Rev. Date February 5, 2020

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 market betas and residual volatility funded by higher-risk stocks
  • Momentum: Exposure to stocks that have outperformed recently funded by underperforming stocks
  • Quality: Exposure to stocks with low leverage, stable and high-quality earnings, and high profitability and investment quality, funded by lower-quality stocks
  • Value: Exposure to stocks with low prices relative to accounting fundamentals and past prices, funded by higher-priced stocks
  • Small Cap: Exposure to stocks with smaller market caps funded by larger-cap stocks

For more information on the factors, please see the FAQ document:

Two Sigma Factor Lens FAQ.

This document highlights certain aspects of this analytic. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.

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