Using a unique money manager database that allows managers to identify their own investment styles, we examine 4 …,754 non mutual fund value- and growth-oriented portfolios over the period 1999-2003. Consistent with style definitions, we … find that on average, growth funds have price-earnings ratios, price-to-book ratios and earnings growth rates that are …

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …

We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost …

Over the last two decades, commodity indices have been increasingly used to achieve investment portfolio …

more so, multi-asset multi-factors significantly expand the investment opportunity set relative to a traditional multi … strive for maximum diversification in the multi-asset multi-factor world. To illustrate the strategy's merits, we investigate …