Using data on 1,312 active US equity mutual funds with $3.9 trillion in assets under
management, we analyzed the link between funds' bottom-up, holdings-based …

Purpose The pupose of the paper is to study the usefulness of Piotroski (2000)'s F-score in
separating winners and losers in Vietnam. Design/methodology/approach The authors …

We investigate the investability of commodity risk premia in China. Previously documented
standard momentum, carry and basis-momentum factors are not investable due to the …

Using factor models we empirically investigate the performance of European Monetary
Union (EMU) bond managers. We find that (1) alpha is time varying,(2) bond managers …

We establish, under both theoretical conditions and empirical application, the separate roles
of (1) market asset class exposure through index funds;(2) style factor exposure, such as …

The last decade's dramatic democratization of factor investing has broadened its investor
base to individual investors and their advisors. This paper studies the performance of classic …

The answer is no. Investors hunt factor exposures and premium across the stock universe.
However, the relation between factor exposures and returns is non-linear. Large-scale …

We document significant spreads in style factors—value, size, quality, momentum, and low
volatility—in each of the style box categories. This is also true even for the value and small …

The commodity futures literature has advanced significantly in the last decades due to its
growing importance in financial economics and the investment management industry …