Inflation concerns pushed sovereign yields higher, and dispersion among yields meaningfully impacted the performance of the Fixed Income Carry factor.
Our final Venn Factor Performance Report of the year will consist of two sections: one in which we’ll reflect on 2020 full year factor performance and another that focuses on December 2020.
Read the latest from Two Sigma Research on how construction of the Low Risk factor can impact its performance.
Reflecting back on Venn’s biggest year yet.
A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.
Read the latest from Two Sigma Research on what the global market portfolio can tell us about forward-looking asset class returns.