RT Journal Article
SR Electronic
T1 Ranking Properties of Morningstar Risk-Adjusted Ratings
JF The Journal of Investing
FD Institutional Investor Journals
SP 90
OP 98
DO 10.3905/joi.2005.479393
VO 14
IS 1
A1 Kevin C.H. Chiang
A1 Kirill Kozhevnikov
A1 Craig H. Wisen
YR 2005
UL https://pm-research.com/content/14/1/90.abstract
AB A study of its ranking properties finds the Morningstar risk-adjusted ratings (RAR) for the decade ending 2001 and the excess return from a CAPM regression yield similar star ratings, but there are systematic differences between the RAR star ratings and the excess return estimated according to the Fama-French three-factor model. Over three-quarters of domestic equity funds with a ten-year five-star Morningstar rating do not keep their five stars under the null hypothesis of the Fama-French model. An explanation of this discrepancy provides support for the extensive modification of the Morningstar rating system made in July 2002.