The table below shows the number of funds for which each of these was the best-fit index, the average R-squared value for such funds based on the S&P500 results, the average R-squared value based on the best-fit index, and the improvement in R-squared associated with the use of the best-fit index instead of the S&P500. Morningstar Best-Fit Alpha. In addition to the regression analysis used to produce its alpha measure, Morningstar regresses each fund's excess returns for the last 36 months on a number of other indices, one at a time. It then selects the index that produces the best fit (highest R-squared value) for each fund. Morningstar Gbl Lng/Shrt Curr TR USD FSUSA0AUAP Morningstar MLP Composite TR USD FSUSA0B18V Morningstar US Basic Materials TR USD FSUSA0B58A Morningstar US Commun Svc Capped TR USD FSUSA0B58B Morningstar US Consumr Cyclcl TR USD FSUSA0B58C best fit changes Morningstar recalculates the best-fit index in-house on a monthly basis. Example: Kemper Small Cap Equity Fund shows the Russell 2000 as its best-fit index. The best-fit R-squared in this case is 92, which means that 92% of movements in Kemper Small Cap Equity are comparable to movements in the Russell 2000.
Answer: Investors can find a fund's best-fit index on Morningstar.com by clicking on the Ratings and Risk tab on the gray toolbar at the top of a fund's quote page and scrolling down to the Best Fit Index. The market index that shows the highest correlation with a fund over the most-recent 36 months, as measured by the highest R-squared.Morningstar regresses a fund's monthly excess returns against the monthly excess returns of several well-known market indexes. Best Fit Alpha. This is the alpha of the fund relative to its Best Fit Index. Alpha is a measure of the difference between a fund's actual returns and its expected performance given its level of
The table below shows the number of funds for which each of these was the best-fit index, the average R-squared value for such funds based on the S&P500 results, the average R-squared value based on the best-fit index, and the improvement in R-squared associated with the use of the best-fit index instead of the S&P500. Morningstar Best-Fit Alpha. In addition to the regression analysis used to produce its alpha measure, Morningstar regresses each fund's excess returns for the last 36 months on a number of other indices, one at a time. It then selects the index that produces the best fit (highest R-squared value) for each fund. Morningstar Gbl Lng/Shrt Curr TR USD FSUSA0AUAP Morningstar MLP Composite TR USD FSUSA0B18V Morningstar US Basic Materials TR USD FSUSA0B58A Morningstar US Commun Svc Capped TR USD FSUSA0B58B Morningstar US Consumr Cyclcl TR USD FSUSA0B58C best fit changes Morningstar recalculates the best-fit index in-house on a monthly basis. Example: Kemper Small Cap Equity Fund shows the Russell 2000 as its best-fit index. The best-fit R-squared in this case is 92, which means that 92% of movements in Kemper Small Cap Equity are comparable to movements in the Russell 2000. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or any losses arising from any use of information. U.S. News has ranked more than 4,500 ETFs to help you make clear and confident financial decisions. Rankings & Advice Use the Best Fit ETF rankings to identify large, liquid funds that perform Best Fit Index Morningstar Agg Tgt Risk TR USD: R-Squared: 100: Beta: 0.96: Alpha-0.30: Trailing 3-Yr as of 2019-11-30 Morningstar, the Morningstar logo, Morningstar.com, Morningstar Tools are either trademark or service marks of Morningstar, Inc. The information contained herein: (1) is proprietary to Morningstar and/or its content
The best fit R-squared score represents the market index that shows the highest correlation between a fund and an index over the most-recent 36 months. To find the best fit R-squared, Morningstar regresses a fund's monthly excess returns against the monthly excess returns of several well-known market indexes. Learn about FIT with our data and independent analysis including price, star rating, valuation, dividends, and financials. Start a 14-day free trial to Morningstar Premium to unlock our take on FIT. Ratings and Risk Morningstar Ratings After determining the best-fit index, Morningstar deducts the current return of the 90-day T-bill from the total return of both the fund and the best-fit index. The difference is called the fund's excess return. The exact mathematical definition of alpha that Morningstar uses is listed below. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or any losses arising from any use of information.
Best Fit Index. The market index that shows the highest correlation with a fund over the most-recent 36 months, as measured by the highest R-squared.Morningstar regresses a fund's monthly excess returns against the monthly excess returns of several well-known market indexes. Best Fit Alpha. This is the alpha of the fund relative to its Best Fit Index. Alpha is a measure of the difference between a fund's actual returns and its expected performance given its level of