-
(AI)
2019 12
-
ExecutiveSummary1 2017 2018-2019
2018 10 ( CSL)
( GPIF) (AI)
2017
(StyleDetectorArray SDA) [1]
SDA “Resembler”
( ) GPIF
2017 2018 10 2020 3
( 100
)
(
1,000 )
2018 10 2019 10
2020
2 :
SDA Resembler
SDA
Resembler
A
SDA Resembler
self-resemblance
i
-
mutual-resemblance
SDA 2017
VFM
SDA
AI (AI
Bridging Cloud Infrastructure ABCI) [2, 3] GPU
ABCI SDA Resembler
ABCI
2017
SDA Resembler
(Self Organizing Map SOM)
3 GPIF
GPIF SDA
Resembler 4 1 4
2
1 Resembler
SDA
GPIF
GPIF
Resembler
Resembler
4 Resembler
ii
-
(a) Resembler A (b) SDA A
1
4: Resembler W
AI 1)AI(Resembler SDA) 2)
3) 3
2)
VAE
3)
iii
-
4
Resembler SDA
Resembler ( )
mutual-resemblance
2019
( )
GPIF
iv
-
SOM
5 AI GPIF
GPIF
GPIF
GPIF
AI
GPIF /
AI
GPIF
AI GPIF
GPIF
AI
v
-
SABRmetrix “Moneyball”
“GPIF-metrics”
6
(
Resembler SDA )
(AI
) 3
7
• GPIF ABCI AICSL 3 AI
•
• AI• AI
vi
-
ExecutiveSummary i
1 2017 2018-2019 1
1.1 2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1
1.2 2018-2019 . . . . . . . . . . . . . . . . . . . . . . . . . . 2
2 : 3
2.1 . . . . . . . . . . . . . . . 3
2.2 . . . . . . . . . . . . . . . . . . . . 10
3 GPIF 13
3.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13
3.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19
3.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22
4 23
4.1 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23
4.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25
5 AI GPIF 30
5.1 GPIF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30
5.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31
6 33
7 35
A 38
A.1 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . 38
A.2 SDA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41
A.3 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . 44
A.4 SDA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46
-
1 2017 2018-2019
2018 10 ( CSL)
(AI)
1.1 2017
CSL 2017 GPIF
AI GPIF (
)
( AI) 1
(Style Detector Array SDA) SDA
GPIF
100
GPIF
[1] 2018 GPIF CSL
EQDerivatives “The Volatility
& Risk Premia Awards 2019: Academic Research Paper Of The Year - Machine Learning &
Big Data”
GPIF
AsianInvestor “Institutional Excellence Awards 2018” 4
SDA
AI
1
-
1.2 2018-2019
2017 (AI)
2018 10 2020 3
(
) GPIF 2018 10
2017 2018 10 2020 3
( 100
)
(
1,000 )
“Resemblance”(
)
1: 2017
30 [4]
29
GPIF
( )
2017
GPIF
SDA
2018 10 2019 10
2020
2
-
2 :
2: SDA Resembler
( )
[5, 6]
Style Detector Array
Resembler
2.1
Style Detector Array SDA Resembler
2 *1
*1 SDA (array)
3
-
2.1.1 Style Detector Array SDA
SDA
2017
[1]
SDA
SDA
Virtual Fund Manager VFM
SDA
3 ( 3)
1. VFM
2. SDA
3. SDA
SDA
3: SDA
4
-
Virtual Fund Manager VFM SDA
VFM
SDA VFM
SDA VFM
VFM
•
SDA
100 VFM
SDA VFM SDA 1000
1000
SDA
1000
•SDA
SDA GPIF
( 4) 1000
GPIF
98%( ) ( 5)
•
VFM
Fama-French 3 [7] Carhart 4
[8]
BP( ) CFP( ) DP(
) EP( ) MOM( 1 ) Rev-MOM( 1
5
-
4:
5:
6
-
) SIZE( ) 7 VFM
P
SDA
• VFM VFMVFM
(all buy
all sell) VFM
VFM VFM
6: VFM VFM
•VFM
VFM
SDA
7
-
3
Appendix
VFM
2.1.2 Resembler
SDA Resembler
SDA
1
2017
Resembler Resembler SDA
VFM
Resembler A
B (resemblance)
SDA SDA
( 2)
SDA Resembler
VFM
A
2: SDA Resembler
Resembler
Resembler
8
-
• Self-resemblance ( )
( )
Self-resemblance
Resembler
Self-resemblance
Self-resemblance Self-resemblance
*2
SDA Resembler
SDA Resembler
SDA
Resembler
SDA Resembler
3
Self-resemblance Appendix
• Mutual-resemblance
Resembler
Mutual-resemblance
4
*2
9
-
2.1.3 ABCI SDA Resembler
SDA Resembler
[9, 10, 11]
SDA Resembler
2017
AI (AI
Bridging Cloud Infrastructure ABCI) [2] ABCI
GPU 1088
[3]
1 1
1 2017
ABCI
2.2
SDA Resembler
GPIF
SDA Resembler
SDA Resembler
10
-
(Self Organizing Map SOM)
SOM
( )
SOM
1.
2.
3.
