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.

This Venn Factor Performance Report will consist of two sections: one in which we’ll focus on March 2022 factor performance and another that provides Q1 2022 factor performance.

We cover the ongoing Russian invasion of Ukraine and the impact it has continued to have on markets and factors over the first two weeks of March. We observed historic movements across macro and style factors along with notable rotations between the first and second weeks of the month.

In this edition of the Venn Factor Performance Report, we highlight the impact that the Russia-Ukraine crisis has had on markets and the factors within the Two Sigma Factor Lens.

Global stock markets nosedived to start the year, while Value was by far the best performing factor in the lens in January.

Our final report of the year consists of two sections: one in which we focus on December factor performance and another that provides 2021 full year factor performance.

The Omicron risk-off move on November 26th affected several factors.

Carry in fixed income markets experienced one of its worst performances since its inception in the factor lens.