Our final Venn Factor Performance Report of the year will consist of two sections: one in which we’ll reflect on 2020 full year factor performance and another that focuses on December 2020.

Read the latest from Two Sigma Research on how construction of the Low Risk factor can impact its performance.

The Equity factor had its best month on record. Within equities, there was a rotation out of Momentum and into Value in November.

A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.

Despite a strong first half of the month, global Equity markets sold off in the back half due to a resurgence of COVID-19 cases globally.

Read the latest from Two Sigma Research on what the global market portfolio can tell us about forward-looking asset class returns.

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.

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.

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.