C8 Weekly Bulletin: AI Investing with Brain

• The index selects the top three US equity sectors (using the corresponding US ETFs as proxies) with the highest sentiment from financial news in the previous few months. The selection process is based on an Artificial Intelligence proprietary engine that scans financial news from thousands of financial media sources.
• The system assign a sentiment value to each piece of news using a combination of various Natural Language techniques. The sentiment for each sector is obtained by a ‘bottom-up’ aggregation of the sentiment of stocks belonging to each sector.
• The index has outperformed the S&P by 5 percentage points a year over the past 5 years using this sector selection process. Since the S&P500’s peak in Dec ’21, the S&P 500 has dropped by 12% on a total return basis, in contrast Brain’s Sector Rotation index has risen by 6%!

Brain AI – Europe Top 10, 30 and 50 Stock Indices

• Brain AI Europe indices leverage Brain’s proprietary Artificial Intelligence model to select stocks according to their predicted future returns on a monthly time horizon, from a universe made of the largest 600 European stocks.
• The model implements a voting scheme of machine-learning classifiers that non-linearly combine a variety of inputs using a series of techniques aimed at mitigating the well-known overfitting problem for financial data with a low signal to noise ratio.
• Some examples of inputs are: price and volume related metrics; market regime features such as volatility and market dispersion; the stock sector; and calendar features representing possible anomalies.
• The AI Europe Top 10 has performed almost twice as well as the Eurostoxx 50 over a five year period.