Trends and Cycles of Style Factors in the 20th and 21st Centuries

51 Pages Posted: 12 Dec 2022 Last revised: 20 Dec 2022

Date Written: November 15, 2022


Using filtering techniques, spectral analysis, and Markov chain models, I document trends and cycles of factors have significantly changed over the period to December 2000 compared to the period post-January 2001. The recent weaker performance of value in the 21st century, including the value drawdown over 2017 to 2022 which is the worst value drawdown ever experienced, can be attributed to both a decreasing trend component and downturns in cyclical components. Momentum performance has also declined in the post-2001 period due to decreasing trends, while the trends of the quality and size factors have increased. Low volatility portfolios still significantly reduce equity market risk in the 21st century, but the factor spends slightly longer durations in a low return regime.

Keywords: factor investing, factor timing, long-run trends, cycles, Hodrick-Prescott, regime switching models, spectral analysis

JEL Classification: C13, C32, C40, C41, C51, C58, G10, G11, G12

Suggested Citation

Ang, Andrew, Trends and Cycles of Style Factors in the 20th and 21st Centuries (November 15, 2022). Available at SSRN: or

Andrew Ang (Contact Author)

BlackRock, Inc ( email )

55 East 52nd Street
New York City, NY 10055
United States

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