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The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?

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Secondary
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Abstract
1. Chenfei Ma 1. is a portfolio manager with the Multi-Asset Solutions team at Allspring Global Investments in London, UK. (chenfei.ma{at}allspring-global.com) 2. Eddie Cheng 1. is head of international multi-asset portfolio management with the Multi-Asset Solutions team at Allspring Global Investments in London, UK. (eddie.c.cheng{at}allspring-global.com) 3. Wai Lee 1. is a co-head of research for Systematic Edge at Allspring Global Investments in London, UK. (wai.lee{at}allspring-global.com) The role of factors in macro investing has come into question after mediocre performance during the past decade. In this article, the authors confirm this decline in profitability and examine the importance and relevance of macro factors via three different approaches, analyzing their explaining power for asset risks and cross-sectional return variations. They find no evidence of declining importance over time. They discuss a few possible explanations for the apparently unreliable risk premia associated with these factors in the recent decade.
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jpm.pm-research.com
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Journal
https://jpm.pm-research.com/content/early/2022/11/23/jpm.2022.1.439
Published
2022/11/23
Retrieved
2022/11/23 11:49
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