Qualitative rating attribution methodology
The methodology described here is the basis of the rating system used by CFS Rating both on this website and in the annual edition of the volume “The 300 Best Funds”, published in collaboration with Il Sole 24 Ore. It is a structured, objective and transparent approach, aimed at evaluating in a comparable way the quality of mutual funds included in the CFS Rating database.
Eligibility criteria
The rating is attributed exclusively to funds that have a historical series of at least 36 months to guarantee an evaluation on a statistically significant and comparable basis.
Evaluation system
Each fund is evaluated on the basis of two main indicators:
Modified Sharpe ratio: measures the risk-adjusted performance, taking into account asymmetric volatility.
Regression alpha: represents the added value of the manager compared to the reference benchmark, isolating the effect of active management.
For each indicator, a separate ranking is drawn up within the category to which the fund belongs. The arithmetic mean of the positions obtained in the two rankings determines the overall positioning of the fund in the general ranking.
Star attribution
Based on the general ranking, the funds are divided into quintiles and each group is assigned a star score, from 1 (lowest rating) to 5 (highest rating), according to the following breakdown:
5 stars: top 10% of funds (1st quintile)
4 stars: next 20% (2nd quintile)
3 stars: intermediate band, 40% (3rd quintile
2 stars: next 20% (4th quintile)
1 star: last 10% (5th quintile)
Distribution by quintile
