MSCI has published its November 2002 performance figures for the MSCI Hedge Fund Indices. They show that the equally weighted MSCI Hedge Fund Composite Index increased by 1.12% for the month of November, under performing the MSCI World Equity Index, which returned 5.25% and outperforming the 0.13% gain of the MSCI World Sovereign Debt Index.
In the year-to-date the MSCI Hedge Fund Composite Index is up 2.50%, ahead of the -16.94% decline of the MSCI World Equity Index but behind the 13.90% gain of the MSCI World Sovereign Debt Index. As an additional point of comparison, in November, LIBOR increased by 0.12% and is up 1.67% year-to-date. For the three years ending November 2002 the MSCI Hedge Fund Composite Index outperformed both global equities and sovereign debt with a 9.20% gain versus a -14.12% decline for equities and a 4.44% gain for sovereign debt as measured by the MSCI World Equity and Sovereign Debt Indices, respectively. The performance of the MSCI Hedge Fund Composite Index may be further analyzed by reviewing the five Process Group Indices that comprise it: MSCI Directional Trading, Relative Value, Security Selection, Specialist Credit and Multi-Process IndicesSM .
The Process Group Indices are further subdivided into Investment Process and Strategy Indices. MSCI also calculates hedge fund indices by asset class and geographic investment focus. In November, the best performing Process Group Index was the MSCI Security Selection Index, which gained 2.13%, driven by the performance of funds in the Long Bias Investment Process. However, on a year-to-date basis, the MSCI Security Selection Index was the worst performing Process Group Index with a -0.74% return.
Conversely, the MSCI Directional Trading Index was the worst performing Process Group Index in November with a -1.06% decline, but remains the best performing Process Group Index year-to-date, up 7.47%. This strong year-to-date performance was driven by funds in the Systematic Trading and Tactical Allocation Investment Processes.
Hedge funds focusing on equities modestly outperformed those focused on fixed income in November as indicated by the 1.60% gain in the MSCI Hedge Fund Equity Index versus the 1.34% gain for the MSCI Hedge Fund Fixed Income Index. Conversely, on a year-to-date basis, fixed income focused funds have outpaced those funds with equity linked strategies, as the MSCI Hedge Fund Fixed Income Index was up 6.18% versus a -0.19% decline of the MSCI Hedge Fund Equity Index. However, funds that invested in both equity and fixed income have faired the best year-to-date, gaining 7.24% as measured by the MSCI Hedge Fund Diversified Index.
Geographically, funds focusing on North American investments performed best in November gaining 2.18% as measured by the MSCI Hedge Fund North America Index, while the MSCI Hedge Fund Japan Index was the worst performing geographic index with a -0.53% decline. The MSCI Hedge Fund Europe Index was the best performing geographic index year-to-date with a 6.34% gain while the MSCI Hedge Fund North America Index was the worst with a -1.24% return.
The MSCI Hedge Fund Indices and fund database contain more than 160 indices. More than 1,600 hedge funds have agreed to participate in the database and there are over 1,100 hedge funds currently in the MSCI Hedge Fund Indices and database.