Mon, Oct 23, 2017
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 -0.2% in June; (+7.2% YTD)

Monday, July 29, 2013
Opalesque Industry Update - Morningstar, Inc., a leading provider of independent investment research, today reported preliminary hedge fund performance for June 2013 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 2.0% in June, pushing down its year-to-date increase to 7.2%. Global stock and bond indexes also declined in June; the MSCI World NR global stock market and Barclays Global Aggregate TR bond indexes dropped 1.2% and 2.5%, respectively.

“The spike in volatility that hit global markets in June caught most hedge funds off guard,” AJ D’Asaro, fund analyst at Morningstar, said. “Nearly all hedge fund strategies declined for the month, but funds invested in emerging-markets and trend-following strategies fared the worst.”

Reports of economic weakness, slowing growth, and high inflation in developing countries triggered massive sell-offs. Hedge funds invested in commodity-driven economies, such as Brazil and Russia, fell even further amid continuing declines in commodity prices. The Morningstar MSCI Emerging Markets Hedge Fund Index shed 4.0% in June, reducing the year-to-date increase to a scant 1.9%. The Morningstar MSCI Emerging Markets Hedge Fund Index, however, declined much less than the unhedged MSCI Emerging Markets Stock Index, which dropped 6.4% in June and 9.6% for the first six months of the year.

Hedge funds concentrated in developed equity markets, including the U.S., Europe, and Japan, fared better. These markets partially recovered toward month end as the U.S. Federal Reserve implied that any slowdown in asset purchases would be contingent upon a more robust U.S. economic recovery and the European Central Bank also reaffirmed its loose monetary policy. The Morningstar MSCI North America Hedge Fund Index dropped just 0.5%, besting the S&P 500 Index, which fell 1.3% in June.

Systematic trading or momentum-based hedge fund strategies continued to struggle in June due to sharp reversals in the price trends of most major futures contract markets. The Morningstar MSCI Systematic Trading Hedge Fund Index sank 2.4%, extending its two-year decline. There was, however, a considerable divergence of returns among trend followers in June, as strategies tracking shorter-term price trends were able to adjust to the rapid price reversals and report modest gains for the month. Systematic trading was the only Morningstar hedge fund category to experience major net outflows of more than $1 billion in May and $5.7 billion over the trailing 12 months. In May 2013, single-manager hedge funds in Morningstar’s database saw net outflows of $360 million, but collected $2 billion in net inflows for the year through May.

Long-short debt hedge funds received $1.7 billion through May, the most net inflows of all single-manager hedge fund strategies. Unfortunately, debt-oriented hedge fund strategies posted moderate losses in June as interest rates spiked. The 10-year U.S. Treasury note yield reached 2.6%, up nearly 100 basis points from the month before. The Morningstar MSCI Long Short Credit Hedge Fund Index fell by 1.8% in June, reducing its growth for the first six months of the year to 1.2%. In contrast, the Barclays US Aggregate Bond Index sank only 1.6% in June and remained up 2.4% for the year to date.

Funds in the Morningstar MSCI Merger Arbitrage Hedge Fund Index buffered traditional stock and bond portfolios in June. The index dipped only 0.4%. An upsurge of merger and acquisition deals in the telecom sector helped hedge funds, but spreads widened because of financing fears. The Morningstar MSCI Merger Arbitrage Hedge Fund Index advanced 0.5% in the second quarter and 1.9% for the year to date. Of all the Morningstar MSCI Hedge Fund Indexes, only the Morningstar MSCI Small Cap Hedge Fund Index rose in June, ahead by 0.56% on the month and 8.7% for the year-to-date period.

June returns for the Morningstar MSCI Hedge Fund Indexes and May asset flows are based on funds that reported as of July 17, 2013. Hedge fund investors, managers, consultants, and advisors can access additional information through Morningstar DirectSM, the company’s global research platform for institutions.

Morningstar

Press Release

BM

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. Regulatory - David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge, Carried interest tax: How much does it matter?, Odey sees 'terrifying' mix in MiFID, tapering, asset values, Hedge funds come together to share cost of MiFID and research, SEC turns up the heat on U.S. investment advisers, India's Sebi asks hedge funds to report investments in commodity derivatives[more]

    David Stockman: Trump tax reform overhaul is a pipe dream, stocks are heading for 40-70% plunge From CNBC.com: David Stockman is warning about the Trump administration's tax overhaul plan, Federal Reserve policy, saying they could play into a severe stock market sell-off. Stockman, the R

  2. North America - Puerto Rico rejects loan offers, accusing hedge funds of trying to profit off hurricanes[more]

    From TheIintercept.com: Puerto Rico has rejected a bondholder group's offer to issue the territory additional debt as a response to the devastation of Hurricane Maria. Officials with Puerto Rico's Fiscal Agency and Financial Advisory Authority said the offer was "not viable" and would harm the islan

  3. Investing - WPP targeted by short-selling American hedge fund, Sun co-founder sells secretive hedge fund on big chip trade[more]

    WPP targeted by short-selling American hedge fund From Cityam.com: An American hedge fund has mounted a bet against WPP, the world's largest advertising group, with a trade worth almost £90m. Lone Pine Capital has built a short position worth 0.51 per cent of the FTSE 100 company,

  4. Hedge funds up as industry adjusts to rising rates[more]

    Komfie Manalo, Opalesque Asia: Hedge funds have reshuffled their portfolio after nearly four weeks of rising rates as the Lyxor Hedge Fund Index was up +0.2% from 19 September to 26 (+1.1% YTD), fuelled by strong results of global macro funds, Lyxor Ass

  5. Manager Profile - How the world's hedge fund king used 'idea meritocracy' to become a billionaire[more]

    From Forbes.com: In 1982, Ray Dalio made what he calls the biggest mistake of his life. He made a bet that there would be an economic collapse stemming from a debt crisis. And he was wrong. He lost money. He lost his client's money. He had to let people go from his firm and borrow money from his dad