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Comparison Between Morningstar Ratings and Traditional Performance Measures Ratings
Sougné, Danielle; Bodson, Laurent
2013
 

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Keywords :
rating; performance measure; morningstar
Abstract :
[en] We compare Morningstar ratings and ratings obtained using the same methodology of rating attribution with a set of commonly used performance measures. We study three types of investment horizons : 3-year, 5-year and 10-year ratings. Our analysis focuses on Open-End US Mutual Funds available in Morningstar Direct Database from which we create three sets of 16,617, 13,505 and 7,992 funds corresponding respectively to the three investment horizons analyzed. Our results show that Morningstar ratings are very close ( correlation around 80%) to ratings obtained with Sharpe's alpha, Jensen's alpha, Four-factor alpha and Excess returns.
Disciplines :
Finance
Author, co-author :
Sougné, Danielle ;  Université de Liège - ULiège > HEC-Ecole de gestion : UER > Gestion financière et consolidation
Bodson, Laurent ;  Université de Liège - ULiège > HEC - École de gestion de l'ULiège > HEC-Ecole de gestion
Language :
English
Title :
Comparison Between Morningstar Ratings and Traditional Performance Measures Ratings
Publication date :
01 July 2013
Event name :
Twentieth Annual Conference Multinational Finance Society
Event organizer :
Faculty of Economics and Administrative Sciences, TOBB of Economics and Technology, Turkey
London Business School, UK
University of Chicago Booth School of Business, USA
Event place :
Izmir, Turkey
Event date :
du 30 juin au 2 juillet 2013
Audience :
International
Available on ORBi :
since 21 January 2014

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