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.
In August, five out of six of Venn’s equity styles outperformed while China weighed on our Emerging Markets factor.
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.
Against a backdrop that included the debt ceiling, rising rates, and AI, May was an interesting month for risk factor performance in the Two Sigma Factor Lens.
As markets continued to digest bank failures, April saw outperformance of our Low Risk Factor and the underperformance of our Small Cap Factor.
With market headlines including the term “Bank Failure” for the first time since the global financial crisis, we believe it’s timely to consider the behavior of systematic risk factors in our Two Sigma Factor Lens.
Fixed Income Carry was the best performing risk factor in February as term spreads and central bank policy resulted in favorable positioning
Markets bounced back to start 2023 with Equities and Interest Rates (long bonds) rallying together. In this report, we comment on various equity style’s performance in January, and view strong emerging market’s performance through an independent lens.