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 Ma, Chenfei A1 Cheng, Eddie A1 Lee, Wai 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.