1.
Alternative Data. 대체데이타라고 번영합니다. 일반적으로 투자 및 자산운용할 때 보편적으로 사용해왔던 시장 정보(시장, 원자재, 환율 등)나 기업 재무, 경제 지표 등을 제외한 모든 데이터를 말합니다. ‘모든’이라는 표현속에서 정형외에 비정형데이타까지를 포함합니다. 블로그에서 처음으로 Alternative Data를 소개한 때가 2016년입니다.
Alternative data is the new alpha
이후 같은 주제로 여러번 글을 썼고 국내로 보면 마이데이타(Mydata)로 구체화되어 나타났습니다. 물론 마이데이타가 alternative Data이지만 집합으로 보면 마이데이타 < Altenative Data 라고 할 수 있습니다.한동안 관심을 가지지 않았던 대체데이타를 다시금 소환해보려고 합니다.
우선 해외의 경우 어느 정도인지를 살펴보고자 합니다. 2019년 기사인 The explosion of ‘alternative’ data gives regular investors access to tools previously employed only by hedge funds 가 전한 현황입니다. “피할 수 없거나 포기하여야 하거나” 하는 상황입니다.
“Alternative data” is going mainstream as fund managers are projected to spend more than $1 billion this year to beat the market averages and stave off the rise of low-cost passive investing.
The explosive growth in the amount of alternative data sets — an array of information gleaned from the web, satellites and even consumers’ wallets — hasn’t proved to be a panacea. But what was once considered the domain of quantitatively oriented hedge funds and other well-heeled investors has become a must-have for traditional asset managers struggling to deliver market-beating returns.Traditional investment managers face three options, said Octavio Marenzi, chief executive officer of Opimas, a capital-markets-focused management consulting firm. The first option is to embrace alternative data and effectively adopt a more quantitative approach. The second is to go into passive investing, tracking an index and abandoning research altogether. “And the third option is to go home and give up,” he told MarketWatch.
구체적으로 헤지펀드 운용자들이 생각하는 대체데이타는 무엇일까요? The top three ‘alternative data’ sets used by hedge funds의 설명입니다.
n a report commission by the Alternative Investment Management Association (AIMA) in collaboration with fund service group SS&C, it was found that 53% of the 100 hedge funds polled, who run a combined $720bn, were now turning to non-traditional data sets for new ideas.
The report, called ‘Casting the net’, examined how the use of means beyond company records and manager meetings had expanded to include diverse measures such as weather patterns and satellite imagery.
이 기사는 The Alternative Investment Management Association이 만든 Casting the Net How Hedge Funds are Using Alternative Data를 기초로 합니다.
보고서중 대체데이타의 소스와 관련한 부분은 앞서 기사중 아래 부분과 거의 일치합니다.
Four popular types of alternative data and how they’re used
Web scraping: The most widely used form of alternative data, according to research firm Greenwich Associates, web scraping collects data from targeted websites in a bid to gain information on brands, companies and corporate activity. Types of web-scraped data in high demand include job listings and employee-satisfaction rankings, which can offer clues to a company’s growth prospects, according to the Greenwich report. Data providers also pay attention to product rankings and sales promotions, looking for clues to the performance of individual brands and companies.
Satellites and aerial surveillance: Satellite images can be used to count cars in parking lots, a potential source of insight into sales activity for retailers or output at factories. Industry professionals caution, however, that satellite and other types of aerial surveillance data are best supplemented with other types of data able to provide more detailed estimates of actual foot traffic when it comes to gauging retail sales. Satellites are also used to track ships, monitor crops and detect activity in ports and oil fields.
Credit-card data: Investors are looking for insights straight from the cash register. Some data providers have put together large panels of consumers who agree to share their credit- and debit-card activity. Panels made up of more than 3 million consumers are considered big enough to be useful, according to industry trade group AlternativeData.org, which noted that the resulting data are among the most expensive on offer and are often used to track retail revenue.
Sentiment: Social-media feeds, news flow, corporate announcements and other items are monitored and analyzed for clues to sentiment on stocks, products and the economy. Data sleuths are also analyzing language used by executives on earnings calls and elsewhere for clues to corporate prospects.
이상의 흐름은 금융투자협회가 발표한 2021 글로벌 자산관리시장 트렌드 조사보고와도 일치합니다.
2.
Alpha을 찾기 위한 노력뿐 아니라 경제전망에서도 Alt-Data를 활용하고 있습니다. Improving Economic Forecasting with Alternative Data을 보면 Alt-Data를 이용하여 경제전망을 한 골드막삭스의 사례가 나옵니다. 2020년 9월 발표한 보고서 The Post-Pandemic Economy (Choi)중 일부입니다. E-commerce 성장흐름과 관련한 새로운 전망을 담고 있습니다. 그런데 이 예측의 토대를 이룬 데이타는 Alt-Data입니다.
A third major change from the coronavirus has been the shock to migration patterns,with residents leaving dense and expensive urban cities. Widespread anecdotes of Manhattanites fleeing for the suburbs and other less dense areas in droves are corroborated by surveys, mail forwarding requests, garbage collections, movingcompanies, and smartphone mobility data.
좀더 이용사례를 살펴보겠습니다. Alternative Data와 관련한 월스트리트 보고서들에서 Eagle Alpha의 대체데이타 사용사례를 소개하였습니다. Edition 4 였는데 Edition 5가 나와서 첨부합니다.
2017년에 나온 Alpha from Alt Data 을 보면 보고서를 인용하여 데이타유형별 이용사례를 소개합니다.
덧붙여 Alt-Data에 적극적인 투자회사도 실렸습니다.
그러면 도입하면 성과를 낼 수 있을까요? 그렇게 쉬운 문제는 아닌 듯 합니다. 아래 논문들은 투자회사가 Alt-Data를 도입할 때 발생할 수 있는 문제 및 해결방안을 다루고 있습니다.
Rethinking Alternative Data in Institutional Investment
Alternative Data in Investment Management: Usage, Challenges and Valuation
마지막으로 위 논문을 보시면 JP Morgan의 유명한 Big Data and AI Strategies – Machine Learning and Alternative Data Approach to Investing도 인용합니다. 다시금 읽어보셔도..
