(AI)

2019 12

ExecutiveSummary1 2017 2018-2019

2018 10 ( CSL)

( GPIF) (AI)

2017

(StyleDetectorArray SDA) [1]

SDA “Resembler”

( ) GPIF

2017 2018 10 2020 3

( 100

)

(

1,000 )

2018 10 2019 10

2020

2 :

SDA Resembler

SDA

Resembler

A

SDA Resembler

self-resemblance

i

mutual-resemblance

SDA 2017

VFM

SDA

AI (AI

Bridging Cloud Infrastructure ABCI) [2, 3] GPU

ABCI SDA Resembler

ABCI

2017

SDA Resembler

(Self Organizing Map SOM)

3 GPIF

GPIF SDA

Resembler 4 1 4

2

1 Resembler

SDA

GPIF

GPIF

Resembler

Resembler

4 Resembler

ii

(a) Resembler A (b) SDA A

1

4: Resembler W

AI 1)AI(Resembler SDA) 2)

3) 3

2)

VAE

3)

iii

4

Resembler SDA

Resembler ( )

mutual-resemblance

2019

( )

GPIF

iv

SOM

5 AI GPIF

GPIF

GPIF

GPIF

AI

GPIF /

AI

GPIF

AI GPIF

GPIF

AI

v

SABRmetrix “Moneyball”

“GPIF-metrics”

6

(

Resembler SDA )

(AI

) 3

7

• GPIF ABCI AICSL 3 AI

•

• AI• AI

vi

ExecutiveSummary i

1 2017 2018-2019 1

1.1 2017 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1

1.2 2018-2019 . . . . . . . . . . . . . . . . . . . . . . . . . . 2

2 : 3

2.1 . . . . . . . . . . . . . . . 3

2.2 . . . . . . . . . . . . . . . . . . . . 10

3 GPIF 13

3.1 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13

3.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 19

3.3 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22

4 23

4.1 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23

4.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . 25

5 AI GPIF 30

5.1 GPIF . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 30

5.2 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 31

6 33

7 35

A 38

A.1 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . 38

A.2 SDA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 41

A.3 Resembler . . . . . . . . . . . . . . . . . . . . . . . . . . 44

A.4 SDA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 46

1 2017 2018-2019

2018 10 ( CSL)

(AI)

1.1 2017

CSL 2017 GPIF

AI GPIF (

)

( AI) 1

(Style Detector Array SDA) SDA

GPIF

100

GPIF

[1] 2018 GPIF CSL

EQDerivatives “The Volatility

& Risk Premia Awards 2019: Academic Research Paper Of The Year - Machine Learning &

Big Data”

GPIF

AsianInvestor “Institutional Excellence Awards 2018” 4

SDA

AI

1

1.2 2018-2019

2017 (AI)

2018 10 2020 3

(

) GPIF 2018 10

2017 2018 10 2020 3

( 100

)

(

1,000 )

“Resemblance”(

)

1: 2017

30 [4]

29

GPIF

( )

2017

GPIF

SDA

2018 10 2019 10

2020

2

2 :

2: SDA Resembler

( )

[5, 6]

Style Detector Array

Resembler

2.1

Style Detector Array SDA Resembler

2 *1

*1 SDA (array)

3

2.1.1 Style Detector Array SDA

SDA

2017

[1]

SDA

SDA

Virtual Fund Manager VFM

SDA

3 ( 3)

1. VFM

2. SDA

3. SDA

SDA

3: SDA

4

Virtual Fund Manager VFM SDA

VFM

SDA VFM

SDA VFM

VFM

•

SDA

100 VFM

SDA VFM SDA 1000

1000

SDA

1000

•SDA

SDA GPIF

( 4) 1000

GPIF

98%( ) ( 5)

•

VFM

Fama-French 3 [7] Carhart 4

[8]

BP( ) CFP( ) DP(

) EP( ) MOM( 1 ) Rev-MOM( 1

5

4:

5:

6

) SIZE( ) 7 VFM

P

SDA

• VFM VFMVFM

(all buy

all sell) VFM

VFM VFM

6: VFM VFM

•VFM

VFM

SDA

7

3

Appendix

VFM

2.1.2 Resembler

SDA Resembler

SDA

1

2017

Resembler Resembler SDA

VFM

Resembler A

B (resemblance)

SDA SDA

( 2)

SDA Resembler

VFM

A

2: SDA Resembler

Resembler

Resembler

8

• Self-resemblance ( )

( )

Self-resemblance

Resembler

Self-resemblance

Self-resemblance Self-resemblance

*2

SDA Resembler

SDA Resembler

SDA

Resembler

SDA Resembler

3

Self-resemblance Appendix

• Mutual-resemblance

Resembler

Mutual-resemblance

4

*2

9

2.1.3 ABCI SDA Resembler

SDA Resembler

[9, 10, 11]

SDA Resembler

2017

AI (AI

Bridging Cloud Infrastructure ABCI) [2] ABCI

GPU 1088

[3]

1 1

1 2017

ABCI

2.2

SDA Resembler

GPIF

SDA Resembler

SDA Resembler

10

(Self Organizing Map SOM)

SOM

( )

SOM

1.

