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.
Venn Factor Performance Reports
Venn by Two Sigma September 2023 Factor Performance Report: Interests Rates and the Peak that Keeps on Peaking
In September we saw Equity and Interest Rates once again falling together, as well as strong positive performance from Momentum and Foreign Exchange Carry.
Venn Factor Performance Reports
Venn by Two Sigma August 2023 Factor Performance Report: Equity Styles Outperform and China Weighs on Emerging Markets
In August, five out of six of Venn’s equity styles outperformed while China weighed on our Emerging Markets factor.
Venn Factor Performance Reports
Venn by Two Sigma July 2023 Factor Performance Report: Value and the Curious Case of the Bank of Japan
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.
Venn Factor Performance Reports
Venn by Two Sigma June and H1 2023 Factor Performance Report: Inverted Yield Curves, Bank Failures and Roaring Equity Markets
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.
Venn Factor Performance Reports
Venn by Two Sigma May 2023 Factor Performance Report: How Did The Debt Ceiling, Rising Rates and AI Affect Risk Factors?
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.
Venn Factor Performance Reports
Venn by Two Sigma April 2023 Factor Performance Report: Low Risk Outperforms and Small Cap Underperforms
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.