RT Journal Article
SR Electronic
T1 The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?
JF The Journal of Portfolio Management
FD Institutional Investor Journals
SP 95
OP 110
DO 10.3905/jpm.2022.1.439
VO 49
IS 2
A1 Chenfei Ma
A1 Eddie Cheng
A1 Wai Lee
YR 2022
UL https://pm-research.com/content/49/2/95.abstract
AB 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.