Factor analysis can help investors confirm that a fund’s underlying risk exposures align with its stated style or approach. We did this exercise on a large scale, analyzing funds within four Morningstar mutual fund categories. We found that a number of them appeared to have unexpected factor exposures on Venn relative to their category.

After receiving your last few managers’ returns for 2019, many of you may now be finalizing year-end board materials, preparing for annual manager reviews and revisiting your portfolio’s allocation. By updating your latest returns, portfolio lineup, and capital market assumptions, Venn can assist with many of these exercises and help you plan for the year ahead. Let’s walk through them together.

The Venn Factor Performance Report reviews how the coronavirus outbreak impacted the factors in the Two Sigma Factor Lens in the first month of 2020.

Momentum and Trend Following are similar in that they both intend to capture momentum, or the tendency for an asset to persist in its relative (or absolute) performance. In what ways do these factors differ, and why does it matter?

For this edition of the Venn Factor Performance Report, we review the 2019 returns of the factors in the Two Sigma Factor Lens in addition to their performance over the month of December. Read also about the phase-one trade deal’s impact on factor performance, the largest factor gains and losses of 2019, and more.

Mike Nigro, the Head of Client Solutions Research at Two Sigma, takes us through a bacon cook-off adventure to illustrate the importance of evaluating investment performance in excess of well-known factors. Make sure you have some bacon around because you’ll be craving it when you finish reading the article.

2019 was a very busy and productive year for the Venn team. We gathered learnings from our daily interactions users, and we also continued to leverage Two Sigma’s expertise in technology and research to help make Venn more powerful and useful. We know we still have a long path ahead of us with a very exciting roadmap in 2020, but we wanted to take a quick pause to reflect on our progress in 2019.

In investing, and in life, you do not always get compensated for taking risk. Therefore, it is important to not only understand the risks in your portfolio, but also to determine which of those risks you are getting paid to take and which you are taking without any compensation.

In November, the Equity and Credit factors rallied, while the Commodities, Interest Rates and Foreign Currency factors did not fare that well.

Avi Salzman of Barron’s wrote an article about Venn’s launch this week. He also highlighted the efficiencies Venn’s factor-based platform offers. “Two Sigma’s program can quickly pull in data about a client’s investment positions, and run analyses based on factors such as momentum and credit..."