TY - JOUR T1 - Ranking Properties of Morningstar Risk-Adjusted Ratings JF - The Journal of Investing SP - 90 LP - 98 DO - 10.3905/joi.2005.479393 VL - 14 IS - 1 AU - Kevin C.H. Chiang AU - Kirill Kozhevnikov AU - Craig H. Wisen Y1 - 2005/02/28 UR - https://pm-research.com/content/14/1/90.abstract N2 - 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. ER -