Economic Data Sciences PRO
Understandable A.I.
Understandable Artificial Intelligence
Overview
©2018 Economic Data Sciences
Analyzing investment manager's style/behavior over time
- Broad EDS investment manager's behavior analysis capabilites
- Specific examples:
EDS was given two equity fund managers by a UK pension fund: Emerging Markets and Global. The goal was to find changes in managers' investment behavior using only fund returns
- Generally, EDS tool provides more conclusive results using historical holdings
Manager Exposure Over Time
©2018 Economic Data Sciences
EDS software provides several key benefits:
- Quantitative metrics to better analyze fund managers
- Ability to compare managers across multiple categories
- Freedom to choose any metrics across any time frame
Broad EDS Software Capabilities
Manager Churn Over Time
©2018 Economic Data Sciences
*Data from EDS, St. James's Place, & Bloomberg, courtesy of London Business School
Manager Beta Exposure
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Manager Beta Exposure - Detailed
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Manager Trading Betas
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Specific Analysis
Emerging Markets Equity Manager
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Several changes in exposure:
- Increased exposure to metals
- Lower Systemic risk
- Lower Trade exposure
- Increased exposure to EM consumer prices
- Lower exposure to Industrial Production
©2018 Economic Data Sciences
Emerging Markets Equity Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Emerging Markets Equity Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Emerging Markets Equity Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Emerging Markets Equity Manager
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Less conclusive metrics:
- Market Factors
- Retail Sales
- Construction Spending
- Consumer Prices
©2018 Economic Data Sciences
Emerging Markets Equity Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Emerging Markets Equity Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
EM Over Bench
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Similar results when reviewed vs. bench:
- Higher Systemic risk
- Increaed exposure to metals
- Lower exposure to Industrial Production and Retail Sales
©2018 Economic Data Sciences
EM Over Bench
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
EM Over Bench
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Global Fund Manager
Overall exposures appear to move closer to the bench
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Key conclusions:
- Higher Systemic Risk
- Higher exposure to metals
- Smaller exposure to Industrial Production
- Little exposure to other metrics
©2018 Economic Data Sciences
Global Fund Manager
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Global Fund Manager vs Bench
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Disclaimers
©2018 Economic Data Sciences
Please remember that past performance may not be indicative of future results. Different types of
investments involve varying degrees of risk, and there can be no assurance that the future performance
of any specific investment, investment strategy, or product made reference to directly or indirectly in this
presentation, will be profitable, equal any corresponding indicated historical performance level(s),
or be suitable for an individual's portfolio.
Our projections are based on current market conditions which can vary over the coming months and weeks. Additionally, our projections are based on historical market behavior which
may vary unexpectedly. Using Machine Learning, our tool should adjust to new market fluctuations but we might not be able to avoid short term volatility.
Get In Touch
©2018 Economic Data Sciences
info@EconomicDataSciences.com
info@EconomicDataSciences.com
Manager's behavior over time
By Economic Data Sciences
