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’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.

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.

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.

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.

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.

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.

For the 6th month in a row the YoY CPI printed 7% or higher, and for a 3rd consecutive month over 8%. These are levels of inflation not seen since the 1980s, which left the Fed in full focus as they attempt to counteract it.

As seen in Q1, a litany of macroeconomic and geopolitical issues has continued to sow volatility in asset prices.