Exhibit 1: Two Sigma Factor Lens Performance in March
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Source: Venn by Two Sigma. The median and percentile columns measure the performance of each factor in the Two Sigma Factor Lens relative to the entire history of the factor in USD, using monthly data for the period Oct 1997 - March 2024
Value: Every global sector was positive in March (Exhibit 2), an impressive feat that shows the broadness of the equity market rally over the month. A few sectors stood out: Energy, Materials, Utilities, and Financials, all of which were net long in our Value factor for the month. In fact, Value has been net long in all four of these sectors since February of 2018, with its position in Energy increasing meaningfully over the last few years.
Exhibit 2: Global Sector Performance in March
Source: Venn by Two Sigma
Crowding: This factor is intended to capture short exposure to US stocks that are widely shorted by the investment community. At first glance, it may be odd to see positive returns in this factor with such a broad-based market rally, but Crowding has a long position as well. Notably, the long portfolio was up 4.50% and outperformed our Equity factor in March. The short portfolio (which is short high short interest stocks) underperformed meaningfully amidst the broad equity rally.
Exhibit 3: Performance of Long and Short Crowding Portfolios in March
Quality: “Junk” stocks rallied in March, leading to negative returns for our Quality factor. More specifically, this factor looks at both profitability and leverage when assessing which stocks are considered to be of high quality. When viewed as its own portfolio, the leverage component struggled in March, implying that stocks with high amounts of leverage outperformed those with low amounts.
Exhibit 3: Performance of Quality Inputs in March
Source: Venn by Two Sigma
References
2 https://finance.yahoo.com/news/market-sees-less-50-chance-022745735.html
References to the Two Sigma Factor Lens and other Venn methodologies are qualified in their entirety by the applicable documentation on Venn.
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