268Notable Performance of Factors in the Two Sigma Factor Lens

  • The long-term negative relationship between the Momentum and Value equity style factors was evidenced once again in July, with the former posting a strong gain, and the latter delivering negative performance.
  • The Local Inflation factor delivered 85th percentile performance, driven by gains in the first half of the month. The U.S. core inflation rate rose 2.1% from a year earlier, beating market expectations.1
  • The Small Cap equity style factor ended the month negative, as smaller cap stocks generally underperformed their larger cap counterparts.
  • The Foreign Currency factor, which is short USD and long the other G10 currencies, had a poor month. The USD generally outperformed the other major currencies, especially the GBP. With Boris Johnson appointed as prime minister, the pound came under pressure on concerns of a no-deal Brexit.2


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    1 Source: Bureau of Labor Statistics.

    2 Example source: Colchester, Max. (2019, July 29). Boris Johnson Ramps Up No-Deal Brexit Rhetoric, Causing Pound to Fall. The Wall Street Journal.

    The data in the table above is sourced from Venn as of July 2019. Median and percentile measures 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 January 2003 – July 2019.


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