Rev. Date December 6, 2023
The default Tearsheet template in Analysis combines several analyses and is intended to offer quick insights and key metrics when evaluating an investment or portfolio.
What does the Tearsheet show?
The Tearsheet includes multiple sections:
Performance Summary: Shows high-level statistics.
Performance & Risk: Shows table of historical risk statistics, return and risk based charts, as well as the correlation matrix. For portfolios, the correlation matrix shows the pairwise correlation of all investments in the portfolio. For investments, pairwise correlations of the investment and the investments in the Master Portfolio are shown.
Factor Analysis: Shows the average factor exposures and contributions to risk and return over the full analysis period, and a trend view of the factor exposures and contributions to risk and return on a rolling basis.
Residual Analysis: Shows the performance summary and cumulative return chart of the investment’s or portfolio’s residual.
Stress Testing: Shows the Notable Historical Periods, Historical Drawdown and Rally Scanner, and Scenario Analysis.
In addition, the Tearsheet is designed to allow for active risk (versus a benchmark) analysis in addition to total return analysis by using the “Relative to Benchmark” toggle at the top:
What other analytics are available? Can I make changes to the Tearsheet?
There are more analytics available in Analysis that are not included in the Tearsheet template including Calendar Returns, Hypothetical Drawdown analysis, etc. Other provided templates can be accessed by clicking on the dropdown menu at the top and selecting the template of interest under “Analysis Templates.”
Custom templates can be created by clicking on the dropdown menu and selecting “CREATE A NEW TEMPLATE” option at the bottom. Select any analytics you want from the “Select Your Analyses” dropdown menu to add them to your template. To reorder any blocks, you can drag and drop the blocks under “Your selected analyses” Once you save the template, it will appear in the top dropdown menu in Analysis and will be accessible to anyone in your team.
Factor analysis
The first three bar charts in the Factor Analysis section show the summary factor analysis over the full Analysis Period, which is adjustable at the top of the screen. The subsequent three charts show a trend view built from rolling regressions. For more information on understanding the factor analysis output, please refer to the FAQ here.
The factors shown on the page may not represent the full set of factors in the Two Sigma Factor Lens. For more details on the selection methodology or the risk factors themselves, please see the following help articles:
The factor trend charts will show hashed boxes where particular factors were excluded by the Lasso regression (see above "Factor Selection Methodology") for the factor analysis (see below for examples across multiple factors):
Residual return: The Residual Return metric is a measure of the risk or return attributed to each investment that was not explained by the Two Sigma Factor Lens. Residual return potentially exhibits the effectiveness of the investment or portfolio in generating returns that are not driven by overall systematic risk.
A positive contribution to return from residual indicates that the investment or portfolio potentially delivered value beyond what can be replicated by factors
A negative contribution to return from residual indicates that the investment’s or portfolio’s unique activities potentially detracted from the overall return
t-stat value: For t-stats, a value greater or less than +/-1.96 is considered statistically significant. Within the selected factors from the Lasso regression, the analysis will highlight those that are both statistically significant and explain more than 1% of risk.
Metrics reported or calculated by Venn, including performance-related metrics, are estimates or approximations only. Venn does not verify data upon which these metrics rely. In particular, Venn does not verify if data is provided in compliance with any securities laws, rules, regulations or industry standards or practices, including those related to marketing or advertising of investment funds. As an example, Venn does not verify if uploaded returns are net or gross of fees. Any metrics or reports are therefore inherently limited in their value, accuracy, and reliability, which may materially inhibit the effectiveness of any metric, output, or report.
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.