2.

3.

( )

4. 1

*3

PER PBR

SOM

7 SOM

PER PBR

SOM

Resembler

3

*3 ( )

11

SOM

Distiller

4

7: SOM

12

3 GPIF

GPIF

GPIF ( )

Resembler SDA

Resembler SDA Appendix

4

3.1

1

1 A

GPIF Resembler

8a Resembler 3

• 2017 7 2018 1• 2018 1 2019 3• 2019 3

SDA

( 8b)

( ) Resembler

Resembler

• 9 SOM

– 2017 1 ( 9a) 2019 1 ( 9b)

13

(a) Resembler (b) SDA

8: 1:

– 2019 6 ( 9c)

A

A

– Resembler Resembler

•2017 7 2018 1 2018 1 2019 3 2019 3 Resembler

Resembler ( 10)

•Resembler

Resembler 1

( 11)

GPIF

A GPIF 2016

Resembler 2017 7 2018 1 Resembler

14

(a) 2017 1 (b) 2019 1 (c) 2019 6

9: 1: ( )

10: 1:

11: 1:

15

2019 3

GPIF

GPIF

Resembler

Resembler

Resembler

2

F Resembler

Resembler

2019 6-7 Resembler

( 12a) SDA ( 12b)

( ) Resembler

Resembler

•– 2018 6 ( 9a) 2018 12 ( 9b)

16

(a) Resembler (b) SDA

12: 2:

( )

– 2019 6 ( 9c)

( ) ( )

Resembler Resem-

bler

(a) 2018 6 (b) 2018 12 (c) 2019 6

13: 2: ( )

17

GPIF

Resembler F

Resembler

GPIF

Resembler

GPIF AI

GPIF

2

•GPIF

2

F

Resembler SDA

Resembler

GPIF

• GPIFResembler

GPIF

GPIF

1

18

Resembler 1

AI

AI

SOM

3.2

2

3

3 N

GPIF

2018

GPIF

GPIF

Resembler

( 14)

14: 3: (Resembler )

19

•2018

( 15)

15: 3:

•2018

( 16)

16: 3:

•

( 17)

20

17: 3

GPIF GPIF

Resembler

4

4 W

Resembler

( 18)

18: 4:Resembler

21

3.3

AI 3

1. AI(Resembler SDA)

AI(Resembler SDA)

( )

2. AI

SOM

AI

Variable Auto Encoder

3. 2

GPIF Resembler

AI

AI

22

4

4.1 Resembler

( ) Resembler

2.1.2

Resembler Mutual-resemblance

(Multi-Dimensional Scaling MDS)[12]

19:

23

4

2015

7 2019 9 19 (

) ( )

A E

20

1

*4 2019

2019

( )

GPIF

GPIF

( )

GPIF

Resembler

( )

( ) GPIF

AI

GPIF

*4

24

20:

4.2

GPIF 2 2014 2016

3 GPIF

[13]

( )

( )

21a SOM

25

2.2 TOPIX

21b

21a

2

21a

21b

21a 21b

(a) (b)

21: SOM

(

22)

• :

GPIF

2

• :

26

22:

••

• 90%

( )

23

( ) ( )

24

27

23:

24:

28

•

/

•SOM

Resembler SDA

( )

GPIF

29

5 AI GPIF

AI GPIF

GPIF

2

5.1 GPIF

GPIF

GPIF

GPIF AI

GPIF

•AI

GPIF

•Resembler

•Resembler

•

Resemblance

•Resembler

30

AI GPIF

2017 GPIF

AI 2018 10

29

GPIF

AI GPIF

•–

–

– ( )

–

– Call

• GPIF /– GPIF AI

– AI

5.2

GPIF

GPIF

31

GPIF GPIF

GPIF

AI

“Moneyball”

GPIF

AI

AI

(metrics)

“GPIF-metrics”

32

6

2018 10

3

2019 10 Resembler

SDA GPIF

Resembler

SDA

• AI AI Resembler SDA1 SOM

SOM

• AIGPIF

A

B

AI

• Resembler GPIF

33

• SDA Resembler

SDA *5

• SDA ResemblerSDA

SDA

VFM

Resembler

SDA

• Resembler1

Resembler

Resembler

2017

AI

GPIF

AI

*5 Resembler ( )

34

7

3 AI

ABCI

GPIF ABCI AI

CSL 3

AI

GPIF GPIF

4.1 Resembler

2020 74 2025 87.6

[14]

Resembler

1

[15]

GPIF

CSL 3 AI

35

AI

Resembler

AI AI

AI GPIF

AI

GPIF

AI

AI AI

AI GPIF

AI

2017

Best of Best

GPIF

36

37

A

A.1 Resembler

25: Resembler — (1/3)

38

25: Resembler — (2/3)

39

25: Resembler — (3/3)

40

A.2 SDA

26: SDA — (1/3)

41

26: SDA — (2/3)

42

26: SDA — (3/3)

43

A.3 Resembler

27: Resembler — (1/2)

44

27: Resembler — (2/2)

45

A.4 SDA

28: SDA — (1/2)

46

28: SDA — (2/2)

47

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49

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