Yes, but not in the way you probably expect.
Morningstar has the most well know rating system based on past returns. Within their categories of mutual funds they compare funds’ returns and rate them on a scale of 5 stars with 5 stars as highest.
Vanguard the largest mutual fund company did a study to see how well these star ratings (i.e. past returns) could predict future returns over the 3 years following the rating. They found that the lowest rated funds (1 star) had the highest returns relative to a benchmark index and the highest rated funds (5 stars) had the lowest relative returns. Here’s the chart from Vanguard :
Psychologists say that humans are hard wired to find patterns. But it seems we are looking for the simplest pattern – we expect high returns followed by high returns and low returns followed by low returns. In finance, our instincts lead us astray.
Notice that even though we can use the star rating system to from Morningstar to find funds that do better than average (by picking the lowest rated funds) this category is still only just matching their benchmark (roughly).
We need a better way!