Rev. Date December 16, 2020

This functionality is available for Venn Pro users only.

Historical periods where drawdowns and rallies occurred, either based on notable events or periods where performance in excess of a minimum threshold was experienced.

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) or by specifying a minimum threshold to see periods of excess negative or positive performance.

  • Selected Periods: 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).

  • Venn Identified Periods: Venn subscribers can specify a percentage threshold and Venn will scan for historical periods (if any) where the managers or portfolios would have experienced negative (drawdowns) or positive performance (rallies) in excess of the set threshold.

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 are rally periods determined?

Rallies are defined as periods of positive performance beyond the stated threshold that are terminated when the investment or portfolio draws down 5% or more from the peak in that rally period. The performance shown for the rally is from start to peak.

For illustrative purposes, say an investment has the following monthly prices: month 1 = 1.0, month 2 = 1.10, month 3 = 1.08, month 4 = 1.09, month 5 = 1.07, month 6 = 1.04. In this case, the rally would be from month 1 to month 2, and it was terminated when it hit 1.04 (or 5% below the peak in month 2 at 1.10).

How do I add a new Notable Historical Period?

Notable Historical Periods are pre-populated with several periods. However, a user can add a new period by clicking “Add another period...,” searching among those available, and selecting one.

[1] Notable Historical Periods are available for returns beginning in March 1995, the inception of 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.

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