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Release
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Recap of Previous
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Mornigstar
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Methodology Change for Applying Deferred Loads |
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Methodology Change For Market Price Return |
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Methodology Change for Returns for Closed-End Funds |
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Quarterly Fund Category Review�U.S. |
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Changes to European Morningstar Categories |
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3Q 2005 Morningstar U.S. Market Commentary |
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Fund Category Review�U.S. |
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Methodology Change for Trailing Price Ratios for Portfolios |
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Barra Index Changes |
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East Coast Morningstar Direct User Forums |
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Morningstar at Industry Shows |
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Data Questions |
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Release Notes
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Methodology Change for Applying Deferred Loads |
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Effective Jan. 31, 2006, we will change how we select the deferred-load breakpoint for each time-period return. This change will affect load-adjusted returns, tax-adjusted returns, and the Morningstar Rating for funds available for sale in the US, although we expect the impact to be minimal. Right now, Morningstar applies the "1-2 year" deferred load (i.e. the load that is charged to investors who redeem between one and two years after purchase) to the one-year time period and use similar logic for other time periods. After the change, we will use the "0-1 year" deferred load for the one-year time period and similar logic for other time periods. The new method is more conservative, and it is more consistent with how many fund companies already report performance. This change will also affect standardized returns for VA/L subaccounts. |
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Methodology Change For Market Price Return |
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Effective Jan. 31, 2006, we will change our market price return methodology for closed-end and exchange-traded funds. Rather than reinvesting dividends at NAV, the new methodology will reinvest dividends at the market price as of the Ex (exclusion date). We believe this new methodology more closely captures the investor�s true experience. No changes will be made to the NAV Return. The new formula will read:
TR market price= {[Ending market price (1+ Distribution/Reinvestment price) - Beginning market price] / Beginning market price} x 100 Where, Reinvestment price = the market price per share on the Ex day. |
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Methodology Change for Returns for Closed-End Funds |
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Effective Jan. 31, 2006, we will start using IPO market price and NAV to calculate since inception market price and NAV returns for all closed-end funds. We are currently using market price and NAV as of the first trade date. |
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Quarterly Fund Category Review�U.S. |
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The next U.S. category review will begin in mid-November and will include all funds. Fund families with proposed category changes will receive more information via e-mail during November. Category changes will be effective with November month-end processing, and results will be available on our Websites on the third business day of December. |
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Changes to European Morningstar Categories |
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As a reminder, effective with October month-end, we will update our European Morningstar Categories to introduce style-based differentiation within large capitalization categories in Europe, North America, UK, and Global equity. Please click here for a complete list of new categories and their local language translations. |
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3Q 2005 Morningstar U.S. Market Commentary |
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In the quarter, large-cap stocks mostly stalled as mid-caps and small caps posted gains, causing observers to wonder how much longer that now-familiar pattern can continue. Please click here to read the full report. |
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Recap of Previous Announcements
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Methodology Change for Trailing Price Ratios for Portfolios |
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Effective November 30, 2005, we will make a slight change to the methodology for calculating trailing-12-month (TTM) price-to-earnings, price-to-book, price-to-sales, and price-to-cash-flow for funds and other portfolios. We will now use a harmonic weighted average, rather than an arithmetic weighted average. The harmonic method prevents outliers from skewing the result, and it is consistent with our existing methods for calculating prospective price ratios. This change will not impact the Morningstar Style Box assignments for portfolios. For more information, please see the methodology document. |
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Index Changes Effective Dec. 16 |
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Later this year, the index provider will split the six Barra indexes listed below into two subgroups. The new indexes will be named �style index� and �pure style index.� Morningstar has selected the �style� indexes, the option with performance history and methodology that most closely resembles the previous indexes. Effective Dec. 16, these indexes will be renamed in our database, and back history re-populated with new data going back 10 years to July 1995. Please contact your account team if you have any questions. |
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| Current Name |
Style Index, Name as of Dec. 16 |
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| Barra Large Cap Growth |
S&P 500/Citigroup Growth |
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| Barra Large Cap Value |
S&P 500/Citigroup Value |
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| Barra MidCap Growth |
S&P MidCap 400/Citigroup Growth |
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| Barra MidCap Value |
S&P MidCap 400/Citigroup Value |
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| Barra SmallCap Growth |
S&P SmallCap 600/Citigroup Growth |
