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Two Sigma Data Reveals Historic Movements Across Macro And Style Factors (Russia-Ukraine War)

By Anna Peel. Originally published at ValueWalk.

major consumer goods companies exiting Russia

A special edition Venn by Two Sigma’s Factor Performance Report, which looks at how Russia’s invasion of Ukraine impacted markets and factors during the first two weeks of March.

Venn observed historic movements across macro and style factors along with notable rotations between the first and second weeks of the month. During the first week of March (2/28-3/4),  15 of the 18 factors in the Two Sigma Factor Lens experienced top or bottom quintile movements. However, in the second week (3/7-11), many factors reversed course, as you can see in the chart below.


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Russia Ukraine

The first column represents the performance of each factor in the Two Sigma Factor Lens in USD, for the period February 28, 2022 – March 4, 2022. The second column represents the performance of each factor in the Two Sigma Factor Lens in USD, for the period March 7, 2022 – March 11, 2022. Source: Venn.

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