I Know First Weekly Review Algorithmic Performance: April 15, 2019


I Know First Weekly Newsletter
Investment Selection Using AI Predictive Algorithm
April 15, 2019

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I Know First Live Forecast Evaluation Report For MSCI EMU Stock Universe – Significantly Beating The Benchmark

Executive Summary

The purpose of this report is to present the results of live forecast performance evaluation for I Know First AI Algorithm, specifically for the MSCI EMU Index. The following results were observed when signal and predictability filters were applied in order to pick the best performing stocks out of the most predictable ones. The period under evaluation is from January 1st,2018 to November 1st, 2018.

MSCI EMU Stock Market Universe Highlights:

  • Signal indicator filter applied to Top 30 most predictable stocks provides the highest return of 3.71% for Top 5 stocks on 3-months’ investment horizon
  • There is a clear increasing trend for returns improvement with the time horizon increase – the return for all stocks beat the benchmark
  • The Top 5 stocks on 3-month’s investment horizon significantly out-perform the Benchmark by 5.75%

The above results were obtained based on forecasts’ evaluation over the specific time period using consecutive filtering approach – by predictability, then by signal, to give general overview of the forecasting capabilities of the algorithm for specific stock universe.

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I Know First Live Forecast Evaluation Report For MSCI Stock Universe – Significantly Outperforms MSCI-ACWI Index And ACWI ETF Benchmarks

Executive Summary

InIn this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the MSCI stock universe and sent to our customers on a daily basis.Our analysis covers time period from January 2, 2018 to September 30, 2018. We will start with an introduction to our stock picking and benchmarking methods and then apply it to the MSCI stock universe of the MSCI index and compare it to ACWI (iShares MSCI ACWI ETF by Blackrock) performance over the same period. This report continues our investigation of the algorithm's performance for MSCI stock universe published on September 23, 2018.

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I Know First Live Forecast Evaluation Report For Singaporean Stock Universe – Significantly Beating Benchmarks On All Horizons

Executive Summary

In this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the Singaporean stock universe and sent to our customers on a daily basis. Our analysis covers time period from January 3, 2018 to August 24, 2018.We will start with an introduction to our stock picking and benchmarking methods and then apply it to the Singaporean stock universe.

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I Know First Live Forecast Evaluation Report For Currencies Universe – Predictability And Signal Together Beat Benchmark

Executive Summary

In this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the Forex market that we sent to our customers on a daily basis. Our analysis covers time period from January 2, 2018 to August 24, 2018.We will start with an introduction to our asset picking and benchmarking methods and then apply it to the currency pairs universe covered by I Know First’s “Currencies” package and compare it to the benchmark performance over the same period.

I Know First Live Forecast Evaluation Report For MSCI Stock Universe – Significantly Beating MSCI-ACWI Index And ACWI ETF Benchmarks

Executive Summary

In this live forecast evaluation report we will examine the performance of the forecasts generated by the I Know First AI Algorithm for the MSCI stock universe and sent to our customers on a daily basis. Our analysis covers time period from January 2, 2018 to August 24, 2018.We will start with an introduction to our stock picking and benchmarking methods and then apply it to the stock universe of the MSCI-ACWI index.

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Bayesian Inference and I Know First’s Application

 

 

This article was written by Kwon Sok Oh, a Financial Analyst at I Know First.

 

 

Summary

  1. Introduction of Bayesian Inference and BAC Example
  2. Prior Distribution: Concepts and BAC Example
  3. Likelihood Function: Concepts and BAC Example
  4. Posterior Distribution: Concepts and BAC Example
  5. Posterior Predictive Distribution: Concepts and BAC Example
  6. Conclusion of Discussion and BAC Example
  7. I Know First and Bayesian Neural Networks

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