In this month’s report, we reflect on how the “higher for longer” interest rate theme may be leading to “lower for longer” diversification for equity/bond investors. Additionally, we discuss the positive performance of Momentum, and a review of Fixed Income Carry.

In September we saw Equity and Interest Rates once again falling together, as well as strong positive performance from Momentum and Foreign Exchange Carry.

Using the context of a global bond manager, we show that exposure to foreign currencies can significantly affect resulting drivers of risk and return, and how return-based factor analysis can be an efficient way to measure that exposure

In August, five out of six of Venn’s equity styles outperformed while China weighed on our Emerging Markets factor.

In this post we reveal the third and final step we think investors should consider when trying to view their private assets through a public lens: extrapolation.

Factor analysis serves as a reminder that even the simplest strategies, such as investing in market-cap weighted global equities, are often more nuanced than meets the eye.

Venn by Two Sigma is excited to introduce Report Lab, a new workspace where investment professionals can create customized reports for their clients and internal constituents. Report Lab was designed to streamline the creation of presentations, proposals, slides and more.

NEW YORK – August 9th – Venn by Two Sigma (“Venn”), the leading portfolio analytics platform for professional investors, today announced the launch of Report Lab, a new analytics and presentation solution to generate client-ready reports and proposals. Developed in partnership with Venn’s existing clients, Report Lab helps investment teams more effectively communicate data-driven portfolio insights uncovered through Venn.

In the month of July, four out of six equity style factors underperformed, while Value reversed its trend of negative performance. Perhaps more interesting was the central bank action to close out the month, especially from the Bank of Japan regarding their yield curve control policy, and the effects it had on risk factors.

The first half of 2023 saw the deepening inversion of yield curves, decelerating global inflation, banks failing, and strong equity markets. Given these themes, we review H1 2023 Two Sigma Factor Lens Performance.