Selecting mutual funds using quantitative and analyst ratings

  1. Pablo Durán-Santomil 1
  2. Luis Otero-González 1
  3. Renato Heitor Correia-Domíngues 2
  4. Manuel Rocha Armada 3
  1. 1 Universidade de Santiago de Compostela

    Universidade de Santiago de Compostela

    Santiago de Compostela, España


  2. 2 Instituto Politécnico de Tomar

    Instituto Politécnico de Tomar

    Tomar, Portugal


  3. 3 Universidade do Minho

    Universidade do Minho

    Braga, Portugal


XXX Jornadas Luso-Espanholas de Gestão Científica: cooperação transfronteiriça. Desenvolvimento e coesão territorial. Livro de resumos
  1. PaulaOdete Fernandes

Editorial: Instituto Politécnico de Bragança

ISBN: 978-972-745-273-6

Ano de publicación: 2020

Páxinas: 214

Congreso: Jornadas Hispanolusas de Gestión Científica (30. 2020. Bragança)

Tipo: Achega congreso


This paper evaluates the usefulness of analyst assessments to select investments, using the Morningstar Analyst ratings. These notes are forward-looking qualitative and quantitative analyses of mutual fund about five pillars: Process, Performance, People, Parent and Price, that includes factors like the cost, past performance, quality of management or interest alignment. Our sample contains US equity funds covering the period August 2012 to August 2016. Our conclusions support the ability of Gold ratings to select funds that will behave better in terms of future performance. We have found little evidence that, on average, funds with a better Analyst Rating (Gold) have a better performance in terms of risk adjusted measures (alpha and sharpe). The predictability is observed in several analyses done in one year ahead but not for three-years. This evidence is more relevant in the case of the analysis made by investment style´s category. The combination of Stars and Analyst ratings does have medium-term differentiation results, with a higher performance in terms of Sharpe's ratio for bronze (3, 4 or 5 stars) or three-star gold funds.