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

In this July report we navigate risk factor performance amid a landscape of looming recession and rallying markets. We also investigate performance before and after the July Fed meeting, which prompted strong reactions from core macro factors such as Equity and Interest Rates.

As we aim to demystify digital assets for allocators, we are excited to launch a new content series, “Venn on Digital Assets.” First up, we provide a glimpse into capital allocation in crypto and offer a framework to better understand crypto risk management:

Many investors believe, in theory, that asset classes are diversified. In practice, they have overlapping risks and are often less diversified than one might think. At Venn by Two Sigma, we believe that independent risk factors spanning across asset classes are more precise tools for investment analysis, helping to better understand portfolio diversification and the impact of decision making.

This was officially the worst first half of the year for developed market equities in half a century. Some factors that have been resilient continued their outperformance in June (Trend Following), while others struggled. In this report we evaluate both June and YTD, reviewing what’s worked for factor performance and what’s changed.

Following the 8.6% inflation surprise on June 10, the Fed hiked rates by 75 bps, the largest hike since 1994. During the following week, Two Sigma’s Venn global Equity factor finished the week down a significant -5.38% while four other factors acted as safe havens.

NEW YORK, June 16, 2022 – Two Sigma today announced that it has appointed Marco Della Torre as CEO of Venn, its portfolio analytics platform.

For the 6th month in a row the YoY CPI printed 7% or higher, and for a 3rd consecutive month over 8%. These are levels of inflation not seen since the 1980s, which left the Fed in full focus as they attempt to counteract it.

In this update, we will revisit our original intentions for creating the Two Sigma Factor Lens, and also explore the expansions we have made in the years since.

As seen in Q1, a litany of macroeconomic and geopolitical issues has continued to sow volatility in asset prices.

In this episode, Anna and Lisa discuss how Venn’s quantitative investing solutions can help investors understand risk and navigate the markets.