Multi-Asset Value Payoff: Is Recent Underperformance Cyclical?

30 Pages Posted: 12 Dec 2019

Date Written: November 25, 2019

Abstract

Value is one of the most studied risk premia strategies across asset classes. Value factors, however, have struggled lately. To uncover the drivers of recent value factor underperformance, it is important to understand how value returns are affected by macroeconomic conditions. We build on the existing literature by directly measuring the macroeconomic characteristics of value factor portfolios, namely real economic growth and inflation exposures. By pairing methodologies commonly used to derive fundamental characteristics of equity portfolios, we are able to identify macro linkages that have not been previously made evident. Our holdings-based and factor-mimicking portfolio analyses provide insights into the behavior of value strategies across various asset classes, looking at both cyclical and idiosyncratic drivers.

Keywords: Factor Investing, Alternative Risk Premia, Style Premia, Value Factor, Macro Fundamentals

JEL Classification: G1, G12,G15

Suggested Citation

Tokat-Acikel, Yesim and Aiolfi, Marco and Jin, Yiwen, Multi-Asset Value Payoff: Is Recent Underperformance Cyclical? (November 25, 2019). Available at SSRN: https://ssrn.com/abstract=3493335 or http://dx.doi.org/10.2139/ssrn.3493335

Yesim Tokat-Acikel

QMA ( email )

100 Mulberry Street
Gateway Center 2
Newark, NJ 07102
United States

Marco Aiolfi (Contact Author)

QMA ( email )

100 Mulberry Street
Gateway Center 2
Newark, NJ 07102
United States

Yiwen Jin

QMA ( email )

100 Mulberry Street
Gateway Center 2
Newark, NJ 07102
United States

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