rose only 0.6% while the S&P 500 Index jumped 4.1% after the Fed announced it would continue Operation Twist until the end of the year. Smaller-capitalization strategies also lagged, with the Morningstar MSCI Small Cap Hedge Fund Index increasing only 1.1% against the Russell 2000 Stock Index's 5.0% ascent. Short-selling equity strategies posted the worst performance in June. The Morningstar MSCI Short Bias Hedge Fund Index was down 4.3% for the month and 9.6% for the year through June, more than any other Morningstar MSCI hedge fund index. Fixed income performance was mixed in June as investors moved to riskier asset classes. The Barclays US Aggregate Bond Index fell flat for the month while the Barclays Global High Yield Index rose 2.8%. Despite a rally in high yield and leverage loans, the Morningstar MSCI Specialist Credit and Morningstar MSCI Long-Short Credit Hedge Fund Indexes posted small declines of 0.2% and 0.3%, respectively. The Morningstar MSCI Fixed Income Arbitrage Hedge Fund Index rose a slight 0.8%.

Single-manager funds in Morningstar's Hedge Fund database netted $1.8 billion in May, marking the fourth consecutive month of inflows. Credit strategies were in high demand and funds in the long/short debt and debt arbitrage categories received the most inflows of $385 million and $367 million, respectively. Multistrategy hedge funds also fared well, netting inflows of $363 million in May, while fund of funds overall leaked roughly $658 million. Morningstar's Europe long/short equity hedge fund category experienced the largest net redemptions of all single-manager categories, bleeding $169 million. June returns for the Morningstar MSCI Hedge Fund Indexes are based on funds that reported as of July 16, 2012. May asset flows are based on funds that reported as of July 17, 2012.

Press release

bc

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. Americas - Australian banks sending U.S. hedge funds broke, Ryan Puerto Rico ‘rescue’ bill could be windfall for hedge funds[more]

    Australian banks sending U.S. hedge funds broke From SMH.com.au: US hedge funds are not having the best of years. Profits are hard to find, they're underperforming and the punters are losing patience, withdrawing US$15 billion ($20.8 billion) in the March quarter. They're expected to wit

  2. Investing - Billionaire Wilbur Ross likes the look of Chinese bad loans, Hedge funds are still relevant in a diversified portfolio: 4 fundamental criteria for superior manager selection[more]

    Billionaire Wilbur Ross likes the look of Chinese bad loans From Bloomberg.com: U.S. billionaire Wilbur Ross said he’s considering investing in nonperforming loans in China, as Moody’s Investors Service said that the nation has the tools to prevent a financial crisis in the near term. I’

  3. Investing - Blackstone gives pricey Canadian energy and property thumbs down, One of the most concentrated hedge fund bets is getting crushed, Facebook is hedge funds' new tech darling,[more]

    Blackstone gives pricey Canadian energy and property thumbs down From Bloomberg.com: Canada’s energy assets are uneconomic and real-estate markets overvalued, making them less attractive for investment than in the U.S. and elsewhere, according to Tony James, president of Blackstone Group

  4. Study - Only 30% of institutional hedge fund portfolios beat the benchmark[more]

    Bailey McCann, Opalesque New York: A new study from CEM Benchmarking, an independent provider of cost and performance analysis for pension funds, shows that only 30 percent of institutional investors hedge fund portfolios beat the benchmark after fees. The study provides in depth analysis of real

  5. Opalesque Exclusive: $1bn hedge fund club grows to 668 managers, continues to dominate (Part One)[more]

    Komfie Manalo, Opalesque Asia: Despite an underwhelming 2015 and a slow start to 2016 in terms of performance, one group of managers that continues to dominate the assets of the hedge fund industry is the so called $1bn club – hedge fund managers with at least $1bn in assets under management (AU