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  • Technology

Archival Storage at Two Sigma

The author presents CelFS, Two Sigma’s geo-distributed file system. Although CelFS has scaled to serve tens of petabytes of data, it uses physical partitioning to provide quality of service guarantees, it has a high replication overhead, and cannot take advantage of outsourced cold storage The talk further describes our response to these limitations in Jaks, a new storage system to reduce the TCO of CelFS and serve as the backend for other systems at Two Sigma.

  • Data Science

JSM 2017 Experiences

A group of Two Sigma statisticians highlight a selection of interesting talks and presentations from the 2017 Joint Statistical Meeting.

  • Markets & Economy

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.

  • Markets & Economy

CTA Market and Portfolio Diversification

Just four factors collectively explain an outsized fraction of the SG CTA Index’s current risk, while elevated long equity and bond exposures may compromise the amount of diversification CTAs now offer.