Topic: venn factor performance reports

As markets continued to digest bank failures, April saw outperformance of our Low Risk Factor and the underperformance of our Small Cap Factor.

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.

Fixed Income Carry was the best performing risk factor in February as term spreads and central bank policy resulted in favorable positioning

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.

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.