Mon, Feb 8, 2016
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. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  2. Credit Suisse cherry picks hedge fund ideas[more]

    From FT.com: Credit Suisse Asset Management plans to cherry pick profitable concepts from hedge funds with the launch in Europe of a “best ideas” strategy. The investment arm of the Swiss bank said the strategy will separate it from other funds blighted by “overcrowding problems”. It comes at a time

  3. Investing - Hedge funds bet on risks in U.S. blue-chip debt, Hedge funds bets against bank credit risk paying off, Tiger Global still likes Internet names, gets pointers from Jeter[more]

    Hedge funds bet on risks in U.S. blue-chip debt From WSJ.com: Hedge funds are betting the next bond sector to crack will be the $4.5 trillion market for the safest U.S. corporate debt. New York’s Perry Capital has placed a $1 billion wager against investment-grade bonds issued by 10 comp

  4. Short Selling - Hedge fund manager Kyle Bass is shorting real estate—again, Top US hedge fund has €80m short position in Paddy Power Betfair[more]

    Hedge fund manager Kyle Bass is shorting real estate—again From Fortune.com: He also predicted the mortgage crisis in 2008. Hedge fund manager Kyle Bass, who runs Dallas-based Hayman Capital, tanked the stock of a little-known real estate financier Friday by revealing that he is shorting

  5. HFRU Hedge Fund Composite Index down -2.58% in January[more]

    Global financial markets posted sharp losses in January led by declines in Oil and global equities, though steep intra-month losses in both were narrowed by strong gains in final trading days of the month. Global equities posted steep declines for the month led by Biotechnology, Energy, Financial, E