We analyze the heterogeneity in asset allocation decisions of different investor groups in response to changes in the macroeconomic environment. Using a new data set that includes the monthly portfolio holdings of private, commercial, and institutional investors deposited with Swiss banks, we...

This article investigates the consistency of style returns of hedge funds across eight providers of style indexes. We select 10 style categories which are defined in a relatively consistent way across the various providers, so that the natural null hypothesis is that the returns should behave...

We analyze the asset allocation decisions of different investor groups and investigate how their investmentbehavior changes with macroeconomic conditions. Using a new data set that includes themonthly portfolio holdings of private, commercial, and institutional investors deposited with...

This article investigates the consistency of style returns of hedge funds across eight providers of style indexes. We select 10 style categories which are defined in a relatively consistent way across the various providers, so that the natural null hypothesis is that the returns should behave...