Venn by Two Sigma August 2023 Factor Performance Report: Equity Styles Outperform and China Weighs on Emerging Markets

As 2022 comes to a close, we hope that this note finds you well and you are beginning to wind down from another busy year. While there were many milestones, here are five things that excited us the most in 2022.

Chris Culbertson discusses how Brockenbrough leverages Venn to address key workflow improvements. Venn’s ability to easily ingest data and the intuitive nature of the platform allows Brockenbrough to spend more time evaluating and interpreting analyses, rather than generating them.

Allocators, this is your guide to understanding the state of capital allocation in crypto. In this newsletter, we dive into the latest developments impacting advisors, asset owners and managers to help institutional investors allocate capital to digital assets with confidence.

Venn’s Two Sigma’s Factor Lens is both holistic and orthogonal. As a result, various factors account for currency movements in different ways, including capturing the latest downward movements in the USD.

In October, five out of six equity styles were positive alongside a welcome relief rally of Venn’s Equity Factor. Despite sharing in positive returns for October, looking at YTD performance reveals just how different equity styles are from the Equity Factor generally.

Welcome to the third installment of the Monthly Digital Assets Digest powered by Venn by Two Sigma – your guide to the state of capital allocation in crypto.In this newsletter, we dive into the latest developments impacting advisors, asset owners and managers to help institutional investors allocate capital to digital assets with confidence.

It may be premature to expect capital allocators to have as deep an understanding of crypto managers as they do equities or fixed income. We believe familiar returns-based analysis can provide valuable insights when evaluating crypto managers.

We believe portfolio analytics in Venn should drive actionable asset allocation insights. In this piece, we take a deep dive into what actionability means to us and why it is one of Venn’s core pillars.

Markets once again tumbled in September amid equities and bonds continuing to fall together. In this report we discuss several factors, including Fixed Income Carry and “Chameleon” Factors.

Going back to 2010, bitcoin’s rolling 1-year correlation with broad equities has often been negative. This led many capital allocators to think of long bitcoin exposure as an alternative. However, recently the relationship has changed and Venn’s Equity Factor might explain why.