Written by Anna German
Updated over a week ago

Rev. Date May 30, 2019

The Two Sigma Factor Lens tab, accessible at the bottom of the left navigation of [TEST], has two sections: Factor Basics and Factor Insights.

1. What does Factor Basics show?

The Factor Basics page offers foundational, general information on risk factors, including what we believe they are and how they can be used. It also provides introductory information on the factor lens [TEST] uses: the Two Sigma Factor Lens.

2. What is the purpose of Factor Basics?

Factor Basics’s primary purpose is to educate investors on the concept of risk factors and provide an introduction to the factors in the Two Sigma Factor Lens. For more detailed information on the Two Sigma Factor Lens, visit the FAQ.

3. What does Factor Insights show?

Factor Insights provides more detail and historical performance information on the factors in the Two Sigma Factor Lens.

4. What does “Show Factor Inputs” do?

This shows the key inputs used to generate the selected factor’s return stream, plus any factor(s) used in the residualization.

5. What are the shaded areas in the cumulative return chart?

The shaded areas represent notable performance time periods for the factor and can be helpful in understanding the factor’s historical performance. Click on the area for helpful commentary.

6. What is the purpose of Factor Insights?

Our primary goal is to highlight certain aspects of factor construction. We hope this page gives investors a sense for what each factor represents, how it has behaved historically and how it may differ from common market indices.

Our secondary goal is to share ongoing factor performance as the market moves. If a portfolio is highly exposed to credit, for example, it may be helpful for investors to see how the Credit factor has performed and potentially better assess whether it may contribute to or detract from their portfolio’s performance.

This document highlights certain aspects of this feature. As an overview, it does not discuss all material facts or assumptions. Please see Important Disclosure and Disclaimer Information.