Profiles >> Two Sigma Investments LP

Two Sigma Investments LP

Last Updated: 12/3/2020

Two Sigma Investments LP is a Limited Partnership that started in 2002 and is primarily owned and controlled by John A Overdeck and David M. Siegel.

Two Sigma specializes in process-driven, systematic investment management, generally by performing quantitative analysis to build mathematical strategies that rely on patterns inferred from historical prices and other data in evaluating prospective investments. These strategies are implemented by employing various risk management, investment, optimization and execution techniques.

Two Sigma Investments LP operates out of an office in New York, NY. Based on the Form ADV filed on 2020-05-22 00:00:00, the investment firm is comprised of 1421 employees, only 604 of whom performs investment advisory functions.

Fact Sheet

      Name: Two Sigma Investments LP
      CRD No: 137137
      Filing Recorded: 2020-05-22 00:00:00
      Year of Origin: 2002
      Employees: 1421
      Clients: 17
      AUM: 66,143,308,977
      Management Fee: 2 to 4 Percent
      Performance Fee: 20 to 30 Percent
      Client Type: Pooled Investment Vehicles
      Assets Traded: Unspecified

      Email: Unknown
      Telephone: 212-625-5700
      Address: 100 Avenue of the Americas 16th Floor, New York, NY 10013

Investment Strategy

According to the brochure submitted to IAPD, Two Sigmas investment strategy is as follows:

The Adviser utilizes a variety of methods and strategies to make investment decisions and recommendations. The Adviser primarily combines multiple hedged and leveraged investment strategies with Techniques to make investment decisions for its Clients. The Adviser integrates information, computing power and human skill to attempt to systematically (and, at times, non-systematically) extract alpha.

The investment strategies that the Adviser employs include, but are not limited to, the following: statistically-based strategies; merger (or risk) arbitrage; closed-end fund/constituent arbitrage; fundamentally-driven strategies; event-driven strategies; spread-based and long/short strategies; volatility arbitrage and trading strategies; structured credit trading strategies; and contributorbased and sentiment-based strategies (e.g., strategies based on the Adviser’s proprietary alpha capture system). The specific strategies utilized on behalf of any given Client are described in greater detail in such Client’s offering memorandum.

Methods of Analysis

In addition, Two Sigmas methods of analysis include:

In general, the Adviser primarily uses quantitative mathematical models to implement its strategies and to seek to achieve the Mandates of each Client. Such quantitative mathematical models rely on patterns inferred from historical prices and other financial data in evaluating prospective investments. These formulas and models are typically implemented using high-powered computers that generate buy or sell indications to assist the Adviser in the purchase and sale of securities and other Instruments or alternatively send buy or sell orders directly to brokers or other third-party venues. The strategies used are highly complex and rely on quantitative (and to a lesser extent, technical) analysis of large amounts of real-time and historical financial and other data with a view towards identifying pricing discrepancies, inefficiencies and/or anomalies.

In addition to the strategies described above, the Adviser also employs strategies and Techniques that focus more on fundamental analysis and research conducted by internal and external analysts (rather than computer-based quantitative and technical analysis) and/or strategies that combine two or more types of analysis in varying degrees. Fundamental analysis and research explores, among other things, issuers, industries, current market and financial conditions and an understanding of the drivers of change within these areas. Such fundamental analysis and research is generated by internal personnel and substantial numbers of external investment professionals, data vendors, market participants, experts, other consultants to the Adviser and/or licensors and is augmented from time to time by the Adviser. The Adviser either applies systematic mathematical formulae to such analysis and research, or, in the alternative, uses such analysis and research alone, without further quantitative analysis to assist in the Adviser’s investment decision-making process. The Adviser may authorize certain employees to discuss or share investment ideas or theses, including as they relate to current holdings of the Adviser or Clients, with other investors or financial professionals. Given the differences among Clients and their respective Mandates, investment ideas or theses discussed or shared by the Adviser with such other investors, investment professionals or more broadly, may not reflect the forecasts and/or investment activity of all Clients. For example, an investment idea to buy a certain Instrument may reflect the forecasts of one Client and may be shared or discussed with other investors, financial professionals or more broadly, while a separate Client or TSA client may simultaneously seek to sell such Instrument. Accordingly, to the extent the discussion or sharing of investment ideas or theses impacts the broader market, Clients’ returns may be disproportionally impacted.

The Adviser also employs non-systematic investment strategies on behalf of Clients in order to, among other things, manage certain risks or take advantage of sentiment of market participants or perceived or predicted events or market conditions.

Top 10 Holdings from Form 13F

Reporting Period: 09/30/2020

Issuer Share Value(1000s) Put/Call
HOME DEPOT INC 1,035,720 287,630
TARGET CORP 1,803,905 283,971
MERCK & CO. INC 3,219,965 267,096
LOWES COS INC 1,595,461 264,623
CROWDSTRIKE HLDGS INC 1,902,037 261,188
COSTCO WHSL CORP NEW 716,888 254,495
PFIZER INC 6,855,513 251,597
ABBVIE INC 2,858,955 250,416
CISCO SYS INC 6,110,079 240,676

Historical 13F Filings

EdgeGiant has compiled all 13F filings since Q2 2013 for your convenience. You can view historical portfolio position forTwo Sigma Investments LPin our 13F section HERE.

To get the comprehensive list of holdings that fall under 13F regulatory guidelines, check out our write up on how to access and use 13Fs in your personal investment decisions.

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Historical Portfolio Holdings for Two Sigma Investments LP