Understanding Ensemble Active Management: Innovation in Action

14 Pages Posted: 6 Nov 2019

See all articles by Alexey Panchekha

Alexey Panchekha

Turing Technology Associates Inc

Matthew M. Bell, CFA

Bell Family Interests, LLC

Robert Tull

Independent

Date Written: January 5, 2019

Abstract

Last September, this article’s three authors were Contributing Editors to a new White Paper published by the EAM Research Consortium (“Ensemble Active Management – The Next Evolution in Investment Management”1) which introduced the public to the breakthrough potential of Ensemble Active Management (“EAM”). The Paper explained how EAM Portfolios are the result of applying time‐tested “Ensemble Methods” (a core component of Artificial Intelligence (“AI”) and Machine Learning for decades) to the high conviction stock selections of actively managed portfolios, and that the superior performance for EAM Portfolios are both repeatable and persistent.

The EAM White Paper focused on the AI and mathematical principles enabling EAM, The White Paper did not, however, include a comprehensive discussion of the time‐tested investment principles that explained how, and why, EAM Portfolios performed as well as the White Paper demonstrated. This article is designed to address that omission.

Keywords: Portfolio Active Management, Tail Risks, Ensemble Active Management

JEL Classification: G11, G10

Suggested Citation

Panchekha, Alexey and Bell, Matthew M. and Tull, Robert, Understanding Ensemble Active Management: Innovation in Action (January 5, 2019). Available at SSRN: https://ssrn.com/abstract=3472634 or http://dx.doi.org/10.2139/ssrn.3472634

Alexey Panchekha (Contact Author)

Turing Technology Associates Inc ( email )

WA 98672
United States

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

Matthew M. Bell

Bell Family Interests, LLC ( email )

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

Robert Tull

Independent ( email )

No Address Available

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