In May, optimism surrounding the restart of the global economy and partial easing of COVID-19 lockdowns benefited certain factors, such as Equity and Commodities, and hurt others, such as Value and Low Risk.
Over time, investors have developed a sense of which assets might be expected to behave as safe havens, and in this post, we’ll look at five of those assets and evaluate their performance during the COVID market crisis.
Given the recent market movements associated with the Covid-19 pandemic, many of you may now be working on rebalancing your portfolio(s) to get back to your target weights. Once you’ve updated your managers’ latest returns and allocations, inputted your target factor exposures and forward-looking capital market assumptions, Venn Pro can help you plan for capital reallocations. Let’s walk through these workflows together.
Review some of the research that underpinned a recent change to Venn’s data requirements for Factor Analysis.
Two Sigma examines how two key concepts—constraints and diversification—can help investors better understand how financial panics can occur.
For the third edition of the Factor InVe(nn)stigator, we will be interpreting the factor analysis results of an international small-cap manager’s fund, using the Two Sigma Factor Lens.
In this double issue of the Venn Factor Performance Report, we discuss factor returns for the month and the last week of March.