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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. Get Venn Free

Start with our free version and upgrade to Venn Pro.

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.

The Latest from Two Sigma Research: Reverse Optimization

Read the latest from Two Sigma Research on what the global market portfolio can tell us about forward-looking asset class returns.

September 2020 Venn Factor Performance Report

The best performing factor in September was Equity Short Volatility, supported by a slight monthly decline in the VIX paired with a large down move for global Equity markets.

Inflation Series Factor InVe(nn)stigator: Three “Inflation-Hedges”

In the second of three posts in our Inflation series, we use Venn’s returns-based regression analysis to understand the risk exposures of three assets that are commonly used by investors as inflation hedges.

August 2020 Venn Factor Performance Report

It was another strong month for global stocks, pushed higher in part by optimism around COVID-19 vaccine development and dovish central bank policy in the U.S. Within equities, certain long-short equity style factors, such as Value, Low Risk, and Crowding, struggled.

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* Portfolio analytics and uncapped investment analytics are only available on Venn Pro, which charges fees. Venn’s free tier, which is more limited in its functionality than Venn Pro and restricts the number of investments a subscriber can analyze per month, does not currently charge any fees. However, it is possible in the future fees will be charged for this tier or for certain functionality in this tier.

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MSCI Inc’s data and analytics were used in preparation of this information. Copyright 2020 MSCI, Inc. All rights reserved.

Certain data provided by MSCI. Copyright MSCI 2020. All Rights Reserved. Unpublished. PROPRIETARY TO MSCI.                                                                                                                            

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