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.
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.
As liquid alternatives continue to proliferate, mainstream investors may be wondering what kind of exposures they’re getting by investing in these types of strategies? In this edition of the Factor InVe(nn)stigator, we interpret the factor analysis results of the Vanguard Market Neutral Fund.
Read the latest from the Two Sigma Client Solutions Research team on how the COVID-19 market crisis compares to history using a variety of indicators, including economic conditions, consumer and business confidence measures, and overall market dynamics.