Multi-Asset Style Factors Have Their Shining Moments

43 Pages Posted: 5 Sep 2019 Last revised: 5 Nov 2019

See all articles by Benoit Bellone

Benoit Bellone

Independent

Philippe Declerck

HSBC Global Asset Management

Mounir Nordine

HSBC Global Asset Management

Thomas Vy

HSBC Global Asset Management

Date Written: August 28, 2019

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

Suggested Citation

Bellone, Benoit and Declerck, Philippe and Nordine, Mounir and Vy, Thomas, Multi-Asset Style Factors Have Their Shining Moments (August 28, 2019). Available at SSRN: https://ssrn.com/abstract=3444208 or http://dx.doi.org/10.2139/ssrn.3444208

Benoit Bellone

Independent ( email )

No Address Available
United States

Philippe Declerck (Contact Author)

HSBC Global Asset Management ( email )

78 St. James's Street
London, London SW1A 1EJ
United Kingdom

Mounir Nordine

HSBC Global Asset Management ( email )

Immeuble Coeur Défense
Paris, London 92400
France

Thomas Vy

HSBC Global Asset Management ( email )

78 St. James's Street
London, London SW1A 1EJ
United Kingdom

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