CHICAGO, April 25, 2011 /PRNewswire/ -- Morningstar, Inc.
(NASDAQ: MORN), a leading provider of independent investment
research, today reported preliminary hedge fund performance for
March 2011 as well as asset flows
through February. The Morningstar 1000 Hedge Fund Index, a
composite of the largest hedge funds in Morningstar's database,
rose 0.1% for the month, while the currency-hedged Morningstar MSCI
Hedge Fund Index declined 0.4%. Overall, most hedge fund strategies
slightly outperformed the S&P 500 Index in March, which was
virtually flat at 0.04%.
The economic shock to Japan
following the country's earthquake, tsunami, and ensuing nuclear
crisis affected many hedge funds in March, particularly those in
the Morningstar Developed Asia Equity and the Morningstar MSCI
Japan Hedge Fund Indexes, which fell 0.3% and 2.3%, respectively.
Although the events in Japan
reverberated across the globe and caused stock market volatility to
spike to its highest level in nine months, recovery came quickly,
and the Morningstar Global Equity Hedge Fund Index ended the month
up 1.2%.
"A sharp increase in volatility and continued geopolitical
unrest threatened to stunt hedge fund performance in March, but
most strategies finished the month positive with strong overall
first-quarter gains," said Mallory
Horejs, alternative investment analyst for Morningstar.
All other equity strategies continued to climb higher in March.
The Morningstar Emerging Markets Equity and the currency-hedged
Morningstar MSCI Emerging Markets Hedge Fund Indexes, which rose
1.4% and 2.4%, respectively, saw the strongest growth. March
performance for these hedge fund indexes trailed that of the MSCI
Emerging Market Equity Index, but it pulled both indexes into
positive territory for the quarter. The two emerging market hedge
fund indexes finished the quarter up 1.2% and 0.7%,
respectively.
European stock markets stayed strong throughout the quarter,
despite the ongoing sovereign debt crisis in Ireland, Portugal, and Greece. Accordingly, the Morningstar Europe
Equity Hedge Fund Index increased 1.3% in March and 4.4% for the
quarter. U.S. stocks, however, lost momentum in March in light of
rising uncertainty regarding monetary policy, a discouraging slump
in housing starts, and a peak in oil prices. Nonetheless, the
Morningstar U.S. Equity and Morningstar U.S. Small Cap Equity Hedge
Fund Indexes still enjoyed modest monthly increases of 0.2% and
0.5%, respectively. The Morningstar U.S. Small Cap Equity Hedge
Fund Index outpaced all other hedge fund indexes in the first
quarter, rising 4.8%.
Despite resilience across equity markets, macro-economic hedge
fund strategies failed to deliver in March. The Morningstar Global
Non-Trend Hedge Fund Index decreased 1.7% this month, erasing
February's jump, and placing the index last with a 1.9% quarterly
decline. Morningstar's Global Trend Hedge Fund Index, which
includes funds that trade futures primarily according to momentum
strategies, did not fare much better. It declined 1.3% in March but
managed to end the quarter in the black, at 0.4%.
Relative-value strategies delivered their fourth consecutive
month of positive returns in March, as the Morningstar Convertible
Arbitrage, Morningstar Debt Arbitrage, and Morningstar Equity
Arbitrage Hedge Fund Indexes advanced 0.9%, 0.6%, and 0.8%,
respectively. The Morningstar MSCI Merger Arbitrage and the
Morningstar Corporate Actions Hedge Fund Indexes, which increased
1.9% and 3.4% during the first quarter, respectively, benefited
from a surge in worldwide M&A activity, which reached its
highest levels since 2008.
Flows into hedge funds also reached recent highs. Hedge funds in
Morningstar's database netted $5.2
billion of inflows in February, the largest monthly inflow
figure since August 2009. Almost all
categories gained assets, although the bulk went to funds in
Morningstar's European equity ($872
million), U.S. equity ($1.1
billion), and global trend ($1.6
billion) hedge fund categories. Emerging market equity and
global non-trend were the only hedge fund categories to leak assets
in February, as investors reacted to increased geopolitical unrest,
particularly across North Africa
and the Middle East.
Funds of hedge funds in Morningstar's database also saw inflows
in February of $669 million,
following five consecutive months of sizeable outflows. The
Morningstar Hedge Fund of Funds Index slightly outperformed the
overall hedge fund index in the month of March, with a 0.3% rise,
but the average hedge fund of funds underperformed both the overall
hedge fund index as well as the average multi-strategy hedge fund
during the first quarter of 2011.
March returns for the Morningstar Hedge Fund Indexes and the
Morningstar MSCI Hedge Fund Indexes are based on funds that
reported as of April 18, 2011.
