In the first report of 2021, we take a deep dive into Venn’s Crowding factor, which experienced its worst month since its inception in the Two Sigma Factor Lens.
Our final Venn Factor Performance Report of the year will consist of two sections: one in which we’ll reflect on 2020 full year factor performance and another that focuses on December 2020.
A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.
It was another strong month for global stocks, pushed higher in part by optimism around COVID-19 vaccine development and dovish central bank policy in the U.S. Within equities, certain long-short equity style factors, such as Value, Low Risk, and Crowding, struggled.
Despite a rising rate of increase in new COVID-19 cases and increasing U.S.-China tensions, global equity markets continued their ascent. Within global stocks, the multi-year return spread between Momentum and Value grew wider.