japanja
Strong multi-asset factor performance over more than two centuries

Strong multi-asset factor performance over more than two centuries

12-02-2019 | インサイト

To be considered relevant, a factor must first and foremost be backed by ample empirical evidence. In the absence of such evidence, academic research on multi-asset factor premiums could suffer from ‘p-hacking’ (or ‘data mining’). Recent research by Robeco uses new and previously unused deep historical financial data. The results allay any p-hacking concerns.

  • Guido  Baltussen
    Guido
    Baltussen
    Co-head Quant Allocation
  • Pim  van Vliet, PhD
    Pim
    van Vliet, PhD
    Head of Conservative Equities
  • Laurens Swinkels
    Laurens
    Swinkels
    Researcher

Speed read

  • Potential ‘p-hacking’ is a serious threat to financial research
  • Factors should be backed by overwhelming empirical evidence
  • New research by Robeco looks at over two centuries of financial data

When assessing the evidence on potentially interesting factors, it is of utmost importance for researchers to take the possibility of ‘p-hacking’ into account. P-hacking means that researchers examine thousands of different investment strategies, but only report those that show the best historical performance. The discovery of new historical financial data is important to alleviate these p-hacking concerns. The quest for such historical evidence on factor premiums was actually what recently led Robeco’s Guido Baltussen, Laurens Swinkels and Pim van Vliet to analyze more than two centuries of international market data from multiple historical sources, relating to an array of asset classes.

The three authors looked at six major factor premiums in equity indices, government bonds, currencies, and commodities, using data going back to 1800. Such an extensive sample allowed them to falsify certain factors, to check if previous results were simply driven by ‘p-hacking’. A data set spanning such a long period of time covers the various stages of the business cycle and economic crashes, which makes it possible to study the sensitivity of factor premiums to financial market and macroeconomic conditions.

Persistent factors

The authors found significant, persistent, and robust momentum, value, seasonal and carry premiums within four asset classes. They document the presence of a low-risk effect in equity markets, but not in other markets, which is consistent with the typical explanations given for the low-risk effect. They also found that the momentum, value, seasonal, and carry factor premiums generally work well with each other in the context of portfolio diversification. The authors also show that the time-series trend and cross-sectional momentum are in essence similar factors. Further, they argue that multi-asset factor strategies give rise to statistically highly significant Sharpe ratios in the range of 0.5-1.2, delivering positive returns in almost all 10-year periods since 1800.

The factor premiums remain robust across economic stages

The factor premiums remain robust across economic stages, such as bull and bear markets, recessions and expansions, and periods of crisis and of growth and prosperity. They also investigate downside crash risk as a possible explanation for these factor premiums but find virtually no evidence for this.

Multi-asset factor investing

Overall, the authors present convincing empirical evidence that most factor premiums are present in all major asset classes, are economically robust, and persist over time. They are highly unlikely to be the result of data mining, supporting the assumption that they will continue to exist in the future. 

Read the related research paper, ‘Global Factor Premiums’, on SSRN.

重要事項

当資料は情報提供を目的として、Robeco Institutional Asset Management B.V.が作成した英文資料、もしくはその英文資料をロベコ・ジャパン株式会社が翻訳したものです。資料中の個別の金融商品の売買の勧誘や推奨等を目的とするものではありません。記載された情報は十分信頼できるものであると考えておりますが、その正確性、完全性を保証するものではありません。意見や見通しはあくまで作成日における弊社の判断に基づくものであり、今後予告なしに変更されることがあります。運用状況、市場動向、意見等は、過去の一時点あるいは過去の一定期間についてのものであり、過去の実績は将来の運用成果を保証または示唆するものではありません。また、記載された投資方針・戦略等は全ての投資家の皆様に適合するとは限りません。当資料は法律、税務、会計面での助言の提供を意図するものではありません。

ご契約に際しては、必要に応じ専門家にご相談の上、最終的なご判断はお客様ご自身でなさるようお願い致します。

運用を行う資産の評価額は、組入有価証券等の価格、金融市場の相場や金利等の変動、及び組入有価証券の発行体の財務状況による信用力等の影響を受けて変動します。また、外貨建資産に投資する場合は為替変動の影響も受けます。運用によって生じた損益は、全て投資家の皆様に帰属します。したがって投資元本や一定の運用成果が保証されているものではなく、投資元本を上回る損失を被ることがあります。弊社が行う金融商品取引業に係る手数料または報酬は、締結される契約の種類や契約資産額により異なるため、当資料において記載せず別途ご提示させて頂く場合があります。具体的な手数料または報酬の金額・計算方法につきましては弊社担当者へお問合せください。

当資料及び記載されている情報、商品に関する権利は弊社に帰属します。したがって、弊社の書面による同意なくしてその全部もしくは一部を複製またはその他の方法で配布することはご遠慮ください。

商号等: ロベコ・ジャパン株式会社  金融商品取引業者 関東財務局長(金商)第2780号

加入協会: 一般社団法人 日本投資顧問業協会