Morningstar fund and sustainability data (licensed)

Licensed: not exercised here

Morningstar data is a paid licensed product, so it carries no provenance badge: the access path below was not run in this session (no Morningstar Direct or data-licence credentials were available). The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

Morningstar is the standard commercial source for mutual-fund and ETF data: monthly and daily returns, portfolio holdings, the Morningstar Category classification, the star rating, fund flows, and fee/share-class detail. For sustainability research it also publishes the Morningstar Sustainability Rating (the “globes”), portfolio ESG and carbon-risk scores (built on Sustainalytics inputs), and fund-level sustainable-investing flags. A paper we distill uses it: Parise & Rubin on green window dressing.

• Cost: licensed, subscription. No free tier for the research data (the consumer Morningstar.com site is a separate, limited product).
• Vendor: Morningstar, Inc. (sustainability inputs from Morningstar Sustainalytics).
• Coverage: open-end funds, ETFs, and other vehicles across many domiciles, with long return histories; sustainability ratings begin in the mid-2010s.

Access (when licensed)

• Morningstar Direct or a data feed. Most academic users query through the Morningstar Direct desktop/web platform (interactive screening and export) or receive a bulk data feed / Direct Web Services API under a licence. Check which your institution provides.
• Keyed by SecId and FundId. Morningstar uses its own identifiers (SecId for a share class / security, FundId for the fund) as the join keys; CUSIP and ticker are available but are share-class level and change over time.
• Credentials are required; keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Share class versus fund. Morningstar data is organized by share class, but most analysis wants the fund. Returns, fees, and flows differ across share classes of the same fund; aggregate to the fund (value-weight by share-class assets) deliberately rather than picking one class or double-counting.
• Survivorship and the dead-fund question. The default screen in Direct can return only surviving funds; a sample built that way is survivorship-biased. Explicitly include obsolete/merged/liquidated funds and use the full universe when computing performance.
• Category reclassification. The Morningstar Category is reassigned over time as a fund’s holdings drift, so a fund’s category is not constant. Pin the category as of the date you need rather than using the current category retroactively.
• The Sustainability Rating is rank-based, recent, and revised. The globe rating is a percentile rank within category, exists only from the mid-2010s forward, and its methodology was revised (the 2019 shift to the Sustainalytics ESG Risk Rating framework for the underlying portfolio score). Do not treat early-vintage and post-revision globes as the same measure, and do not extend the series before it existed.
• Carbon and ESG scores need portfolio coverage. Portfolio-level sustainability metrics are computed only over the rated portion of holdings; a fund with low coverage gets a metric off a thin base. Check the coverage percentage before conditioning on the score.
• Backfill and incubation bias. Funds can enter the database with backfilled history, and incubated funds appear only after a successful track record; both bias performance upward. Use the date a fund was added when it matters.
• Identifiers are not stable through corporate actions. Share-class mergers, ticker reuse, and CUSIP changes mean a ticker is not a panel key; join on SecId/FundId and verify links across mergers.

Reference: common Morningstar data items

Item	Level	Notes
Monthly/daily total return	share class	load-adjusted and unadjusted variants exist
Net assets / TNA	share class	aggregate to fund for fund-level totals
Morningstar Category	fund	reassigned over time
Star rating	share class	risk-adjusted, category-relative, trailing
Sustainability Rating (globes)	fund	percentile rank within category, mid-2010s on
Portfolio ESG / carbon-risk score	fund	depends on holdings coverage
Estimated net flow	share class	derived from assets and returns

Citation

Cite Morningstar as the source, e.g.: Morningstar Direct, Morningstar, Inc., accessed YYYY-MM-DD (note Sustainalytics as the sustainability-data source where relevant). State the access route (Direct or data feed), the identifier used (SecId/FundId), and the share-class-versus-fund aggregation so the sample is reproducible.