Two Sigma Risk Premia Strategy Keeping Its Head Just Above Water

(Valuewalk) In a market environment where CTA and algorithmic strategies are struggling, systematic investment manager Two Sigma is no exception. In a July 13 letter to investors reviewed by ValueWalk, the Risk Premia strategy that manages factor exposure was up a scant 0.06% after suffering losses of -1.16% and -0.29% in May and June respectively. The mediocre Risk Premia strategy performance comes as the AQR Style Premia Alternative Fund is up 4.33% year to date basis July 31.

To read this article:

This entry was posted in Syndicated. Bookmark the permalink.

Leave a Reply