Market participants contended with several dynamics over the month, including a global energy crisis that supported the Commodities factor.

Three factors exhibited notably positive performance relative to their long-term monthly averages in August.

A rotation away from cyclical sectors and towards more defensive sectors helped the Low Risk factor outperform in July.

June was a setback for the Value factor, which was challenged by the continued reflation trade unwind and the hawkish Fed meeting.

Only two factors (Value and Crowding) posted >80th percentile performance relative to their long-term histories in May.

All macro style factors experienced notable performance in April compared to their long-term monthly averages.

As seen in the last couple Venn Factor Performance Reports, the equity style factors experienced sizable moves again in March.

Inflation concerns pushed sovereign yields higher, and dispersion among yields meaningfully impacted the performance of the Fixed Income Carry factor.

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.