Thu, Dec 8, 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. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  2. Hunt for yield pushes more investors into riskier assets[more]

    From FT.com: Pension funds and insurance companies have increasingly embraced riskier assets in their hunt for higher returns over the past five years. Alternative assets such as property, infrastructure, private equity and hedge funds have been bought up by institutional investors in a world where

  3. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  4. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  5. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released