The Lost Decade: Have Macro Factor Risk Premia Become Irrelevant?
研究过去十年宏观因子表现不佳的原因，通过三种方法分析其解释力，发现重要性并未随时间下降，并探讨了近期风险溢价不可靠的可能解释。
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.