Resource type
Date created
2010-08
Authors/Contributors
Author: Kaur, Jagdeep
Author: Liu, Lei
Abstract
This paper analyzes the predictability of Morningstar Rating for future performance of Canadian equity mutual fund by applying dummy variable regression analysis on three performance metrics - Sharpe Ratio, Jensen’s Alpha, and Two-index Alpha. The examination period is from May 2004 to April 2009. The results show that Morningstar Rating System can predict future performance of Canadian mutual fund. Specifically, the higher rated funds significantly outperform lower rated funds. Similar results are obtained irrespective of the reference group used for the dummy variable regression.
Document
Description
FRM Project-Simon Fraser University
Copyright statement
Copyright is held by the author(s).
Scholarly level
Peer reviewed?
No
Language
English
Member of collection
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FRM 2010 Kaur, J. Liu, L..pdf | 280.33 KB |