{"id":19854,"date":"2022-12-28T10:57:11","date_gmt":"2022-12-28T09:57:11","guid":{"rendered":"https:\/\/quantpedia.com\/?p=19854"},"modified":"2025-06-04T14:27:19","modified_gmt":"2025-06-04T12:27:19","slug":"factors-performance-during-various-market-cycles","status":"publish","type":"post","link":"https:\/\/vvv.quantpedia.com\/es\/factors-performance-during-various-market-cycles\/","title":{"rendered":"Factor’s Performance During Various Market Cycles"},"content":{"rendered":"

We have already showed How to extend history of any asset, portfolio or strategy to a 100-year long history. We\u2019ve done this by introducing Quantpedia\u2019s Multi-Factor Regression Model, which aims to replicate any portfolio<\/a> and recreate what its 100-year history would have looked like. The model uses several factors, including Market (U.S. Equities), Bonds<\/a>, Commodities<\/a>, Trend factor<\/a>, etc. In addition to that, we also examined 100 Years of Historical Market Cycles<\/a>.<\/p>\n\n\n\n

Today, we analyze how all the factors<\/strong> we use in our Multi-Factor Regression Model performed during various Market Cycles<\/strong> (in sample), including the Bull\/ Bear market, the High\/ Low inflation, and the Rising\/ Falling interest rates. Further, we also examine the performance of a Balanced Portfolio ETF \u2013 AOR, over past 100 years. This is done by creating the Factor AOR, which we constructed using our Multi-Factor Regression Model from AOR ETF. The process of how we reconstructed the 100-year history for AOR ETF<\/a> is described in detail in our blog<\/a>.<\/p>\n\n\n\n

In addition to a chart comparison of equity curves, we also compare the performance of factor AOR to that of all the factors by means of risk\/return tables, i.e. quantitatively. All the tables are sorted based on the Sharpe ratio from the best (at the top) to the worst (at the bottom).<\/p>\n\n\n

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