MSCI has announced performance figures for early reporting funds in the MSCI Hedge Fund Composite and Process Group Indices. For the month of March the early reporting funds in the MSCI Hedge Fund Composite Index, an equal weighted index, are down 0.4% with 55% of funds reporting.
The MSCI World Equity Index decreased by 0.6% in March. The MSCI World Sovereign Debt IndexS increased by 0.3% in March, while LIBOR increased by 0.1% in March.
The performance of the MSCI Hedge Fund Composite Index is comprised of five Process Group Indices – the MSCI Directional Trading, Relative Value, Security Selection, Specialist Credit and Multi-Process Indices. These Process Group Indices are further subdivided into Investment Process Indices.
The MSCI Directional Trading Index decreased by 3.9% for the month of March based on 60% of funds reporting. MSCI defines Directional Trading strategies as those based upon speculating on the direction of market prices of currencies, commodities, equities, and bonds in the futures and cash markets.
The MSCI Relative Value Index increased by 0.6% in March based on 53% of funds reporting. Relative Value strategies focus on spread relationships between pricing components of financial assets or commodities.
The MSCI Security Selection Index increased in March with a return of 0.2% based on 55% of funds reporting. Security Selection managers combine long positions and short sales with the aim of benefiting from their ability in selecting investments while offsetting systematic market risks.
The MSCI Specialist Credit Index increased by 0.7% in March based on 56% of funds reporting. Specialist Credit funds seek to lend to credit-sensitive issuers.
The MSCI Multi-Process Group Index increased by 0.8% in March based on 53% of funds reporting. The Multi- Process Group comprises funds which h practice a strategy whereby a single investment process does not account for more than 80 per cent of their risk capital.
The MSCI Hedge Fund IndicesSM contain more than 160 indices. More than 1,700 hedge funds have agreed to participate in the database and there are over 1,300 hedge funds currently in the MSCI Hedge Fund Indices and Database.
The performance figures for March are based on the returns of funds that have reported through 10 April 2003. The performance figures may change significantly as returns from additional funds are received.