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ABSTRACT
Two ETFs were listed to track the secondary-battery industry on 12 September 2018 in the Korea Stock Exchange market. They are virtually identical except that one is designed by humans while the other is made by machines. This paper compares the two ETFs and find little difference in their investment strategies except that machines are more likely to pick high book-to-market stocks than humans. Machines are also more likely to pick past losers and outperform human-designed ETF afterwards. The results suggest that machines can do equally good as humans as ETF/index designers.
Disclosure statement
No potential conflict of interest was reported by the author.
Notes
1 The startup company changed its name from Uberple to DeepSearch in July 2018.
2 The number of samples in the Tiger-only group decreased to 4 because Tiger recently rebalanced their portfolio and added new securities, thus which do not have stock-return data prior to the event date.