In this paper we examine estimation risk in the well-known Morningstar mutual fund star rating system. We show that due to using a system that rates funds regardless of age differences, Morningstar has created a situation where the estimates upon which younger funds ratings are based have...

Sharpe's (1966) portfolio performance ratio, the ratio of the portfolio?s expected return to its standard deviation, is a very well known tool for comparing portfolios. However, due to the presence of random denominators in the definition of the ratio, the sampling distribution of the Sharpe...