Product

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.

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.

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