Economic Data Sciences PRO
Understandable A.I.
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Overview
©2018 Economic Data Sciences
Analyzing factor exposures of funds
EDS tool was provided with a portfolio of funds with the goal to analyze each fund's exposures
The goal of the exercise was to make sure that each fund manager provided the exposures that they were meant to
- We provided a point-in-time analysis, although exposure over time is possible as well
- Any desired metric can be added/subtracted from the list
Analysis Stages
©2018 Economic Data Sciences
Analyzing factor exposures of funds
The analysis included 3 steps:
- Stand-alone exposures of 3 funds in the portfolio
- Aligning funds based on expected alpha and risk
- Comparing funds on each metric
-
Analysis is driven by historical returns
- Historical holdings could increase accuracy
- Alpha expectations and active risk for each fund
TwentyFour Dynamic Bond Fund
- Goals: attractive income with opportunity for capital growth
- Dividend yield provides a 131bps boost
- However, U.S. interest rates detract 2%
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Schroders U.K. Property
- Goals: mixed property around the U.K., blend of capital and growth
- Quantifiable exposure to metals
- The largest exposure of the fund is to European interest rates
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
AQR True Styles
- Goals: exposure to value, momentum, carry and defensive through hedges
- Fund has little momentum or value exposure
- Large exposure to U.S. interest rates - not meant to have
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Funds Alpha and Active Risk
- BMO Global Absolute Return has highest alpha expectatios
- M&G Alpha Opportunities has the lowest alpha expectations
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Factor Exposure For Each Fund
European Construction Spending
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
European Consumer Prices
- U.K. Property Debt Investments Fund leading the way
- Alpha Opportunities Fund is at the low end
- Some results could be slightly skewed due to short history
©2018 Economic Data Sciences
*Data from EDS & Bloomberg, courtesy of London Business School
Momentum
- AQR Global Risk Premium Fund has the highest exposure
©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
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Fund factor exposures
By Economic Data Sciences
Fund factor exposures
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