Rev. Date December 5, 2024
What is the difference between “Full History” and “Factor Lens History”?
In the date selector, Venn offers several date shortcuts such as the trailing year periods and two full period options, “Factor Lens History” and “Full History.”
Full History represents the full span of available data for an investment or portfolio. For a portfolio with multiple investments spanning different time frames, the default analysis period is the longest overlapping period of all investments' available data, including the assigned benchmark. For example, if a portfolio has two investments, one with data from 1/1/1987 to 7/1/2016 and one with data spanning 1/1/2000 to 1/1/2017, Venn will show analyses from 1/1/2000 to 7/1/2016. As such, when you are adding investments or benchmarks to your analyses, it’s always a good practice to check the time frame of available data.
Factor Lens History represents the full span of investment or portfolio returns data that also overlaps with available factor returns data. The longest possible Factor Lens History date range would be from the start of the Two Sigma Factor Lens (August 7, 1998), and is the longest date range over which factor analyses can be conducted.
For the sample investment below, the Full History date range option would represent January 3, 1962 to December 4, 2024 while the Factor Lens History date range would represent August 7, 1998 to December 4, 2024.
What is the default analysis period? Can I change the analysis period?
The default date range shown across Venn is the Factor Lens History.
In cases where you want to analyze metrics for a specific period in time or extend the date range beyond the Factor Lens, the analysis period can be adjusted. In Compare or Analysis, analysis period can be adjusted by clicking on the calendar icon or the analysis period date range on the upper right hand side, then selecting from the date range shortcut options or picking your own date range. In Studio or Report Lab, existing date ranges can be edited by clicking the pencil icon next to the date range in the Inputs panel or by adding a new date range setting.
For a portfolio, returns cannot extend beyond the overlapping track records of the underlying investments.
If you would like to analyze on a wider time frame, you need to do one of the following:
Remove investments with shorter histories
Add proxies to the investments with shorter histories to backfill or substitute returns
Upload the latest returns for the investments missing recent performance (if available)
What does “Availability” mean in Studio and Report Lab blocks?
Some analytic blocks in Studio and Report Lab include a row for “Availability” in the tables. This date range indicates the full returns available for the investments or portfolios and is independent of the analysis period set for that block.
Why are some of my metrics blank (“--”)?
If the analysis period starts before the Two Sigma Factor Lens, then any factor-based metrics will be unavailable. As such, metrics such as residual return, residual volatility, and residual sharpe ratio would show up as “--”. To see factor based metrics, the analysis period must be first switched to Factor Lens History or another date range that starts after August 7, 1998.
Sharpe Ratio and Sortino Ratio may also be blank if the analysis period starts before the first available risk free rate data. Risk free rate data availability depends on the workspace currency.
This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.