@article {Chiang90, author = {Kevin C.H. Chiang and Kirill Kozhevnikov and Craig H. Wisen}, title = {Ranking Properties of Morningstar Risk-Adjusted Ratings}, volume = {14}, number = {1}, pages = {90--98}, year = {2005}, doi = {10.3905/joi.2005.479393}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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.}, issn = {1068-0896}, URL = {https://joi.pm-research.com/content/14/1/90}, eprint = {https://joi.pm-research.com/content/14/1/90.full.pdf}, journal = {The Journal of Investing} }