As markets continued to digest bank failures, April saw outperformance of our Low Risk Factor and the underperformance of our Small Cap Factor.
Venn Factor Performance Reports
Venn by Two Sigma March 2023 Factor Performance Report: How Did Bank Failures Affect Systematic Risk Factors?
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.
Venn Factor Performance Reports
Venn by Two Sigma February 2023 Factor Performance Report: A Special Edition on Fixed Income Carry
Fixed Income Carry was the best performing risk factor in February as term spreads and central bank policy resulted in favorable positioning
Venn Factor Performance Reports
Venn by Two Sigma January 2023 Factor Performance Report: Equity Styles and an Independent Look at Rallying Emerging Markets
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.
Venn Factor Performance Reports
Venn by Two Sigma December and 2022 Factor Performance Report: The Best and Worst Performing Risk Factors of 2022
For our final report of the year, we will highlight both December and 2022 performance for the Two Sigma Factor Lens, including commentary on major market themes and the best and worst performing risk factors.
Venn Factor Performance Reports
Venn by Two Sigma November 2022 Factor Performance Report: Which Factors Were Influenced by the Falling Dollar?
Venn’s Two Sigma’s Factor Lens is both holistic and orthogonal. As a result, various factors account for currency movements in different ways, including capturing the latest downward movements in the USD.
Venn Factor Performance Reports
Venn by Two Sigma October 2022 Factor Performance Report: Markets Bounce Back with Style
In October, five out of six equity styles were positive alongside a welcome relief rally of Venn’s Equity Factor. Despite sharing in positive returns for October, looking at YTD performance reveals just how different equity styles are from the Equity Factor generally.
Venn Factor Performance Reports
Venn by Two Sigma September 2022 Factor Performance Report: Adapting to Current Markets
Markets once again tumbled in September amid equities and bonds continuing to fall together. In this report we discuss several factors, including Fixed Income Carry and “Chameleon” Factors.
Venn Factor Performance Reports
August 2022 Venn by Two Sigma Factor Performance Report: Powell’s prediction? Pain.
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.
Venn Factor Performance Reports
July 2022 Venn by Two Sigma Factor Performance Report: Big moves from big factors
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.