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In this paper, we place firms in the Morningstar's style box cells and test whether selecting ®rms from these cells allows investors to compile a portfolio consistent with their risk tolerance. We con®rm that the risk of those cells is consistent with the risk expectations published by Morningstar. Firms assigned to the upper left cells are lower risk than those assigned to the lower right cells. When we test for risk-adjusted returns we do not ®nd that investing in high risk cells results in greater returns. Our results suggest higher returns are possible by investing in lower risk value cells. Copyright 2001 Elsevier Science Inc. All rights reserved.

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