While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
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Mutual Funds Research Papers Dissertation Sur La Mort Du Roi Tsongor
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To answer this question, we derive a new Bayesian time-varying CAPM-based beta model, where managers modulate the systematic risk in part by observing how the benchmark returns are related to some set of imperfect predictors, and in part reflecting their own information set.
Based on single and equally weighted portfolios of U. domestic equity mutual funds over the 1990–2014 period, we estimate our model providing new evidence on mutual fund dynamics: (1) beta dynamics are significantly affected by economic variables, although (2) managers seem not to care about benchmark sensitivities toward predictors in choosing their instrument exposure; and (3) instruments play a key role on the long run.