Rev. Date January 7, 2020
The Venn Tearsheet combines several analyses on Venn and is intended to offer quick insights and key metrics when evaluating an investment or portfolio.
How to interpret the Tearsheet?
The Tearsheet includes multiple sections:
- Performance Summary: Shows high-level statistics.
- Performance Analysis: Shows return and risk based charts, as well as historical Drawdown periods based on an adjustable threshold.
- Factor Analysis: Shows the factor exposures and contributions to risk and return over the full history and on a rolling basis.
- vs. Existing Investments (for investments only): Shows the correlation between the returns of this investment and those in your master portfolio.
In addition, the Tearsheet is designed to allow for active risk (versus a benchmark) analysis in addition to total return analysis:
The summary factor analysis is based on the full period (change the "Analysis period" on top to adjust this). Subsequently, a trend view represents rolling regressions.
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
The t-stat value: This t-stat is a statistical measure of the confidence in the metric. We believe that T-stats that are below -1.96 or above +1.96 represent with 95% confidence strong evidence of exposure to the factor.
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.