Two Sigma Risk Premia Strategy Keeping Its Head Just Above Water

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.

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Two Sigma ERPTV losses "contained" while MRPTV "went from short to long at wrong time"

Two...