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.
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.