( )
4. 1
*3
PER PBR
SOM
7 SOM
PER PBR
SOM
Resembler
3
*3 ( )
11
-
SOM
Distiller
4
7: SOM
12
-
3 GPIF
GPIF
GPIF ( )
Resembler SDA
Resembler SDA Appendix
4
3.1
1
1 A
GPIF Resembler
8a Resembler 3
• 2017 7 2018 1• 2018 1 2019 3• 2019 3
SDA
( 8b)
( ) Resembler
Resembler
• 9 SOM
– 2017 1 ( 9a) 2019 1 ( 9b)
13
-
(a) Resembler (b) SDA
8: 1:
– 2019 6 ( 9c)
A
A
– Resembler Resembler
•2017 7 2018 1 2018 1 2019 3 2019 3 Resembler
Resembler ( 10)
•Resembler
Resembler 1
( 11)
GPIF
A GPIF 2016
Resembler 2017 7 2018 1 Resembler
14
-
(a) 2017 1 (b) 2019 1 (c) 2019 6
9: 1: ( )
10: 1:
11: 1:
15
-
2019 3
GPIF
GPIF
Resembler
Resembler
Resembler
2
F Resembler
Resembler
2019 6-7 Resembler
( 12a) SDA ( 12b)
( ) Resembler
Resembler
•– 2018 6 ( 9a) 2018 12 ( 9b)
16
-
(a) Resembler (b) SDA
12: 2:
( )
– 2019 6 ( 9c)
( ) ( )
Resembler Resem-
bler
(a) 2018 6 (b) 2018 12 (c) 2019 6
13: 2: ( )
17
-
GPIF
Resembler F
Resembler
GPIF
Resembler
GPIF AI
GPIF
2
•GPIF
2
F
Resembler SDA
Resembler
GPIF
• GPIFResembler
GPIF
GPIF
1
18
-
Resembler 1
AI
AI
SOM
3.2
2
3
3 N
GPIF
2018
GPIF
GPIF
Resembler
( 14)
14: 3: (Resembler )
19
-
•2018
( 15)
15: 3:
•2018
( 16)
16: 3:
•
( 17)
20
-
17: 3
GPIF GPIF
Resembler
4
4 W
Resembler
( 18)
18: 4:Resembler
21
-
3.3
AI 3
1. AI(Resembler SDA)
AI(Resembler SDA)
( )
2. AI
SOM
AI
Variable Auto Encoder
3. 2
GPIF Resembler
AI
AI
22
-
4
4.1 Resembler
( ) Resembler
2.1.2
Resembler Mutual-resemblance
(Multi-Dimensional Scaling MDS)[12]
19:
23
-
4
2015
7 2019 9 19 (
) ( )
A E
20
1
*4 2019
2019
( )
GPIF
GPIF
( )
GPIF
Resembler
( )
( ) GPIF
AI
GPIF
*4
24
-
20:
4.2
GPIF 2 2014 2016
3 GPIF
[13]
( )
( )
21a SOM
25
-
2.2 TOPIX
21b
21a
2
21a
21b
21a 21b
(a) (b)
21: SOM
(
22)
• :
GPIF
2
• :
26
-
22:
••
• 90%
( )
23
( ) ( )
24
27
-
23:
24:
28
-
•
/
•SOM
Resembler SDA
( )
GPIF
29
-
5 AI GPIF
AI GPIF
GPIF
2
5.1 GPIF
GPIF
GPIF
GPIF AI
GPIF
•AI
GPIF
•Resembler
•Resembler
•
Resemblance
•Resembler
30
-
AI GPIF
2017 GPIF
AI 2018 10
29
GPIF
AI GPIF
•–
–
– ( )
–
– Call
• GPIF /– GPIF AI
– AI
5.2
GPIF
GPIF
31
-
GPIF GPIF
GPIF
AI
“Moneyball”
GPIF
AI
AI
(metrics)
“GPIF-metrics”
32
-
6
2018 10
3
2019 10 Resembler
SDA GPIF
Resembler
SDA
• AI AI Resembler SDA1 SOM
SOM
• AIGPIF
A
B
AI
• Resembler GPIF
33
-
• SDA Resembler
SDA *5
• SDA ResemblerSDA
SDA
VFM
Resembler
SDA
• Resembler1
Resembler
Resembler
2017
AI
GPIF
AI
*5 Resembler ( )
34
-
7
3 AI
ABCI
GPIF ABCI AI
CSL 3
AI
GPIF GPIF
4.1 Resembler
2020 74 2025 87.6
[14]
Resembler
1
[15]
GPIF
CSL 3 AI
35
-
AI
Resembler
AI AI
AI GPIF
AI
GPIF
AI
AI AI
AI GPIF
AI
2017
Best of Best
GPIF
36
-
37
-
A
A.1 Resembler
25: Resembler — (1/3)
38
-
25: Resembler — (2/3)
39
-
25: Resembler — (3/3)
40
-
A.2 SDA
26: SDA — (1/3)
41
-
26: SDA — (2/3)
42
-
26: SDA — (3/3)
43
-
A.3 Resembler
27: Resembler — (1/2)
44
-
27: Resembler — (2/2)
45
-
A.4 SDA
28: SDA — (1/2)
46
-
28: SDA — (2/2)
47
-
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49
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