The Two Sigma Factor Lens consists of Core Macro, Secondary Macro, Macro Styles, and Equity Styles. Core and Secondary Macro factors tend to be explanatory across asset classes. Style factors tend to be explanatory within asset classes, and importantly, are associated with risk premia and positive returns over full business cycles.1
Venn’s Equity Style factors aim to identify and explain the exposure, risk, and return of investors seeking higher returns, primarily within their equity sleeve. They are designed to be global,2 long/short, and maintain beta neutrality. In this case, “beta-neutral” means that the long and short portfolios within each Equity Style factor aim to maintain equal betas to global equities.
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1Other factors outside of Style factors can be associated with risk premia. For example, there is strong economic rationale for the Equity factor to generate a positive return over the risk-free rate over time.
2Crowding is the exception because it only considers U.S. securities.
Exposure to risk factors is not a guarantee of increased performance or decreased risk. Past performance does not guarantee future results. This document is for informational purposes only. Not an offer to buy or sell securities. Click here for Important Disclosure and Disclaimer Information.