Read the latest from Two Sigma Research on what the global market portfolio can tell us about forward-looking asset class returns.
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September 2020 Venn Factor Performance Report
The best performing factor in September was Equity Short Volatility, supported by a slight monthly decline in the VIX paired with a large down move for global Equity markets.
Inflation Series Factor InVe(nn)stigator: Three “Inflation-Hedges”
In the second of three posts in our Inflation series, we use Venn’s returns-based regression analysis to understand the risk exposures of three assets that are commonly used by investors as inflation hedges.
August 2020 Venn Factor Performance Report
It was another strong month for global stocks, pushed higher in part by optimism around COVID-19 vaccine development and dovish central bank policy in the U.S. Within equities, certain long-short equity style factors, such as Value, Low Risk, and Crowding, struggled.