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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.
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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.

May 2021 Venn Factor Performance Report

Only two factors (Value and Crowding) posted >80th percentile performance relative to their long-term histories in May.

April 2021 Venn Factor Performance Report

All macro style factors experienced notable performance in April compared to their long-term monthly averages.

Using Venn: Apply Larger Scenario Shocks with New Regime-Based Model

Learn more about Venn’s approach to applying a regime-based model to Scenario Analysis.

Using Venn: Savable and Scheduled Comparison Reports

We’re excited to announce the launch of two notable updates to Compare that can make recurring reporting workflows a lot smoother.

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© 2021 Two Sigma Investments, LP. All rights reserved

* 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.

VENN AND VENN PRO (“VENN”) ARE FOR INSTITUTIONAL/WHOLESALE/PROFESSIONAL CLIENTS AND OTHER QUALIFIED CLIENTS IN CERTAIN JURISDICTIONS ONLY – NOT FOR RETAIL USE OR DISTRIBUTION.

Two Sigma Investor Solutions, LP (“TSIS”) operates Venn. Venn is separate and the services it offers are different from the businesses and services of TSIS’s affiliates. No material on or linked to by this website is or should be construed as an offer to sell, or a solicitation of an offer to buy, any security or other instrument. Past performance is not necessarily indicative of future results. TSIS makes no representations or warranties that any graph, chart, formula or other device offered on Venn can in and of itself be used to determine which securities to buy or sell, or when to buy or sell them. Venn is not for use as a primary basis for investment decisions. TSIS does not hold itself out as a fiduciary (or as otherwise owing any other special duties) to any pension or retirement plan under pension, retirement or similar laws or regulations. Please see TSIS’s Form ADV for important disclosures, including disclosures about material conflicts of interest and limitations of Venn. Links from this website to third-party websites do not imply any endorsement by the third party of this website or of the link; nor do they imply any endorsement by this firm of the third-party website or of the link.

© 2021 Two Sigma Investments, LP. All rights reserved. Two Sigma, the Two Sigma logo, Venn, and the Venn logo are trademarks of Two Sigma Investments, LP.

MSCI Inc’s data and analytics were used in preparation of this information. Copyright 2021 MSCI, Inc. All rights reserved.

Certain data provided by MSCI. Copyright MSCI 2021. All Rights Reserved. Unpublished. PROPRIETARY TO MSCI.                                                                                                                            

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Certain data derived from data by Global Financial Data, Incorporated.

Portions of the information contained in this display were supplied by Lipper, A Refinitiv Company, subject to the following: Copyright 2021 © Refinitiv. All rights reserved. Lipper shall not be liable for any errors or delays in the content, or for any actions taken in reliance thereon.

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