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.
How Can Factors Help Understand the Risks Associated With Systemically Important and U.S. Regional Banks?
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
It may be premature to expect capital allocators to have as deep an understanding of crypto managers as they do equities or fixed income. We believe familiar returns-based analysis can provide valuable insights when evaluating crypto managers.
We believe portfolio analytics in Venn should drive actionable asset allocation insights. In this piece, we take a deep dive into what actionability means to us and why it is one of Venn’s core pillars.
Going back to 2010, bitcoin’s rolling 1-year correlation with broad equities has often been negative. This led many capital allocators to think of long bitcoin exposure as an alternative. However, recently the relationship has changed and Venn’s Equity Factor might explain why.
There are many reasons why crypto can feel out of reach. One is access to high-quality crypto data. Given these challenges, a key question is: How are capital allocators expected to analyze crypto in the context of a larger portfolio?”