Two Sigma Advisers
Latest 13F holdings with ERM3 risk decomposition — how much of the portfolio's return is market beta versus genuine stock-picking, and where the residual risk concentrates.
- Reported AUM
- $51.4B
- Holdings
- 0
- Top-10 weight
- —
- As of
- 2026-06-30
- Filed
- 2026-08-14
Return attribution — beta or stock-picking?
Sum of monthly ERM3 attribution over the trailing 11 months (2025-05-31 → 2026-03-31), modeled subset of holdings. Roughly 5% of the gross return came from stock selection (residual return) — most of the return came from factor exposure, not selection.
Gross
+15.7%
Market
+15.7%
Sector
+0.1%
Subsector
-1.1%
Stock selection
+0.8%
How concentrated is this book?
Quarter-end concentration across 63 filings from 2010-12-31 to 2026-06-30, with the latest filing set against this manager's own median.
- Effective N
- —
- median 218.6
- Top 5 weight
- —
- no median
- Top 10 weight
- —
- median 12.9%
- Weight HHI
- —
- no median
Effective N is inverse-Herfindahl breadth, not a holding count: it falls well below the number of positions when one name dominates, which is the case worth seeing. This book held 0 positions at 2026-06-30.
Interrogate this portfolio
Ask the AI risk analyst what changed last quarter, where the concentration risk sits, or how your portfolio overlaps with Two Sigma Advisers's.