We use the monthly returns to determine the 2020 factor exposures of major hedge fund categories using HFR indexes.

In the first report of 2021, we take a deep dive into Venn’s Crowding factor, which experienced its worst month since its inception in the Two Sigma Factor Lens.

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.