Fri, Sep 19, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Morningstar MSCI Composite Hedge Fund Index inched up 0.5% in August (4.1% YTD)

Friday, September 28, 2012
Opalesque Industry Update —Morningstar, Inc., a leading provider of independent investment research, today reported preliminary hedge fund performance for August 2012 as well as asset flows through July.

The Morningstar MSCI Composite Hedge Fund Index, an asset-weighted composite of nearly 1,000 hedge funds in the Morningstar Hedge Fund database, inched up 0.5% in August, falling short of the MSCI World Stock Index's 2.5% climb.

"Speculation of further central bank easing in the United States and Europe drove most global equity markets higher in August," said Mallory Horejs, an alternative investments analyst with Morningstar. "Managers across most hedge fund strategies found opportunities to profit."

Despite light trading volume throughout August, developed-markets equities notably benefited from improving U.S. economic data and the European Central Bank's bond-buying proposal. Hedge funds investing in North America and Europe rose but failed to keep pace with the unhedged stock markets. The Morningstar MSCI North America Hedge Fund Index climbed 1.5% but fell short of the S&P 500 Index's 2.3% increase. The Morningstar MSCI Europe Hedge Fund Index trailed the MSCI Europe stock market index by a wider margin, as the indexes rose 0.5% and 4.4%, respectively. Overall investor sentiment continued to improve throughout the month, and the Chicago Board of Options Exchange Volatility Index fell to levels not seen since 2007.

In August, event-driven hedge fund strategies posted their highest monthly increases in nearly six months because of increasing investor risk tolerance and lower equity volatility levels. The Morningstar MSCI Event-Driven and Morningstar MSCI Merger Arbitrage Hedge Fund indexes jumped 1.1% and 0.4%, respectively. High-yield securities also rallied sharply in August, and investor demand boosted new high-yield bond issuance to unseasonably high levels. The Morningstar MSCI Distressed Securities Hedge Fund Index rose 1.4% against the Barclays Global High Yield Index's 2.1% jump. The Morningstar MSCI Specialist Credit Hedge Fund Index climbed 0.9%.

Asia Pacific and emerging-markets equities did not fare as well in August, as Japan's second-quarter gross domestic product was revised downward and growth prospects in China continued to decline. The MSCI Asia Pacific and MSCI Emerging Market stock market indexes dipped 0.6% and 0.3%, respectively. Hedge funds investing in these regions managed to provide investors some downside protection, though. The Morningstar MSCI Asia Pacific and Morningstar MSCI Emerging Markets Hedge Fund indexes posted modest increases of 0.4% and 0.9%, respectively.

Price trend-following strategies were one of the few groups to post losses in August. Currency trading proved especially challenging as several currency pairs’ price trends reversed during the month. The Japanese yen, for example, first depreciated against the U.S. dollar because of lower export numbers in Japan, but then appreciated on news of Federal Reserve easing. The Morningstar MSCI Systematic Trading Hedge Fund Index, which includes funds that trade price momentum across equity, interest-rate, currency, or commodity futures contracts, declined 1.2%.

After leaking more than $2.5 billion in June, hedge funds in Morningstar's database experienced yet another month of sizable outflows, bleeding $4.2 billion in July. For the year to date through July, single-manager hedge funds in Morningstar’s database lost more than $5.1 billion. Systematic futures funds experienced the greatest outflows by far, losing $3.8 billion in July alone. Investors timed these withdrawals well, though, given the category's overall poor performance in August. Funds in the event-driven and distressed-securities categories also suffered, leaking $415 million and $346 million, respectively.

August returns for the Morningstar MSCI Hedge Fund Indexes are based on funds that reported as of September 27, 2012. July asset flows are based on funds that reported as of September 17, 2012. Hedge fund investors, managers, consultants, and advisors can access additional information through Morningstar Direct SM , the company’s global research platform for institutions.

Press release and full performance table: corporate.morningstar.com/us/documents/pr/August-2012-Hedge-Fund-Press-Release.pdf

Bg

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. SEC charges 19 investment firms and one trader for breach of Rule 105[more]

    Benedicte Gravrand, Opalesque Geneva: The Securities and Exchange Commission (SEC) started a push to enhance the enforcement of Rule 105 of Regulation M last year to uncover hedge funds and private equity firms that have illegally participated in an offering of a stock after short selling it duri

  2. Fund managers, bullish on Europe, anticipate monetary policy separation of Fed and ECB[more]

    Komfie Manalo, Opalesque Asia: At least 202 fund managers with $556bn of assets under management said that while the European Central Bank (ECB) has eased its monetary policy that sent sentiments towards Europe to pick up, the Fed is expected to hike its rate in the spring of 2015. Investor

  3. News Briefs - Limited partners of investment managers may be subject to self-employment taxes, Just one week left until NYC's Rocktoberfest[more]

    Limited partners of investment managers may be subject to self-employment taxes On September 5, 2014, the Internal Revenue Service (“IRS”) issued Chief Counsel Advice 201436049, concluding that members of an investment manager were subject to self-employment taxes with respect to their e

  4. Institutions - Adviser's faith in hedge funds unshaken by CalPERS' move Advisers weigh in on CalPERS’ decision, Gina Raimondo sees no reason to follow California’s lead, exit hedge funds, Danish pension funds step up 'alternative investments'[more]

    Adviser's faith in hedge funds unshaken by CalPERS' move From WSJ.com: Financial advisers who use hedge funds in their clients' portfolios say they aren't rethinking that approach after a huge California pension fund announced plans to exit the hedge-fund market. The decision by the Cali

  5. Short Selling - Notorious U.S. short-seller targets Alibaba[more]

    From Wantchinatimes.com: A notorious American short-seller appears to have "targeted" Chinese internet giant Alibaba on the eve of its historic public listing on the New York Stock Exchange, reports Chinese web portal Hexun. Alibaba's highly-anticipated listing on Friday could potentially be the big