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| Barra SmallCap Value |
S&P SmallCap 600/Citigroup Value |
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Morningstar News
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East Coast Morningstar Direct Users Forums |
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Our upcoming Users Forum will be held in New York on Nov. 16 at the Warwick Hotel, and in Boston on Dec. 8, at the Omni Parker House Hotel. These events are open to all Morningstar Direct and DataLab users. The agenda will include a presentation by Don Phillips on current best practices in the industry, and will feature several breakout sessions designed to help you make the most of your investment in Morningstar Direct. If you would like to attend either event, please contact Lisa Bowling via e-mail at lisa.bowling@morningstar.com or call Lisa at +1 312 384-3877. Please RSVP not later than Nov. 1, and be sure to indicate either New York or Boston. |
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Hedge Fund Category Returns |
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Please see below for the September and YTD returns of the 2,300 hedge funds in the Morningstar database. These data show both the most current direction employed by managers and also how the various hedge fund strategies have performed this year. The hedge fund database is available in Morningstar Direct. Please contact your account team for more information. |
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Name |
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Sep 05 |
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Total
Return YTD |
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Hedge Fund Convertible Arbitrage |
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9/30/2005 |
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1.35 |
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1.62 |
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Hedge Fund Corporate Event Driven |
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9/30/2005 |
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0.33 |
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5.37 |
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Hedge Fund Distressed Companies |
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9/30/2005 |
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1.20 |
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8.83 |
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Hedge Fund Emerging Markets |
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9/30/2005 |
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4.32 |
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15.26 |
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Hedge Fund Equity Net Long Exposure |
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9/30/2005 |
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2.23 |
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8.89 |
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Hedge Fund Equity Net Neutral Exposure |
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9/30/2005 |
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0.70 |
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4.39 |
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Hedge Fund Equity Net Short Exposure |
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9/30/2005 |
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0.80 |
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6.26 |
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Hedge Fund Equity Variable Exposure |
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9/30/2005 |
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2.46 |
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9.76 |
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Hedge Fund Fixed Income: Arbitrage |
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9/30/2005 |
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0.83 |
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3.27 |
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Hedge Fund Fund of Funds |
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9/30/2005 |
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1.53 |
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5.46 |
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Hedge Fund Global Macro |
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9/30/2005 |
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1.26 |
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3.91 |
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| 12 |
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Hedge Fund Managed Futures |
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9/30/2005 |
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1.19 |
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2.08 |
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| 13 |
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Hedge Fund Merger Arbitrage |
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9/30/2005 |
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0.58 |
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4.92 |
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| 14 |
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Hedge Fund Multi Strategy |
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9/30/2005 |
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1.64 |
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5.64 |
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| 15 |
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Hedge Fund Relative Value Arbitrage |
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9/30/2005 |
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2.55 |
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7.16 |
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Morningstar at Industry Shows |
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Morningstar will exhibit at the 2005 SPARK Forum in Palm Beach, Nov. 6-8; the Australian FPA Conference at the Gold Coast Convention & Exhibition Centre, Nov. 16-18; and at the 2005 Canadian Investment Awards, Nov. 30.
On Oct. 27, we will host the Morningstar Canada Investment Conference for advisors and planners. If you would like more information please visit our Website at www.morningstar.ca/conference. |
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Data Questions |
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Contact your account team or our data quality department:
E-mail: dataquestions@morningstar.com
Phone: +1 312-696-6600
Fax: +1 312-696-6019
Mailing address:
Data Questions
Morningstar, Inc.
225 West Wacker Drive
Chicago, Illinois 60606
USA |
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�2005 Morningstar. All rights reserved. |
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