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. [dalio[ Two Sigma ERPTV losses “contained” while MRPTV “went from short to long at wrong time” Two Sigma’s Risk Premia strategy…
Two Sigma Risk Premia Strategy Keeping Its Head Just Above Water
Mark Melin
Mark Melin is an alternative investment practitioner whose specialty is recognizing the impact of beta market environment on a technical trading strategy. A portfolio and industry consultant, wrote or edited three books including High Performance Managed Futures (Wiley 2010) and The Chicago Board of Trade’s Handbook of Futures and Options (McGraw-Hill 2008) and taught a course at Northwestern University's executive education program.