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.

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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.

Vennsights

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

Managing Inflation Risk in the Current Environment

In the final post of our inflation series, we cover the current inflation environment and provide a practical example of how Venn can be used to manage inflation risk in a portfolio.

February 2021 Venn Factor Performance Report

Inflation concerns pushed sovereign yields higher, and dispersion among yields meaningfully impacted the performance of the Fixed Income Carry factor.

Hedge Fund Factor Exposures in 2020

We use the monthly returns to determine the 2020 factor exposures of major hedge fund categories using HFR indexes.

January 2021 Venn Factor Performance Report

In the first report of 2021, we take a deep dive into Venn’s Crowding factor, which experienced its worst month since its inception in the Two Sigma Factor Lens.

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