Insights

Two Sigma’s Labs team recently performed an in-depth survey of the extensive literature on the Sharpe ratio and published its findings in a new Technical Report.

Two Sigma Data Clinic partnered with the New York Hall of Science to use visitor behavior data to improve an interactive exhibit.

In the machine learning research community, it is generally believed that there is a tension between memorization and generalization. This paper examines the extent to which this tension exists, by exploring whether it is possible to generalize by memorizing alone.

Two Sigma’s Co-Founder discusses algorithmic investing, self-driving cars, blockchain, education, and more.

The authors survey and discuss methods proposed in the literature for estimating the Sharpe ratio; computing confidence intervals around a point estimation of the Sharpe ratio; and performing hypothesis testing on a single Sharpe ratio and on the difference between two Sharpe ratios.

The authors provide an overview of the Two Sigma Factor Lens, designed for analyzing multi-asset portfolios and derived from returns of broad, liquid asset class proxy indexes.

We measure the Euclidean “distance” between today’s markets and all other periods going back to 1990.

How much of a problem is school bullying in New York City? The answer depends on who (and how) you ask.

The VIX, a common proxy for financial uncertainty, does not adequately capture macroeconomic uncertainty—a separate entity with its own impacts on asset prices.

The Vera Institute of Justice and data scientists from Two Sigma Data Clinic explore why the jail populations of rural U.S. counties are disproportionately high.