Multi-Asset Style Factors Have Their Shining Moments
研究了多资产风格因子（如套利、价值、动量）在不同市场环境和股票周期中的表现，探讨了风格轮动与分散化策略的优劣，帮助投资者判断是否应构建时变集中的多资产风格组合。
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?