Rev. Date July 29, 2024
Notable historical periods where drawdowns and rallies occurred:
What is the purpose of this feature?
Notable Historical Periods can help allocators understand the historical underperformance or outperformance of their managers or portfolios during well known historical time periods (as identified by Venn).
Venn subscribers can select from a preset list of well known historical periods to identify if a manager or portfolio would have either underperformed or outperformed given observed returns over that time period (e.g., The Great Financial Crisis, U.S. Taper Tantrum, Oil Price Shock of 2014, EM Melt-Up, Brexit, COVID-19 Crisis, and more).
What returns are used to determine the Notable Historical Periods?
Venn uses the historical returns for your investments or portfolios to determine the available periods for analysis[1]. If a benchmark is selected, its returns are also displayed as a blue line alongside the portfolio’s or investment’s returns.
If the aligned time series is monthly or quarterly, the start date will be moved to the closest bucketed month before or equal to the start date, and the end date to the closest bucketed month after or equal to the end date.
For example, if you select Oil Price Shock of 2014 (June 19, 2014 to Jan 30, 2015):
Monthly date range would be June 2014 - January 2015
Quarterly date range would be June 2014 - March 2015
How do I add a new Notable Historical Period?
In Analysis, Notable Historical Periods are pre-populated with several periods. A user can add a new period to the analysis by clicking “Add another period...,” and selecting from the list of available historical periods in the dropdown.
In Studio and Report Lab, custom periods can be entered by clicking “ADD CUSTOM PERIOD” in the block configuration panel and specifying a date range. The custom period may only be used within the block and will not be saved as an available option in other Notable Historical Periods blocks in your report, other reports, or in Analysis.
[1] Notable Historical Periods are available for returns beginning in October 1997, the first year that data is available for the Two Sigma Factor Lens.
This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.