Two Sigma Factor Lens™️

Venn takes the complexity out of factor analysis. The Two Sigma Factor Lens™️ decomposes risk into factors that can give you a clear understanding of how to better manage your portfolio and identify diversification opportunities.

Core Macro

Equity

Exposure to the long-term economic growth and profitability of companies.

Interest Rates

Exposure to the time value of money (interest rates and inflation risk).

Credit

Exposure to corporate default and failure-to-pay risks specific to developed market corporate bonds.

Commodities

Exposure to changes in prices for hard assets.

Secondary Macro

Emerging Markets

Exposure to the sovereign and economic risks of emerging markets relative to developed markets.

Foreign Currency

Exposure to moves in foreign currency values versus the portfolio’s local currency.

Local Inflation

Exposure to inflation-linked rates relative to fixed nominal rates within the local currency area.
*Only available in USD or GBP

Local Equity

Exposure to home bias (the tendency to invest in domestic over foreign equity).

Macro Styles

Equity Short Volatility

Negative exposure to the moves in equity market volatility.

Fixed Income Carry

Exposure to high-yielding 10-year bond futures funded by low-yielding 10-year bond futures.

Foreign Exchange Carry

Exposure to high-yielding G10 currencies funded by low-yielding G10 currencies.

Trend Following

Long-short exposure to multi-asset-class futures based on 6- to 12-month trailing returns.

Equity Styles

Low Risk

Exposure to stocks with low betas to the global equity market and low residual return volatility.

Momentum

Exposure to stocks that have outperformed over the past year.

Quality

Exposure to stocks with high earnings quality, investment quality, profitability, low earnings variability and leverage.

Value

Exposure to stocks that have under-performed over the past four years and that have high book to price ratios, earnings yields, and dividend yields.

Small Cap

Exposure to stocks with smaller market caps funded by larger-cap stocks.

Crowding

Short exposure to stocks with a wide investment community holding of short positions.

Take a Deeper Dive Into Factors

The Two Sigma Factor Lens™️, by Venn, uses a multifactor approach consisting of 18 factors. By viewing portfolio risk through the lens of unique and independent risk factors, capital allocators can better understand what is driving risk and return. Learn more about factors and how they can lead to more precise decision making.

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Vennsights

Market insights, product updates, and helpful guides for quantitative investors.

Venn Case Study: Thalēs’ Need For a Consolidated Platform to Make Informed Manager Selection Decisions

Before using Venn, Thalēs relied on scattered, high-maintenance, and non-collaborative tools to perform quantitative manager due diligence. Thalēs uses Venn to identify, evaluate, and monitor managers rigorously, help develop compelling narratives for managers rooted in quantitative insights, and to interface with sophisticated investors increasingly relying on factor frameworks.

Customizing Forecasts in Venn

Venn forecasts can be customized with clients’ capital market assumptions as well as flexible lookback periods.

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Private asset returns are typically smoothed and infrequent, reducing explainability and artificially lowering volatility. In this article, we discuss two steps to make your private assets returns look and feel more like their public market proxies.

Venn by Two Sigma Introduces Robust Private Asset Analytics

New York – January 18, 2023 – Venn by Two Sigma announced the launch of a robust new feature designed to support private asset analysis. Available to users through its cloud-based platform, Venn now offers an advanced solution for holistically analyzing private and public investments concurrently in multi-asset portfolios.

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