Rev. Date July 23, 2020


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:

[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.


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:

[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.


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

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


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.


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: or

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


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: or

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


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:

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

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.

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