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Nov 04 2010

Commodities vs. Style Factors: A Risk Perspective

  • Nov 4, 2010

Chun Wang uses the CRB Index as a risk proxy to test the effectiveness of a range of quantitative factors in various environments. Commodity prices have become an increasingly important measure of risk, since higher commodity prices indicate a greater risk appetite and vice versa.


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About The Author

Chun Wang / Sr. Research Analyst & Co-Portfolio Manager