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  • Markets & Economy

Diagnosing the Recent Decade of Drawdown in Value

A new Two Sigma paper investigates why value stocks, as traditionally measured, have underperformed since the global financial crisis of 2008—and proposes a potentially more effective way to identify them.

  • Markets & Economy

Introducing the Two Sigma Factor Lens

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.

  • 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.

  • Markets & Economy

Technology is Shifting the Balance of Power to Asset Owners

The Information Age has transformed and brought spectacular advances to a wide range of industries, from medicine to transportation and beyond. Investment management has been by some measures slower to evolve, but it, too, is changing.