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

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Core Macro

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).
Exposure to corporate default and failure-to-pay risks specific to developed market corporate bonds.
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.
Exposure to stocks that have outperformed over the past year.
Exposure to stocks with high earnings quality, investment quality, profitability, low earnings variability and leverage.
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.
Short exposure to stocks with a wide investment community holding of short positions.

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

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.

How the COVID Beta Shift Impacted Venn’s Low Risk Factor

We analyze how dramatic shifts in the risk characteristics of stocks during the coronavirus pandemic impacted the sector composition of Venn’s Low Risk equity style factor.

Inflation Series: Local Inflation Factor Primer

In the first of three posts in our Inflation series, we cover how Venn’s Local Inflation factor is constructed, what it means to have exposure to the factor as we’ve built it, and a summary of the factor’s historical performance.

July 2020 Venn Factor Performance Report

Despite a rising rate of increase in new COVID-19 cases and increasing U.S.-China tensions, global equity markets continued their ascent. Within global stocks, the multi-year return spread between Momentum and Value grew wider.