How Are Factors Performing In 2022?

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).

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

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