This Street View proposes a method for teasing election-related risk out of options prices and tests it against FiveThirtyEight’s 2018 election forecasts based on polls and fundamental data.
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 constructed a Chinese trade sensitivity factor and examined how it responds to developments in the evolving US-China trade dispute.
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.
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.
The VIX, a common proxy for financial uncertainty, does not adequately capture macroeconomic uncertainty—a separate entity with its own impacts on asset prices.
An analysis of the market impacts of NAFTA renegotiations suggests pronounced correlations with the USD/MXN exchange rate, as well as WTI crude prices.
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.