Markets reversed sharply to end August as Powell’s Jackson Hole speech included forecasts of “pain.” Similar to July, we find it relevant to look at factor performance before and after Powell’s comments. We believe risk factors continue to provide important color alongside global central bank policy.

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.

NEW YORK – August 17, 2022 – Venn, Two Sigma’s portfolio analytics platform, today announced a collaboration with Coinbase Institutional to help educate institutional investors on the digital asset space.

At Venn by Two Sigma, we cut through the noise by analyzing portfolios with 18 factors that we believe are the most important and unique across the investment universe. The parsimonious nature of our factor lens, or the idea of identifying the most explanatory power with the fewest factors, is one of Venn’s four core pillars

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.