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Research Archive
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.
Morningstar Markets Observer, 3rd Quarter 2015
23 July 2015 | Morningstar has published its latest Morningstar Markets Observer, which presents Morningstar’s take on key market indicators affecting investors in the last quarter. The Observer offers a comprehensive overview of market activity using charts, talking points, commentary, and Morningstar proprietary data.
5.2M
No Portfolio is an Island
15 June 2015 | The authors incorporated nonfinancial assets—industry-specific human capital, region-specific housing wealth, and pensions—into a traditional portfolio optimization and found that the optimal portfolio varies materially for different compositions of total wealth. In particular, they found that the optimal equity allocation decreases with age, riskier employment, and riskier homeownership, whereas it increases with guaranteed pension income. These results suggest that every portfolio needs to be considered in the context of an investor’s total wealth.
397K
PIMCO Update June 2015
04 June 2015 | Morningstar’s manager research team provides an update on PIMCO and the evolution of its investment team in recent months. In addition, the piece addresses recent outflows and assesses the impact of these flows on PIMCO’s business model and ability to attract and retain talent, following manager Bill Gross’ departure from the firm on Sept. 26, 2014.
500K
Building Efficient Income Portfolios
21 May 2015 | Research on efficient portfolio construction has focused almost entirely on total return, with the assumption that income investing is inefficient. But we define the income investor as one who cares more about steady income than liquidity, capital appreciation, or taxation, and introduce a method for building efficient income portfolios that maximize utility for these investors by adjusting the return component of the portfolio optimization function. Income portfolios likely will be less diversified but produce greater income than their total-return counterparts.
1.40M
The Economic Value of Forecasting Left-Tail Risk
15 May 2015 | To many investors, minimizing future downside or tail risk without giving up return should be one of the most important goals in portfolio construction. The key is to accurately forecast forward-looking left-tail risk, in particular, negative skewness (i.e., a high probability of large losses). In this paper, we identify factors that can forecast negative skewness for the U.S. stock market and seven other equity asset classes and thereby we are able to identify a sweet spot for a mean-variance-skewness investor.
308K
Target-Date Landscape Report
07 April 2015 | Target-date funds continue to cement their place as the preferred investment for American workers' retirement savings. Morningstar’s annual report on target-date series analyzes fund growth, asset allocation and glide paths, management fees, fund performance, and manager attribution, among other areas.
PIMCO September Asset Flows Special Report
02 October 2014 |  Morningstar’s manager research team evaluates September 2014 asset flows for PIMCO Total Return, following manager Bill Gross’ departure from the firm on Sept. 26, 2014. The piece examines whether flows may be stabilizing, provides some larger industry perspective, and covers whether the fund can withstand such significant redemptions without punishing remaining shareholders.
377K
Morningstar Credit Ratings: RMBS Landscape
30 July 2014 | Issuance activity in the private-label residential mortgage-backed securities (RMBS) market remains tepid for the seventh consecutive year due to regulatory uncertainty as well as macroeconomic factors, including interest rates and housing prices. This report explores the ongoing challenges facing the private-label RMBS market and offers Morningstar’s thoughts on what is needed to overcome these challenges.
142K
2014 Target-Date Series Research Paper
01 July 2014 | Morningstar’s annual report on the target-date industry examines the role these investments play in the market, now that they’ve been available for more than 20 years. This paper analyzes fund growth, target-date series asset allocation and glide paths, management fees, fund performance, and manager attribution, among other areas.
716K
Morningstar® Fee Level for Funds Methodology
30 April 2014 | 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 U.S.-based mutual funds in Morningstar’s database.
168K
2014 Morningstar U.S. Mutual Fund Industry Stewardship Survey
20 March 2014 | Morningstar has long maintained that investors win when they partner with good stewards of capital, and this study supports that position. Our Stewardship Survey demonstrates that firms with stronger firm-level data produce better outcomes for investors, which we measure through our Morningstar Success Ratios.
183K
Morningstar Net Gearing Ratio Methodology
10 January 2014 | This document describes the decisions we made when incorporating derivative information in our net gearing ratio calculations. Gearing measures how much a fund leverages its portfolio through borrowing. Funds with a higher gearing ratio will show larger returns in upward-trending markets, but lower returns in downward-trending markets and are more volatile than funds with a low gearing ratio.
148K
Employer Stock Ownership in 401(k) Plans and Subsequent Company Stock Performance
01 July 2013 | This paper explores the historical relationship between employee stock ownership in 401(k) plans and subsequent company stock return on both a relative performance and risk-adjusted basis. Over the time period studied, we find that firms with comparatively high allocations to employer stock in 401(k) plans have tended to underperform those without.
1.06M
Factor-Based Asset Allocation vs. Asset-Class-Based Asset Allocation
02 June 2013 | This article addresses the issue of the alleged superiority of risk-factor-based asset allocations over the more traditional asset-class-based asset allocation. We used both an idealized model, capable of precise mathematical treatment, and optimizations based on different periods of historical data to show that neither approach is inherently superior to the other.
188K
Liquidity as an Investment Style
02 June 2013 | William F. Sharpe defined four main criteria that characterized a benchmark's style in several studies. This article proposes that equity liquidity should be given equal standing with size, value/growth, and momentum as an investment style. We set out to prove that liquidity meets all four of Sharpes criteria and illustrates that liquidity returns are sufficiently different from those of other styles.
229K
Global Fund Investor Experience Report 2013
15 May 2013 | The bi-annual Global Fund Investor Experience report assesses the experiences of mutual fund investors in 24 countries across North America, Europe, Asia, and Africa.
3.1M
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