• Factor Analysis

The Largest Risk Drivers of Portfolios

In investing, the main drivers of risk in institutional portfolios are typically the macro factor risk exposures. While selecting individual securities may add value on the margin, asset allocation generally steers a portfolio over the long-term.

  • Research

Forecasting Factor Returns

In a new paper, Forecasting Factor Returns, Two Sigma proposes a methodology for estimating the return premia for the macro risk factors in the Two Sigma Factor Lens, the factor engine driving Venn.

  • Features

Check Out the New Venn!

We are delighted to announce the release of the latest version of the Venn platform! Our latest release makes it easier than ever to conduct various analyses on investments and portfolios. We have also improved Venn’s navigation and added a richer factor education section.

  • Instructional

Using Venn to Accelerate Manager Evaluation

This guide shows how Venn can help investors accelerate the overall manager evaluation process by providing analytics that assess whether a manager seems to be in line with its stated objective and style and how a manager can potentially fit in their portfolio.

  • Instructional

Four Ways Venn Can Replace Common Excel Workflows

This guide shows how one can use Venn to conduct four workflows commonly performed in Excel: (1) factor analysis, (2) investment evaluation, (3) portfolio stress testing, and (4) portfolio optimization.

  • Factor Analysis

Using Venn to Analyze Risk Premia Strategies

Venn uses the Two Sigma Factor Lens to analyze how the SG Multi Alternative Risk Premia Index’s factor exposures and residual may have contributed to its poor performance in 2018. 

  • Features

Venncast Report

Allocators often receive fund performance on a delayed basis, notably for non-public funds. Understanding timely portfolio performance can therefore be challenging.

  • Factor Analysis

Factor Selection Case Study

We demonstrate how a two-step approach to factor analysis can enhance the interpretability and accuracy of factor analysis.