TAILIEUCHUNG - Mutual fund ratings and future performance

There are purported to be over 10,000 mutual funds available to the public for purchase. There are also many hundreds of sponsors, each with a stable of these funds. Each of a sponsor's funds pursues a different investment strategy. At any point in time, and over varying periods of time, merely by the laws of random chance, it is inevitable that some funds will have delivered higher returns than others. Those funds which have delivered the highest returns are given the greatest visibility by the many mutual fund rating services; and they are also the specific. | Vanguard Mutual fund ratings and future performance Vanguard research June 2010 Executive summary. Since the origin of modern portfolio theory and indexing as an investment strategy empirical evidence has supported the notion that a low-cost index fund is difficult to beat consistently over time. Yet despite both the theory and the evidence most mutual fund performance ratings have given index funds an average rating. This paper addresses two questions surrounding mutual fund rating systems. First we examine why index funds tend to receive an average rating on the basis of relative quantitative metrics. Second we analyze whether a given performance rating offers actionable information Specifically we look at whether higher-rated funds can be expected to outperform lower-rated funds in the future. Ultimately we conclude that investors should expect an average rating for index funds when relative quantitative metrics are used. This is because the natural distribution of the actively managed fund universe around a benchmark dictates that an appropriately constructed and managed index fund should fall somewhere near the center of that distribution. We also find that a given rating offers little information about expected future relative performance in fact our analysis reveals that higher-rated funds are no more likely to outperform a given benchmark than lower-rated funds and that the value of indexing stems in large part from low operating costs and the zero-sum game. Authors Christopher B. Philips CFA Francis M. Kinniry Jr. CFA Connect with Vanguard . investors The theory of indexing as an investment strategy is powerful in its simplicity and effectiveness Sharpe 1991 Philips 2010 . Yet despite both the theory and the evidence most mutual fund performance ratings score index funds as average as of December 2009 54 of all stock and bond mutual funds had a 3-star rating on a 5-star scale according to Morningstar Inc. . Indeed it

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