Abstract
Carry, Value and Momentum factors are said 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?
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
