The Equity factor had its best month on record. Within equities, there was a rotation out of Momentum and into Value in November.
A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.
Despite a strong first half of the month, global Equity markets sold off in the back half due to a resurgence of COVID-19 cases globally.
Read the latest from Two Sigma Research on what the global market portfolio can tell us about forward-looking asset class returns.
The best performing factor in September was Equity Short Volatility, supported by a slight monthly decline in the VIX paired with a large down move for global Equity markets.
In the second of three posts in our Inflation series, we use Venn’s returns-based regression analysis to understand the risk exposures of three assets that are commonly used by investors as inflation hedges.
It was another strong month for global stocks, pushed higher in part by optimism around COVID-19 vaccine development and dovish central bank policy in the U.S. Within equities, certain long-short equity style factors, such as Value, Low Risk, and Crowding, struggled.
We analyze how dramatic shifts in the risk characteristics of stocks during the coronavirus pandemic impacted the sector composition of Venn’s Low Risk equity style factor.
In the first of three posts in our Inflation series, we cover how Venn’s Local Inflation factor is constructed, what it means to have exposure to the factor as we’ve built it, and a summary of the factor’s historical performance.
Despite a rising rate of increase in new COVID-19 cases and increasing U.S.-China tensions, global equity markets continued their ascent. Within global stocks, the multi-year return spread between Momentum and Value grew wider.