Global Credit Insights

Sebastian Ashton, CFA

SAA Advisors

Thematic (Sector/Industry)

United states / Thematic (Sector/Industry)

Dow Jones Industrial Average (INDU INDEX)

Following on from last months publication that gave a brief introduction into the viability of constructing a model using machine learning techniques that can predict the direction of daily moves in the European high yield index using data from the previous trading day. In this months note, we have taken a step back and constructed a simple model using traditional statistical techniques that use GDP forecasts to predict moves in the Dow Jones ETF's.Over the coming months, we will endeavor to show how data science can be used as an integral part of the investment management process and highlight its advantage over basic statistical modeling techniques traditionally used in finance.With further modeling and analysis to confirm this basic investigation, investors may be able to use this information in their asset allocation decisions and profit from equity market beta-selection.

Following on from last months publication that gave a brief introduction into the viability of constructing a model using machine learning techniques that can predict the direction of daily moves in the European high yield index using data from the previous trading day. In this months note, we have taken a step back and constructed a simple model using traditional statistical techniques that use GDP forecasts to predict moves in the Dow Jones ETF's.Over the coming months, we will endeavor to show how data science can be used as an integral part of the investment management process and highlight its advantage over basic statistical modeling techniques traditionally used in finance.With further modeling and analysis to confirm this basic investigation, investors may be able to use this information in their asset allocation decisions and profit from equity market beta-selection.

A Simple Model that Could Take OECD US GDP Forecasts to Predict the US Dow Jones Index Level?