The start to 2022 has been full of surprises and we’re not even through the first month of the year! Given sizable movements observed in the markets in the past several weeks, we wanted to share a quick note on performance of the factors in the Two Sigma Factor Lens so far in 2022. 


 As of Tuesday’s market close (1/25/2022):

Source: Venn. The median and percentile columns measure the performance of each factor in the Two Sigma Factor Lens relative to the entire history of the factor in USD, using monthly data for the period March 1995 - January 25th 2022.

  • The Equity factor was down -7.08% on the month to date period, most of which (-4.40%) occurred over the trailing 5 trading days. In addition, for US based investors, the Local Equity factor suffered a -1.43% loss, as US equities markets underperformed the rest of the world.
  • The Interest Rates factor was also down -1.01% on the month to date period, although the factor has been up (.40%) over the trailing 5 trading days.
  • The Commodities factor was also up 4.37%, half of which (2.20%) occurred over the trailing 5 trading days.
  • Within equity styles:
    • The Value factor experienced one of its biggest surges in Venn’s history, up 14.89%, which would put it in the 100th percentile of monthly returns since inception of the Two Sigma Factor Lens. The factor steadily rose over the period, with gains nearly in lockstep across each factor input. Looking further back at the last 3-year period, the Value factor recovered nearly half of its drawdown. Meanwhile, true to the long-term relationship between these two factors, the Momentum factor dropped -6.00%, and the correlation between Value and Momentum remained steady at -.50 on the month, in-line with the long-term average correlation of -.58 since inception of the Two Sigma Factor Lens.
    • The Crowding factor also experienced one of its best month to date periods on record, up 2.31% which would put it in the 99th percentile of monthly returns since inception of the Two Sigma Factor Lens.

Stay tuned for more in-depth Macro commentary in the upcoming January edition of the Venn Factor Performance Report (see the December and Full Year 2021 VFPR here).

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References to the Two Sigma Factor Lens and other Venn methodologies are qualified in their entirety by the applicable documentation on Venn.

 

 

This article is not an endorsement by Two Sigma Investor Solutions, LP or any of its affiliates (collectively, “Two Sigma”) of the topics discussed. The views expressed above reflect those of the authors and are not necessarily the views of Two Sigma. This article (i) is only for informational and educational purposes, (ii) is not intended to provide, and should not be relied upon, for investment, accounting, legal or tax advice, and (iii) is not a recommendation as to any portfolio, allocation, strategy or investment. This article is not an offer to sell or the solicitation of an offer to buy any securities or other instruments. This article is current as of the date of issuance (or any earlier date as referenced herein) and is subject to change without notice. The analytics or other services available on Venn change frequently and the content of this article should be expected to become outdated and less accurate over time. Any statements regarding planned or future development efforts for our existing or new products or services are not intended to be a promise or guarantee of future availability of products, services, or features.  Such statements merely reflect our current plans.  They are not intended to indicate when or how particular features will be offered or at what price.  These planned or future development efforts may change without notice. Two Sigma has no obligation to update the article nor does Two Sigma make any express or implied warranties or representations as to its completeness or accuracy. This material uses some trademarks owned by entities other than Two Sigma purely for identification and comment as fair nominative use. That use does not imply any association with or endorsement of the other company by Two Sigma, or vice versa. See the end of the document for other important disclaimers and disclosures. Click here for other important disclaimers and disclosures.

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