%0 Journal Article %A Kevin C.H. Chiang %A Kirill Kozhevnikov %A Craig H. Wisen %T Ranking Properties of Morningstar Risk-Adjusted Ratings %D 2005 %R 10.3905/joi.2005.479393 %J The Journal of Investing %P 90-98 %V 14 %N 1 %X 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. %U https://joi.pm-research.com/content/iijinvest/14/1/90.full.pdf