Systematic Trading Drags MSCI Index Down In March

Apr 4 2007 | 11:40am ET

The bad news is that the MSCI Hedge Invest index suffered its first down month in nine in March, falling by 0.15%. The good news is, that’s the smallest movement one way or the other since May 2005, and leaves the index up 1.93% year-to-date, still far ahead of the Standard & Poor’s 500, which rebounded into positive territory (up 0.64% YTD) this month with a 1.12% return.

Four of MSCI’s strategy indices joined the overall index in the red last month. Systematic trading suffered another damaging month, falling 1.45% in March after shedding 2.39%—and wiping out its entire January gain—in February. It is the only strategy in negative territory for the year.

On the other side, equity non-directional funds enjoyed the strongest month of the eight subindices, rising 0.82% on the month (2.48% YTD). Variable bias (up 0.27% in March, 2.66% YTD), fixed-income (0.23%, 2.20% YTD) and long-bias (0.15%, 2.61%) funds also enjoyed a positive month.

Event-driven was essentially flat (down just 3 basis points) in March, but it is still the top-performing strategy in 2007, with a year-to-date return of 5.26%.


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