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.

The Equity factor had its best month on record. Within equities, there was a rotation out of Momentum and into Value in November.

A special Venn Factor Performance Report covers last week’s rotation out of Momentum stocks into Value stocks and other notable factor moves.

Despite a strong first half of the month, global Equity markets sold off in the back half due to a resurgence of COVID-19 cases globally.

The best performing factor in September was Equity Short Volatility, supported by a slight monthly decline in the VIX paired with a large down move for global Equity markets.

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.

The global equity market continued its rally in June despite the rising COVID cases in the U.S. and increased U.S.-China tensions. Additionally, a reversal around June 8th affected all five equity style factors.

In May, optimism surrounding the restart of the global economy and partial easing of COVID-19 lockdowns benefited certain factors, such as Equity and Commodities, and hurt others, such as Value and Low Risk.