Rev. Date January 27, 2020

What are factor alerts?

Factor alerts are emails that notify users of notable movements in recent factor returns. It may be helpful for users to be aware of these movements, especially if their portfolios or investments have exposure to these factors.[1]

When are factor alerts triggered?

Generally, factor alerts can be triggered when there are moderate or large movements in a factor’s return over the most recent rolling 5 weekday period. 

What do moderate and large movements mean?

Generally, we compare a factor’s movement to its average rolling 5 weekday return using historical data going back to March 1995. Movements that are 2 to 3 standard deviations away from the historical mean are registered as “moderate” and those above 3 standard deviations are registered as “large.” 

In which currency does Venn measure factor performance for the alerts?

Venn uses the factor lens associated with your organization’s base currency, as set on Venn. For example, if your organization’s base currency is set to USD, Venn will trigger alerts for the factors in the USD lens.

Where can users find factor alerts in Venn?

Users can view factor alerts on the Two Sigma Factor Lens page under “Recent Factor Activity.” Factors will be highlighted depending on whether their movement was negative or positive. Factors will generally remain highlighted for 1 day following any alert. 

How can I unsubscribe from factor alerts?

Users can turn off these notifications by going to the Notifications section in account settings. Or users can unsubscribe by clicking on the “Unsubscribe” link in any factor alert email. 

[1]Users can view the “Factor Exposures” chart in Venn’s “Factor Analysis” to identify which factors their investments or portfolios are exposed to. 

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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