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The "It" Factor? Two Sigma, Venn, and Factor Analysis
Evans, Richard B.; Pachauri, Abhinav Case F-1989 / Published August 30, 2021 / 17 pages.
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Product Overview

This case follows the protagonist, chief investment officer of a multifamily office, as she debates whether or not Venn, a factor-based portfolio attribution tool developed by quant manager Two Sigma, will be a beneficial tool for her firm. Using Venn, she starts looking into possible hedge fund investments in hope of both further diversifying her clients’ portfolios and hedging against a possible future downturn in markets. The case introduces the students to factor-based attribution analysis and helps them develop intuition for this technique using a manager selection decision in the context of a broader portfolio.


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  • Overview

    This case follows the protagonist, chief investment officer of a multifamily office, as she debates whether or not Venn, a factor-based portfolio attribution tool developed by quant manager Two Sigma, will be a beneficial tool for her firm. Using Venn, she starts looking into possible hedge fund investments in hope of both further diversifying her clients’ portfolios and hedging against a possible future downturn in markets. The case introduces the students to factor-based attribution analysis and helps them develop intuition for this technique using a manager selection decision in the context of a broader portfolio.

  • Learning Objectives