Understandable Artificial Intelligence
Overview
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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
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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
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*Data from EDS, St. James's Place, & Bloomberg, courtesy of London Business School
Manager Beta Exposure
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*Data from EDS & Bloomberg, courtesy of London Business School
Manager Beta Exposure - Detailed
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*Data from EDS & Bloomberg, courtesy of London Business School
Manager Trading Betas
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*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
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Emerging Markets Equity Manager
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*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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*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
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Emerging Markets Equity Manager
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*Data from EDS & Bloomberg, courtesy of London Business School
Emerging Markets Equity Manager
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*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
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EM Over Bench
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*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
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Key conclusions:
- Higher Systemic Risk
- Higher exposure to metals
- Smaller exposure to Industrial Production
- Little exposure to other metrics
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Global Fund Manager
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*Data from EDS & Bloomberg, courtesy of London Business School
Global Fund Manager vs Bench
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*Data from EDS & Bloomberg, courtesy of London Business School
Disclaimers
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Get In Touch
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info@EconomicDataSciences.com
info@EconomicDataSciences.com