February asset flows are based on funds that reported as of
April 14, 2011. Hedge fund investors,
managers, consultants, and advisors can access additional
information through the Morningstar® Alternative Investment
Center(SM), formerly Morningstar® Altvest(SM), the company's
research platform designed specifically for hedge funds, or
Morningstar Direct(SM), the company's global research platform for
institutions.
Morningstar has approximately 11,000 hedge funds and funds of
hedge funds in its database. The Morningstar 1000 Hedge Fund Index,
a global, broadly representative benchmark for hedge fund
performance, has return history from January
2003. The index comprises the top 90% of eligible assets in
Morningstar's hedge fund database. For the purposes of the index,
Morningstar counts funds with shared portfolios as a single hedge
fund; funds of hedge funds are excluded from consideration. The
index is updated daily for the previous month-end, rebalanced
monthly, and reconstituted semi-annually. In addition, Morningstar
has 17 category indexes and four broad category indexes based on
Morningstar's strategy-specific classification system for hedge
funds. Morningstar's hedge fund indexes are not investable.
In addition to calculating the Morningstar Hedge Fund Indexes,
Morningstar also calculates hedge fund indexes by applying the MSCI
Hedge Fund Index Methodology and Hedge Fund Classification Standard
to Morningstar's hedge fund database. These indexes demonstrate the
performance of hedge funds to investors who have hedged their
currency exposure back into U.S. dollars. The MSCI Hedge Fund Index
Methodology classifies hedge funds by investment process,
geography, and asset class.
This release is not intended to be an offer or solicitation for
the sale of hedge funds. The information is not warranted to be
accurate, complete, or timely. When considering hedge funds,
investors should consider various risks, including the fact that
some products engage in leveraging and other speculative investment
practices that may increase the risk of investment loss, can be
illiquid, are not required to provide periodic pricing or valuation
information to investors, may involve complex tax structures and
delays in distributing important tax information, are not subject
to the same regulatory requirements as mutual funds, often charge
high fees, and in many cases the underlying investments are not
transparent and are known only to the investment manager. The high
degree of leverage that is often obtainable in trading can lead to
large losses as well as gains. Neither Morningstar nor its content
providers are responsible for any damages or losses arising from
any use of this information. Past performance is no guarantee of
future results.
About Morningstar, Inc.
Morningstar, Inc. is a leading provider of independent
investment research in North
America, Europe,
Australia, and Asia. The company offers an extensive line of
Internet, software, and print-based products and services for
individuals, financial advisors, and institutions. Morningstar
provides data on approximately 380,000 investment offerings,
including stocks, mutual funds, and similar vehicles, along with
real-time global market data on more than 5 million equities,
indexes, futures, options, commodities, and precious metals, in
addition to foreign exchange and Treasury markets. Morningstar also
offers investment management services and has approximately
$130 billion in assets under
advisement and management as of December 31,
2010. The company has operations in 26 countries.
|
|
Morningstar Hedge Fund Index
Performance
|
March
2011
|
|
YTD through
