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USE CASE

Factor Investing

Objective

  • Predict factors (eg, volatility) for a given security universe and select securities generating alphas. 

Outcome

  • AI prediction models that can predict the forward factor based on regression models

  • Select securities based on the prediction

  • Quickly move other constraints into  a downstream Portfolio Optimization process.

Business Value

  • Choose securities on attributes that are associated with higher returns 

  • Evaluate factors such as macroeconomic (eg, inflation, GDP, interest rate) or style factors (eg, value, momentum, volatility)

H2O's AI and Data Approaches

  • Use model inputs that are a company’s fundamental indicators (mostly fundamental ratios), technical indicators and other indicators (analyst opinion, MD&A, ratings etc.) 

  • The solution can be delivered through APIs to the research team.

Resources

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