| | Latest Research | | | | | | Below you will find the most recent published Morningstar research. Our research is presented in different formats—fact sheets, methodology papers, and research papers. To access our full library and view particular document types, use the dropdown menu above. | | | | | Investment Trusts: Why Transparency Matters | | 22 May 2012 | This research paper highlights the benefits to investment trusts of a high degree of holdings transparency, and how unreasonable suppression can be misleading for shareholders. The report also details Morningstar UK’s progress in encouraging investment trusts to increase the frequency with which they release full holdings data. |
| |  | 452K | | |
| | Morningstar® Target-Date Series Research Paper: 2012 Industry Survey | | 08 May 2012 | This annual survey documents broad trends in target-date fund design, costs, performance, and asset flows. It also offers an examination of target-date fund disclosure, and an analysis of the performance of fund series using proprietary, or in-house, versus independent managers in target-date fund construction. |
| | | 734K | | |
| | Morningstar® Fee Level for Funds Methodology | | 30 April 2011 | The Morningstar Fee Level for mutual funds was developed to help investors compare a fund share class' relative level of fees with similar funds. The methodology applies to all US-based mutual funds in Morningstar's database. |
| | | 77K | | |
| | Morningstar® Total Return Index | | 29 April 2011 | The Morningstar Total Return Index is calculated at the fund level and represents the value over time of one share purchased and owned since inception, assuming that all dividends and distributions are reinvested. |
| | | 116K | | |
| | Morningstar® Target-Date Series Research Paper: 2011 Industry Survey | | 28 April 2011 | This annual survey documents trends in target-date fund design, costs, and asset as well as target-date strengths, weaknesses, and returns to investors. It also offers an examination of target-date fund disclosure and an analysis of the performance of fund series using proprietary, or in-house, versus independent managers in target-date fund construction. |
| | | 776K | | |
| | The Impact of Skewness and Fat Tails on the Asset Allocation Decision | | 23 March 2011 | The financial crisis of 2008 has led many investors to search for tools that minimize downside risk. In our study, we explore one of the promising alternatives to mean-variance optimization (MVO) that incorporates non-normal return distributionsmean-conditional value at risk (M-CVaR) optimizationand gain insights into the ramifications of skewness and kurtosis for optimal asset allocations. |
| | | 441K | | |
| | Morningstar Announces Findings from Second Global Investor Experience Study | | 11 March 2011 | This survey measures the experiences of mutual fund investors in 22 countries in North America, Europe, Asia, and Africa. Aiming to promote best practices for investors, we rated companies across four categoriesRegulation and Taxation, Disclosure, Fees and Expenses, and Sales and Mediaand added the cumulative category scores to produce an overall country grade. |
| | | 1.85M | | |
| | How Does Market Volatility Impact Risk Measures? | | 22 February 2011 | In this paperthe first of a series of articleswe discuss the options for and issues involved in creating a universal risk measure that can act as a useful guide for individual investors without misrepresenting the complexity of risk as a concept, with particular focus on the European Securities and Markets Authority's proposed Synthetic Risk Reward Indicator for the Key Investor Information Document. |
| | | 928K | | |
| | Investing in Europe with Style | | 08 February 2011 | While style-based investing remains a significant part of portfolio construction in the United States, many European investors have yet to embrace this approach. This article examines Morningstars new European style indexes to demonstrate that even over a period shorter than a decade, style effects can be important enough to matter to European stock investors. |
| | | 1.48M | | |
| | Combining Liquidity and Momentum to Pick Top-Performing Mutual Funds | | 21 January 2011 | This paper builds on previous research to investigate whether composites of mutual funds that hold stocks with high momentum outperform composites of mutual funds that hold stocks with low momentum. We also build composites of mutual funds based on a combination of liquidity and momentum factors. |
| | | 337K | | |
| | The ABCs of Hedge Funds: Alphas, Betas, and Costs | | 13 January 2011 | This paper measures the sources of hedge funds pre-fee returns from 1995-2009, estimating what portions come from alpha, beta, and costs. We considered the portion that comes from alpha most relevant because investors would have difficulty achieving it with stock, bond, and cash portfolios. The year-by-year results show that alphas were positive during every year of the past decade, even during the recent financial crisis. |
| | | 206K | | |
| | Quant Corner: Updating Monte Carlo Simulation for the 21st Century | | 19 November 2010 | Monte Carlo Simulation has become a standard tool of risk management and its latest incarnations offer several bold advances. We examine the historical use of Monte Carlo simulation in asset allocation analysis as well as three new technologiesinteractive simulation, the Distribution String™, and cloud computingmaking it more practical, interactive, and flexible. |
| | | 323K | | |
| | Morningstar® Target-Date Series Research Paper: 2010 Industry Survey | | 15 March 2010 | The survey documents trends in target-date fund design, costs, and asset flows since the 2008 market downturn as well as target-date strengths, weaknesses, and returns to investors. It also offers an examination of target-date fund disclosure, and an analysis of the performance of fund series using proprietary, or in-house, versus independent managers in target-date fund construction. |
| | | 343K | | |
| | The Importance of Asset Allocation | | 08 February 2010 | Financial Analysts Journal (FAJ) selected "The Importance of Asset Allocation" by Roger Ibbotson for its Best Perspectives Award, which is given in recognition of the timeliest and most thought-provoking opinion article of excellence in research and financial writing. The paper reveals that most of a fund's time-series variation comes from general market movement, with active management having about the same impact on performance as a fund’s specific asset allocation policy. |
| | | 444K |
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