Suggested:

    Quantifying “Unconventional” Risks in 2018

    Entering 2018, it may be worth keeping an eye on “unconventional” risks, including monetary policy risk, political risk, and geopolitical risk. This article examines one way of measuring such risks and shows how they may interact with both equity prices and volatility.

    CTA and Macro Momentum Exposure

    Momentum has been a consistent component of CTAs since 2004, but its influence on CTA performance remains lower than it once was. This highlights the potential importance of measuring both manager-specific and overall portfolio exposures in risk terms.

    What Sovereign CDS Spreads Potentially Tell Us about Currency Risk

    Currency risk is embedded within CDS prices; if a country defaults, the value of its currency is likely to drop, to the detriment of investors with CDS exposure to that currency. The recently widening gap between European sovereign CDS priced in EUR and those priced in USD may therefore herald rising distress for the European Union as a whole.

    Life at Two Sigma

    We’re rigorous about our work and developing our people.

    Learn More

    Interested in working at Two Sigma? Explore careers.

    This website uses cookies to ensure you get the best experience on our website. Learn More
    Got It