Multi-Asset Style Factors Have Their Shining Moments

Abstract

Carry, Value and Momentum factors are said "to be everywhere" according to a growing body of research. As such they may be the most robust styles across asset classes and history. In this research paper, we look forward to clearing up the following questions: how to describe multi-asset styles performance across time and across different market regimes? How multi-asset styles should be expected to behave during alternative phases of the Stock Market cycle? Are cross-asset styles sensitive to volatility conditions? Are there different responses to changes in bond yields? Is there any style likely to be structurally more cyclical or defensive? Eventually, we would like to contribute to the current debate opposing Style Rotation to Diversification: is there a case for more time-varying and concentrated Multi-Asset style portfolio constructions?

Keywords: risk premia, regimes