Rev. Date December 6, 2019

The Two Sigma Factor Lens tab, accessible at the bottom of the left navigation of Venn, has four sections: Factor Basics, Factor Deep Dive, Factor Insights, and Recent Factor Activity.

1. What does Factor Basics show?

The Factor Basics page offers foundational, general information on risk factors, including what we believe they are and how they can be used. It also provides introductory information on the factor lens Venn uses: the Two Sigma Factor Lens.

2. What is the purpose of Factor Basics?

Factor Basics’s primary purpose is to educate investors on the concept of risk factors and provide an introduction to the factors in the Two Sigma Factor Lens. For more detailed information on the Two Sigma Factor Lens, visit the FAQ.

3. What does Factor Deep Dive show?

The Factor Deep Dive page offers a detailed breakdown of the individual factors in the Two Sigma Factor Lens. It shares the underlying inputs, any residualization steps used in the construction process, and an example of notable performance along with helpful commentary for each factor.

4. What does Factor Insights show?

Factor Insights provides more detail and historical performance information on the factors in the Two Sigma Factor Lens.

5. What does “Show Factor Inputs” do?

This shows the key inputs used to generate the selected factor’s return stream, plus any factor(s) used in the residualization.

6. What are the shaded areas in the cumulative return chart?

The shaded areas represent notable performance time periods for the factor and can be helpful in understanding the factor’s historical performance. Click on the area for helpful commentary.

7. What is the purpose of Factor Insights?

Our primary goal is to highlight certain aspects of factor construction. We hope this page gives investors a sense of what each factor represents, how it has behaved historically and how it may differ from common market indices.

Our secondary goal is to share ongoing factor performance as the market moves. If a portfolio is highly exposed to credit, for example, it can be helpful for investors to see how the Credit factor has performed and potentially better assess whether it could contribute to or detract from their portfolio’s performance. 

8. What does recent Factor Activity Show?

The Recent Factor Activity dashboard shows performance of factors over time and alerts for their movements. Factors will be highlighted depending on whether their recent movement has been negative or positive. Factors will generally remain highlighted for 1 day following any alert. To learn more about factor alerts visit the FAQ.

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.

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