PT - JOURNAL ARTICLE AU - Kevin C.H. Chiang AU - Kirill Kozhevnikov AU - Craig H. Wisen TI - Ranking Properties of Morningstar Risk-Adjusted Ratings AID - 10.3905/joi.2005.479393 DP - 2005 Feb 28 TA - The Journal of Investing PG - 90--98 VI - 14 IP - 1 4099 - https://pm-research.com/content/14/1/90.short 4100 - https://pm-research.com/content/14/1/90.full 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.