The highest unemployment rate since the Great Depression. The sharpest quarterly GDP contraction since the Global Financial Crisis (GFC) of 2008. The official end of the post-GFC economic expansion. All of this points to the fact that the world is in the middle of one of the most challenging economic conditions in history.

The Venn team has written extensively about how the market crash surrounding the COVID-19 pandemic has impacted factors. We’ve published an e-book comparing factor performance in the recent crisis to historical crises. 

Our colleagues on the Two Sigma Client Solutions Research team (the group responsible for developing new Venn factors and methodologies) conducted further analysis by measuring the “distance” of this crisis to other periods in history using a variety of indicators, including economic conditions, consumer and business confidence measures, and overall market dynamics. They apply the same model used in a 2018 Street View titled Markets in the Rear-View Mirror (May Be Closer Than They Appear)” to showcase how simultaneous the market and economic impacts were in this recent crisis and how market, economic, and (consumer and business) confidence indicators deteriorated so abruptly compared to the months immediately preceding the crisis.

Read Markets in the Rear-View Mirror: COVID-19 Collision

Read more of their posts here, and subscribe to directly receive the latest from Two Sigma, for the topics you choose, in your inbox.


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or other services available on Venn change frequently and the content of this article should be expected to become outdated and less accurate over time.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.

This article may include discussion of investing in virtual currencies. You should be aware that virtual currencies can have unique characteristics from other securities, securities transactions and financial transactions. Virtual currencies prices may be volatile, they may be difficult to price and their liquidity may be dispersed. Virtual currencies may be subject to certain cybersecurity and technology risks. Various intermediaries in the virtual currency markets may be unregulated, and the general regulatory landscape for virtual currencies is uncertain. The identity of virtual currency market participants may be opaque, which may increase the risk of market manipulation and fraud. Fees involved in trading virtual currencies may vary.


Recent Posts