Thu, Oct 23, 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 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.

Morningstar

Press Release

BM

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   

Banner

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. Commodities - Oil wreaking havoc on small-cap energy stocks sliding 36%[more]

    From Bloomberg.com: Owning almost anything in the U.S. stock market has been a losing proposition since September. Owning smaller energy companies has been a catastrophe. Hercules Offshore Inc. and Resolute Energy Corp. are among 19 oil-and-gas equities in the Russell 2000 Index that lost more than

  2. Investing - Hedge funds favor equity long/short, Strategic bond managers hedge against further high yield sell-off[more]

    Hedge funds favor equity long/short From Securitieslendingtimes.com: Equity long/short strategies will generate good returns for hedge funds in the future, according to a panel at this year’s Risk Management Association Conference on Securities Lending in Naples, Florida. Panellists Sand

  3. Legal - Ex-hedge fund analyst weeps as judge hands down 5 year sentence, Former Columbus investment manager Steven P. Moore indicted on theft charges, SEBI confirms ban for Hong Kong hedge fund, SEC announces enforcement action against compliance officer[more]

    Ex-hedge fund analyst weeps as judge hands down 5 year sentence From Hereisthecity.com: An ex-hedge fund analyst was sentenced to 5 years in prison for his role in insider-trading scheme. The New York Post reports that former hedge fund analyst Matthew Teeple was sentenced Thursday to fiv

  4. Goldman in talks to acquire IndexIQ[more]

    From Bloomberg.com: Can Goldman Sachs put ETF investors on a liquid diet? Goldman is in talks to acquire IndexIQ, Reuters has reported. Index IQ is a small exchange-traded-fund firm known mostly for products that replicate hedge fund strategies, called "liquid alternative" ETFs. While IndexIQ has 11

  5. Other Voices: CALPERS dilemma should be a warning to hedge funds wanting institutional investors[more]

    From Ian Hamilton, founder of IDS Group. A quick comment on the CALPERS’ disinvestment from the hedge fund market and the jitters it is causing. Pension Funds should not be sheep and follow CALPERS’ decision as the issues that CALPERS has with hedge fund investments are in many ways unique t