Notable 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 86th 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
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.
Click here for Important Disclosure and Disclaimer Information.
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or other services available on Venn change frequently and the content of this article should be expected to become outdated and less accurate over time. 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.