Coronavirus -- Comparing Factor Performance During Three Crises

The global spread of the novel coronavirus has materially impacted our lives and the economy, resulting in one of the worst global public health crises in modern times. It’s rarely been the case that an epidemic has influenced markets and the economy in this way. While every market crisis is unique, we compare what’s going on today to two historical crises:
  • The September 11, 2001 terrorist attacks and immediate aftermath
  • The Global Financial Crisis of 2008

What similarities and differences exist across these three periods from a factor perspective, and what lessons can we take away?

Product

Features

Use Cases
Resources

Blog

Careers

Help Center
Linkedin icon Twitter icon

VENN BY TWO SIGMA IS FOR INSTITUTIONAL/WHOLESALE/PROFESSIONAL CLIENTS AND OTHER QUALIFIED CLIENTS IN CERTAIN JURISDICTIONS ONLY – NOT FOR RETAIL USE OR DISTRIBUTION. FOR UK SUBSCRIBERS: VENN IS INTENDED ONLY FOR INVESTMENT PROFESSIONALS WITHIN THE MEANING OF ARTICLE 19 OF THE FINANCIAL SERVICES AND MARKETS ACT 2000 (FINANCIAL PROMOTION) ORDER 2005 (“FPO”) OR HIGH NET WORTH ENTITIES OR OTHER ENTITIES FALLING WITHIN ARTICLE 49 OF THE FPO.  FOR HK SUBSCRIBERS: Certain Venn Pro features (including optimization) are not generally available in Hong Kong. TSIS is based in the United States. TSIS does not conduct any regulated activity (as defined in the Securities and Futures Ordinance (Cap. 571, Laws of Hong Kong)) in Hong Kong, and TSIS is not licensed by any regulatory authority in Hong Kong.  FOR ERISA, PUBLIC PENSION AND OTHER RETIREMENT ASSET SUBSCRIBERS: Venn is not for use as a primary basis for investment decisions. TSIS does not hold itself out as a fiduciary (or as otherwise owing any other special duties) to any pension or retirement plan under pension, retirement or similar laws or regulations.

Two Sigma Investor Solutions, LP (“TSIS”) operates Venn. Venn is separate and the services it offers are different from the businesses and services of TSIS’s affiliates. No material on or linked to by this website is or should be construed as an offer to sell, or a solicitation of an offer to buy, any security or other instrument. TSIS and/or its affiliates determine which risk factors to include in the Two Sigma Factor Lens, and not all risks are captured.  Past performance is not necessarily indicative of future results. Venn relies on subscriber input and facilitates subscriber analysis, but does not substitute subscriber’s own independent analysis.  Venn is not for use as a primary basis for investment decisions.  Please see TSIS’s Form ADV for important disclosures, including disclosures about material conflicts of interest and limitations of Venn. Links from this website to third-party websites do not imply any endorsement by the third party of this website or of the link; nor do they imply any endorsement by this firm of the third-party website or of the link.

© 2023 Two Sigma Investments, LP. All rights reserved. Two Sigma, the Two Sigma logo, Venn, and the Venn logo are trademarks of Two Sigma Investments, LP. 

Venn by Two Sigma is not affiliated with or connected to ARA Venn (a trading name of Venn Partners LLP).

MSCI Inc’s data and analytics were used in preparation of this information. Copyright 2023 MSCI, Inc. All rights reserved. Certain data provided by MSCI. Copyright MSCI 2023. All Rights Reserved. Unpublished. PROPRIETARY TO MSCI. MSCI Inc’s data and analytics were used in preparation of this information.                      

Market Data Powered By SIX

©2023 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Past performance is no guarantee of future results.

Certain data derived from data by Global Financial Data, Incorporated.

Portions of the information contained in this display were supplied by Lipper, A Refinitiv Company, subject to the following: Copyright 2023 © Refinitiv. All rights reserved. Lipper shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

Bloomberg Commodity IndexSM and its associated data, Copyright © 2023 Bloomberg Index Services Limited. “Bloomberg®,” the “Bloomberg Commodity IndexSM” and the names of the other indices and subindices that are part of the Bloomberg Commodity Index family (such indices and subindices collectively referred to as the “BCOM Indices”) are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited, the administrator of the indices (collectively, “Bloomberg”. Bloomberg or Bloomberg’s licensors own all proprietary rights in the BCOM Indices. Bloomberg does not approve or endorse this material, or guarantee the accuracy or completeness of any information herein, or make any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, shall have no liability or responsibility for injury or damages arising in connection therewith.

Bloomberg fixed income indices and their associated data, Copyright © 2023 Bloomberg Index Services Limited. Bloomberg® is a trademark and service mark of Bloomberg Finance L.P. and its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Bloomberg does not approve or endorse this material or guarantee the accuracy or completeness of any information herein, nor does Bloomberg make any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, Bloomberg shall not have any liability or responsibility for injury or damages arising in connection therewith.

Source for hedge fund index data: HFR