Using the context of a global bond manager, we show that exposure to foreign currencies can significantly affect resulting drivers of risk and return, and how return-based factor analysis can be an efficient way to measure that exposure
In this post we reveal the third and final step we think investors should consider when trying to view their private assets through a public lens: extrapolation.
Factor analysis serves as a reminder that even the simplest strategies, such as investing in market-cap weighted global equities, are often more nuanced than meets the eye.
To better understand the exposure associated with equity sectors, we conducted returns-based factor analysis on each global Morningstar sector to see which active bets they were making relative to the broad market.
Crypto exposure can offer diversification benefits that can be quantified to better analyze different allocation sizes. We distinguish this research from empirical studies that often seek to demonstrate the risk-adjusted return benefits of cryptocurrencies rather than discussing their utility in their early stages of development.
In this blog, we use factor analysis to identify which market risks have driven systemically important banks, and what makes U.S. regional banks different.
In this piece we showcase how Venn’s new holdings data can enhance our existing returns-based approach to investment analysis and reporting.
Venn forecasts can be customized with clients’ capital market assumptions as well as flexible lookback periods.
Private asset returns are typically smoothed and infrequent, reducing explainability and artificially lowering volatility. In this article, we discuss two steps to make your private assets returns look and feel more like their public market proxies.
In this piece, we get more specific on how we use a process called residualization to seek factor independence, an example of how it’s done, and our thoughts on applying it more broadly within the Two Sigma Factor Lens