Multi-Asset Style Factors Have Their Shining Moments

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 article, the authors look to clear up the following questions: How do multi-asset styles perform across time and across different market regimes? How should multi-asset styles 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 any style more likely to be structurally more cyclical or defensive? To do so, the authors describe how single asset class factors behave and then look into to the current debate opposing style rotation to diversification to answer the question: Is there a case for more time-varying and concentrated multi-asset style portfolio constructions?