Box Jumping: Portfolio Recompositions to Achieve Higher Morningstar Ratings
I show that actively-managed mutual funds often pursue higher Morningstar ratings at the expense of lower investment returns. Funds achieve higher ratings by changing their holdings to induce Morningstar to reclassify them into size/value style boxes with worse average performance. This practice, wh...
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| Format: | Thesis |
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Massachusetts Institute of Technology
2024
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| Online Access: | https://hdl.handle.net/1721.1/155991 |