March
|
|
Morningstar 1000 HF
USD
|
0.1
|
|
2.1
|
|
Morningstar Hedge Fund of
Funds
|
0.3
|
|
1.6
|
|
|
|
|
|
|
Morningstar Hedge Fund Category
Indexes
|
|
|
|
|
Morningstar Convtbl Arbitrage HF
USD
|
0.9
|
|
4.0
|
|
Morningstar Corporate Actions HF
USD
|
0.4
|
|
3.4
|
|
Morningstar Debt Arbitrage HF
USD
|
0.6
|
|
3.8
|
|
Morningstar Distressed Sec HF
USD
|
0.7
|
|
4.1
|
|
Morningstar Dvlp Asia Equity HF
USD
|
-0.3
|
|
-0.3
|
|
Morningstar Equity Arbitrage HF
USD
|
0.8
|
|
2.6
|
|
Morningstar EM Equity HF
USD
|
1.4
|
|
1.2
|
|
Morningstar Europe Equity HF
USD
|
1.3
|
|
4.4
|
|
Morningstar Global Debt HF
USD
|
0.7
|
|
2.5
|
|
Morningstar Global Equity HF
USD
|
1.2
|
|
3.0
|
|
Morningstar Global Non Trend HF
PUSD
|
-1.7
|
|
-1.9
|
|
Morningstar Global Trend HF
USD
|
-1.3
|
|
0.4
|
|
Morningstar Multi-Strategy HF
USD
|
0.1
|
|
3.1
|
|
Morningstar Short Equity HF
PUSD
|
0.3
|
|
0.8
|
|
Morningstar US Equity HF
USD
|
0.2
|
|
3.5
|
|
Morningstar US Small Cap Eqty HF
USD
|
0.5
|
|
4.8
|
|
|
|
|
|
|
Morningstar Hedge Fund Indexes
with MSCI
|
|
|
|
|
Morningstar MSCI Composite
AW
|
-0.4
|
|
1.0
|
|
Morningstar MSCI Composite Core
Funds
|
-0.3
|
|
1.4
|
|
Morningstar MSCI Composite
EW
|
-0.1
|
|
1.2
|
|
Morningstar MSCI Composite Small
Fund
|
0.0
|
|
1.2
|
|
Morningstar MSCI Developed
Markets
|
-0.3
|
|
1.9
|
|
Morningstar MSCI Directional
Trading
|
-1.5
|
|
-0.6
|
|
Morningstar MSCI Emerging
Markets
|
2.4
|
|
0.7
|
|
Morningstar MSCI
Europe
|
0.1
|
|
2.1
|
|
Morningstar MSCI Global
Markets
|
-0.8
|
|
0.1
|
|
Morningstar MSCI
Japan
|
-2.3
|
|
1.1
|
|
Morningstar MSCI Merger
Arbitrage
|
0.4
|
|
1.9
|
|
Morningstar MSCI Multi-Process
Group
|
0.2
|
|
1.8
|
|
Morningstar MSCI North
America
|
-0.1
|
|
2.6
|
|
Morningstar MSCI Relative
Value
|
0.5
|
|
2.1
|
|
Morningstar MSCI Security
Selection
|
0.5
|
|
1.9
|
|
Morningstar MSCI Specialist
Credit
|
-0.2
|
|
2.0
|
|
|
|
|
|
|
Market Indexes
|
|
|
|
|
S&P 500 TR
|
0.0
|
|
5.9
|
|
MSCI Europe NR USD
|
-0.8
|
|
6.5
|
|
MSCI EM NR USD
|
5.9
|
|
2.0
|
|
BarCap US Agg Bond TR
USD
|
0.1
|
|
0.4
|
|
DJ UBS Commodity TR
USD
|
2.1
|
|
4.4
|
|
BarCap Global High Yield TR
USD
|
0.9
|
|
4.4
|
|
Est. Hedge Fund Flows By
Morningstar Category
|
Feb. 2011
Flows
|
YTD Through
Feb.
|
|
Convertible Arbitrage
|
68,730,279
|
(658,395,480)
|
|
Corporate Actions
|
466,559,164
|
183,922,377
|
|
Debt Arbitrage
|
216,413,187
|
(217,021,030)
|
|
Developed Asia Equity
|
51,745,699
|
(21,798,641)
|
|
Distressed Securities
|
12,900,474
|
(58,105,169)
|
|
Emerging Market
Equity
|
(253,095,743)
|
(355,336,922)
|
|
Equity Arbitrage
|
188,810,853
|
(20,206,076)
|
|
Europe Equity
|
872,421,552
|
920,693,779
|
|
Global Debt
|
426,542,656
|
488,607,736
|
|
Global Equity
|
74,789,862
|
(101,680,179)
|
|
Global Non-Trend
|
(254,000,603)
|
(119,283,364)
|
|
Global Trend
|
1,613,383,878
|
3,858,376,742
|
|
Multi-strategy
|
511,308,568
|
941,086,549
|
|
Short Equity
|
2,969,711
|
7,105,874
|
|
U.S. Equity
|
1,109,665,049
|
(1,472,617,811)
|
|
U.S. Small Cap Equity
|
82,157,239
|
|
83,775,188
|
|
TOTAL SINGLE-STRATEGY HEDGE FUND
FLOWS
|
5,191,301,825
|
3,459,123,573
|
|
|
|
|
|
|
Est. Flows by Morningstar
Rating
|
|
|
|
1-star
|
2,198,673
|
13,235,300
|
|
2-star
|
(200,327,069)
|
(259,080,961)
|
|
3-star
|
1,492,018,201
|
(2,174,360,058)
|
|
4-star
|
2,190,625,916
|
3,365,184,294
|
|
5-star
|
1,496,067,054
|
2,549,412,776
|
|
No Rating
|
210,719,050
|
(35,267,778)
|
|
TOTAL SINGLE-STRATEGY HEDGE FUND
FLOWS
|
5,191,301,825
|
3,459,123,573
|
|
|
|
|
|
|
|
|
©2011 Morningstar, Inc. All rights reserved.
MORN-R
Media Contact:
Nadine Youssef, 312-696-6601,
nadine.youssef@morningstar.com
SOURCE Morningstar, Inc.