Two Sigma has told clients that the unauthorised actions of one of its researchers who manipulated the firm’s models in an attempt to boost his compensation, led to gains and losses totalling $620m, according to a report by the Wall Street Journal.
The reports cites unnamed sources familiar with the matter as revealing that ‘adjustments’ to the algorithms by the person, who has since been suspended, led to $450 million of gains in funds where employees invest alongside external investors, and losses of $170 million largely borne by clients.
Two Sigma first informed investors about the misconduct earlier in October and has how compensated investors for any losses incurred.
