01

AI ETF

크래프트는 펀드매니저가 지시한 컴플라이언스 정책, 리스크정책, 투자유니버스, 투자방법을 완벽하게 준수하면서 최적 마켓타이밍과 매매전략을 학습할 수 있는 AI ETF 운용시스템을 공급하고 있습니다. 


Qraft offers an AI ETF operating system that has the ability to learn optimal market timing and trading strategies while fully complying with the fund manager's compliance policies, risk policies, investment universes, and investment styles.


 

case study:
AI Global Equity ETF (TSX)


 

case study:
Qraft aI enhanced US Large Cap ETF

NYSE:QRFT 와 NYSE:AMOM 은 크래프트의 딥러닝 기술이 적용되어 100% AI에 의해 운용되는 ETF 로 뉴욕증권거래소(NYSE) 상장되어 있으며, 이는 국내 AI 자산운용 분야 기술 수출의 첫 사례입니다.

AI ETF 의 제작 및 상장 이후 성과


NYSE:QRFT and NYSE:AMOM in New York Stock Exchange (NYSE) are two AI-driven ETFs using Qraft’s deep-learning technology. It is the first of its kind in Korea to export AI Asset management technology.

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02

Qraft AI Factor Rotation Engine

Introduction

As we all know, factor matters to stock return. Factor strategy generates alpha on average, but NOT ALWAYS…

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What matters to factors that matter to stock return

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Theoretical background

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So we had AI learn to rotate factor weights

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Then how does AI learn ?

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Qraft Deep Factor Rotation Engine

1. Reward targeted Asynchronous Multi Network Learning Framework

      - Multi networks compete to maximize reward function asynchronously

      - Our own framework to get optimal portfolio strategy while avoiding overfitting as much as possible.

2. Multi-channel Attention Deep Residual Network 

      - Deep network modeloptimized for finance data to simultaneously capture both time series feature and cross sectional feature

3. Qraft Database 

      - We consolidated the database to feed the data to the network intact

 

Empirical Result

Simulation with train data set (1980-2005) during training

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Simulation with test data set (2006-2018) during training

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Simulation with test data set after 20000 iterations

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How did our AI model make decisions during the financial crisis?

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>Reasonable Factor Allocation