Rev. Date July 23, 2020

Equity

Time Period: September 15, 2008 - March 9, 2009

[1]Bolton, Brian J., The U.S. Financial Crisis: A Summary of Causes & Consequences (October 21, 2009). Available at SSRN: https://ssrn.com/abstract=2133576

[2]Sanches, Daniel (Q2 2014). “Shadow Banking and the Crisis of 2007-08,” Philadelphia Fed Business Review.

Interest Rates

Time Period: June 16, 2003 - September 2, 2003

[3]Hirata, Hideaki, Yasunari Inamura, Shinichi Nishioka, Tokiko Shimizu, and Tomoki Tanemura (2004). “Liquidity in JGB Markets,” Bank of Japan Financial Markets Department’s Market Review.

[4]Leonhardt, David (2003). “Federal Reserve Lowers Key Rate To 1%, Lowest Level Since 1958,” The New York Times.

[5]Packer, Frank and Philip D. Wooldridge (2003). “Overview: a sell-off in global bond markets,” BIS Quarterly Review.

Credit

Time Period: September 15, 2008 - March 9, 2009

[6]Bolton, Brian J., The U.S. Financial Crisis: A Summary of Causes & Consequences (October 21, 2009). Available at SSRN: https://ssrn.com/abstract=2133576

[7]Fender, Ingo and Jacob Gyntelberg (2008). “Overview: global financial crisis spurs unprecedented policy actions,” BIS Quarterly Review.

[8]The Option-Adjusted Spread (OAS) of the ICE BofAML US Corporate BBB Index from the Federal Reserve Bank of St. Louis.

Commodities

Time Period: June 19, 2014 - January 20, 2016

[9]Clinch, Matt (November 27, 2014). “Oil falls as OPEC opts not to cut production,” CNBC.

Value

Time Period: May 1, 2007 - July 31, 2008

[10]Campbell, J., C. Polk and T. Vuolteenaho (2010). “Growth or Glamour?: Fundamentals and systematic risk in stock returns”, Review of Financial Studies, 23, 1, 305-344.

[11]Fama French HML factor down 9% over the period May 2007 - July 2008.

[12]Fama, F. Eugene and Kenneth R. French (1995). “Size and Book-to-Market Factors in Earnings and Returns”, The Journal of Finance, 131-155.

Momentum

Time Period: July 1, 2008 - August 31, 2009

[13]Daniel, Kent and Tobias J. Moskowitz (2013). “Momentum Crashes”, Swiss

Finance Institute.

Low Risk

Time Period: May 1, 2009 - October 31, 2018

[14]Driessen, Joost and Kuiper, Ivo and Beilo, Robbert, Does Interest Rate Exposure Explain the Low-Volatility Anomaly? (January 3, 2017). Available at SSRN: https://ssrn.com/abstract=2831157 or http://dx.doi.org/10.2139/ssrn.2831157

[15]Frazzini, Andrea and Lasse Heje Pedersen (2014). “Betting Against Beta”, Journal of Financial Economics, 111(1), 1-25.

Quality

Time Period: May 1, 2009 - October 31, 2018

[16]Asness, Cliff S. and Frazzini, Andrea and Pedersen, Lasse Heje, Quality Minus Junk (June 5, 2017). Available at SSRN: https://ssrn.com/abstract=2312432 or http://dx.doi.org/10.2139/ssrn.2312432

Small Cap

Time Period: April 1, 2006 - November 30, 2008

[17]Crouzet, Nicolas and Neil R. Mehrotra (2017). “Small and Large Firms over the Business Cycle,” Research Division Federal Reserve Bank of Minneapolis.

Equity Short Volatility

Time Period: February 5, 2018 - February 8, 2018

[18]Bloomberg article “The Day The Vix Doubled: Tales of ‘Volmageddon’” on February 6, 2019.

[19]CNN Business article “February was an insane month for the stock market” on February 28, 2018.

[20]Venn Factor Insights.

Fixed Income Carry

Time Period: November 1, 2008 - May 31, 2013

[21]Forbes article “Quantitative Easing in Focus: The U.S. Experience” on November 16, 2015.

Foreign Exchange Carry

Time Period: January 1, 2013 - December 31, 2019

[22]Venn Factor Insights.

[23]AQR article “Does Anyone Remember the Carry Trade?” on February 15, 2019.

Trend Following

Time period: September 14, 2008 - December 5, 2008

Crowding

Time period: February 1, 2020 - March 31, 2020

[24]Bonne, George, Jain, Vipul, and Dimitris Melas (2017). “IS THERE A SHORT INTEREST FACTOR?,” MSCI. Available at MSCI: https://www.msci.com/documents/10199/4585b0fa-8415-4fb2-ad25-b21b11c06910

[25]Nigro, Mike and David Cohen (2020). “Unwinds, Diversification, and Constraints: The Mechanics of Financial Panics,” Two Sigma. Available at Two Sigma:

https://www.twosigma.com/insights/article/unwinds-diversification-and-constraints-the-mechanics-of-financial-panics/

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.

Did this answer your question?