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    TATA Quant Fund

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    Rodrigues Savio
    This document introduces the Tata Quant Fund, an open-ended equity scheme that uses a quant-based investing theme. The fund selects stocks for its portfolio based on a quantitative machine learning model developed by Tata Mutual Fund. The fund aims to consistently achieve returns better than the index while avoiding negative absolute returns. It uses factor strategies like value, quality, and alpha for objective stock selection. The machine learning model considers macroeconomic and security performance parameters to evaluate investment strategies and make buy or hedge decisions.

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    TATA Quant Fund

    Uploaded by

    Rodrigues Savio
    111 views4 pages
    This document introduces the Tata Quant Fund, an open-ended equity scheme that uses a quant-based investing theme. The fund selects stocks for its portfolio based on a quantitative machine learning model developed by Tata Mutual Fund. The fund aims to consistently achieve returns better than the index while avoiding negative absolute returns. It uses factor strategies like value, quality, and alpha for objective stock selection. The machine learning model considers macroeconomic and security performance parameters to evaluate investment strategies and make buy or hedge decisions.

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    first AI driven mutual fund in India

    Original Title

    TATA quant Fund

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    This document introduces the Tata Quant Fund, an open-ended equity scheme that uses a quant-based investing theme. The fund selects stocks for its portfolio based on a quantitative machine learning model developed by Tata Mutual Fund. The fund aims to consistently achieve returns better than the index while avoiding negative absolute returns. It uses factor strategies like value, quality, and alpha for objective stock selection. The machine learning model considers macroeconomic and security performance parameters to evaluate investment strategies and make buy or hedge decisions.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    111 views4 pages

    TATA Quant Fund

    Uploaded by

    Rodrigues Savio
    This document introduces the Tata Quant Fund, an open-ended equity scheme that uses a quant-based investing theme. The fund selects stocks for its portfolio based on a quantitative machine learning model developed by Tata Mutual Fund. The fund aims to consistently achieve returns better than the index while avoiding negative absolute returns. It uses factor strategies like value, quality, and alpha for objective stock selection. The machine learning model considers macroeconomic and security performance parameters to evaluate investment strategies and make buy or hedge decisions.

    Copyright:

    © All Rights Reserved
    Download as PDF, TXT or read online from Scribd
    Download as pdf or txt
    of 4

    Introducing Tata Quant Fund

    A Machine Driven Investment Strategy

    QUANT FUND
    (An open-ended equity scheme
    following quant based investing theme)

    NFO OPENS : 03RD JANUARY, 2020 | NFO CLOSES : 17TH JANUARY, 2020

    This product is suitable for investors who are seeking*:


    • Medium to Long Term Capital Appreciation.
    • Investment in equity & equity related instruments selected based on quant model.
    * Investors should consult their financial advisors if in doubt about whether the product
    is suitable for them.

    Mutual Fund investments are subject to market risks, read all scheme related documents carefully.
    WHAT ARE QUANT FUNDS ?

    Quant Funds select stocks in their portfolio based on quantitative decision-making frameworks. In case of actively
    managed funds, buying and selling decisions are undertaken by the Fund Manager. In contrast, machine learning based
    statistical models recommend buy or sell as set out in the fund's objective.

    Statistical model used in Quant Funds are developed and managed by the Fund House by leveraging data on
    parameters that impact price movements of underlying securities.

    ADVANTAGES OF QUANT FUNDS

    Quant funds tend to have the following advantages:

    § Leverage the strength of Artificial Intelligence (AI) & Machine Learning (ML) for investment strategy formulation

    § Ability to handle massive computational intensity for stock selection & allocation

    § Reduce human bias, error and emotion.

    § Restrict choice of stocks based on the model (algorithm).

    § Consistency in strategy

    § Additional investment option for investors

    § Disciplined investment process, offering superior risk control

    TATA QUANT FUND

    Tata Quant Fund is a quant model-based Fund which uses internally developed machine learning based model to make
    investment decisions.

    KEY HIGHLIGHTS

    § The Fund would invest in stocks which form part of S&P BSE 200 or Equity Derivative Segment stocks

    § Fund aims to

    § Consistently achieve better returns than the index

    § Avoid negative absolute returns

    § Use factor Strategies viz. Value, Quality, Alpha for objective stock selection & portfolio allocation

    § Embedded Machine Learning modules in the investment process so that the factor selection framework evolve as
    the market changes

    § Periodically rebalance on the basis of latest economic & market information. This helps in improving portfolio
    performance and mitigate risk
    UNDERSTANDING TATA QUANT FUND STRATEGY LANDSCAPE

    FACTOR STRATEGIES USED IN THE QUANT MODEL

    Linear combina on of 4 parameters:


    Value PE, P/B, RoCE, Div Yield

    Value Combina on of 7 parameters of


    Single Factor Alpha
    Quality Value and Quality

    Combina on of 4 Parameters from Quality Combina on of 3 Parameters:


    Quality RoE, D/E, EPS growth variability
    Quality & Alpha Alpha

    ROCE – Return on Capital Employed • ROE – Return on Equity • EPS – Earnings Per Share • D/E – Dividend/Earnings
    • P/E – Price to Earnings

    APPLICATION OF MACHINE LEARNING IN INVESTMENT DECISION


    Tata Quant Fund uses Machine Learning in its Investment decisions.

    The Machine Learning Models work on two broad categories of input variables:

    a) Macro-Economic: Domestic Macroeconomic Data, Global Equity Indices, Dispersion between expected and real
    Index earnings, Yield Spreads, Credit Spread, India Volatility index etc.

    b) Security Performance Parameters: Price momentum, Jensen Alpha, P/E, P/B, ROCE, D/E, D/Y, ROE, EPS
    Evaluates which factor Strategy (Alpha, Value & Quality etc.) worked in a Macro
    Por olio Strategy
    01 Selec on
    scenario and select an op mal por olio with a combina on of top ranked stocks
    within the factor strategy.

    Evaluates whether the Macro condi ons and various strategy scenarios favor
    Invest or Factor strategy investment or may lead to fall in por olio performance.
    02 Hedge Decision Based on the evalua on, the Model makes the Buy or Hedge (Current por olio)
    decision

    Machine learning algorithm is used to predict upturn or downturn in forthcoming month. Variables on which the
    Algorithm is based includes among other factors:

    § Historic momentum for each factor model & absolute returns

    § Economic parameters (domestic & international)

    (These are illustrative in nature and may include other factors based on market behavior)

    Other Details of Fund:

    Scheme Name TATA QUANT FUND

    NFO Date NFO OPENS: 3rd January 2020 • NFO CLOSES: 17th January 2020

    Investment Objective The investment objective of the scheme is to generate medium to long-term
    capital appreciation by investing in equity and equity related instruments
    selected based on a quantitative model (Quant Model).

    However, there is no assurance or guarantee that the investment objective of the


    Scheme will be achieved. The scheme does not assure or guarantee any returns.

    Type of Scheme An open-ended equity scheme following quant-based investing theme

    Fund Manager Sailesh Jain

    Benchmark S&P BSE 200 TRI

    Min. Investment Amount Rs. 5,000/- and in multiple of Re.1/- thereafter.


    Additional Investment: Rs 1,000/- and in multiple of Re 1/- thereafter.

    Load Structure Entry Load (During NFO): N.A.


    Exit Load: 1% of the applicable NAV, if redeemed/switched out on or before expiry
    of 365 days from the date of allotment.

    Distributed by:

    Call: 022 - 6282 7777 (Monday to Saturday 9:00 am to 5:30 pm)


    www.tatamutualfund.com

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