The Andreev transport through a quantum dot coupled to two external ferromagnetic leads and one superconducting lead is studied theoretically by means of the real-time diagrammatic technique in the sequential and cotunneling regimes. We show that the tunnel magnetoresistance (TMR) of the Andreev current displays a nontrivial dependence on the bias voltage and the level detuning, and can be described by analytical formulas in the zero temperature limit. The cotunneling processes lead to a strong modification of the TMR, which is most visible in the Coulomb blockade regime. We find a zero-bias anomaly of the Andreev differential conductance in the parallel configuration, which is associated with a nonequilibrium spin accumulation in the dot triggered by Andreev processes.