Ensemble Active Management

30 Pages Posted: 10 Oct 2018

See all articles by Alexey Panchekha

Alexey Panchekha

Turing Technology Associates Inc

Robert Tull

Independent

Matthew M. Bell, CFA

Bell Family Interests, LLC

Date Written: September 5, 2018

Abstract

This White Paper questions the superiority of the traditional Active Management paradigm. Do stand-alone, ‘single-expert’ investment managers or management teams, with well-defined yet rigidly entrenched philosophies and methodologies, deliver optimal results? The conclusion, derived from a database reflecting 30,000 test portfolios and 165 million data points, was that they do not.

A new approach to investment management, referred to as “Ensemble Active Management” and representing the intersection of Artificial Intelligence and traditional Active Management, was proven the superior option.

Keywords: Active Management, Ensemble Method, single-expert system, multi-expert system

JEL Classification: G11, G10

Suggested Citation

Panchekha, Alexey and Tull, Robert and Bell, Matthew M., Ensemble Active Management (September 5, 2018). Available at SSRN: https://ssrn.com/abstract=3243578 or http://dx.doi.org/10.2139/ssrn.3243578

Alexey Panchekha (Contact Author)

Turing Technology Associates Inc ( email )

WA 98672
United States

HOME PAGE: http://www.turingta.com

Robert Tull

Independent ( email )

Matthew M. Bell

Bell Family Interests, LLC ( email )

7700 Broadway, Suite 104, PMB 305
San Antonio, TX 78209
United States

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