Discovering Intelligence

In Unstructured Content

CONFIDENTIAL | Copyright © 2019 | Alexandria Investment Research and Technology, Inc.

www.alexandriatechnology.com | New York & Los Angeles
ACTA Streaming Data Feeds

ACTA™
Thinks like a human –
Performs like a machine™

Multiple Classification Systems in Production

• Company News Classifier
• Economic News Classifier
• Earnings Call Transcripts
• ESG
• Native Japanese Company Classifier

Global Coverage
• Global Equity; ~370k records/month across >24k global stocks
• Global Economic; ~57k records/month across 75 economies
• Archives back to 2000-01-01

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 Alexandria Technology – Experts in Machine Learning

Technology originally developed to

decode DNA

Genetic variability requires systems that can

Discover / Assess / Connect
Complex relationships

Which is where Alexandria comes in.

With technology first designed to help

molecular biologists identify cause and effect
within an immense quantity of genomic
information.

Alexandria brings these innovative solutions to

finance.

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 Thinks Like a Human, Performs Like a Machine

Domain experts label news ACTA’s algorithms learn

for sentiment and events the patterns in text

Analyst Labeled
Predicted Positive Neutral Negative
Positive 90.0% 4.2% 3.4%
Neutral 6.8% 93.1% 6.8%
Negative 3.2% 2.7% 89.8%
Total 100.0% 100.0% 100.0%

Select the classifier that

consistently matches the analyst

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 Lexicon Sub-Optimal Results

The simple approach to sentiment analysis is Lexicon Based

Lexicons/dictionaries are likely to fail since they model words, not language

Lexicon accuracy rates up to 80% to the benchmark

*Journal of Computational Linguistics

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ESG News Volume Per Month

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 ESG Specific Classification

Epiroc Exceeds 2018 Energy Efficiency Target; Misses CO2 Goal

Epiroc AB said Wednesday that it improved energy efficiency by 11% compared to sales in 2018, exceeding its 8.2%
target, but added that the company missed its carbon-dioxide emissions target.
The company said it used 7.6 megawatt hours of energy per 1 million Swedish krona ($106,280) in net sales during
the 12 months, an improvement on the 8.5 megawatt hours per SEK1 million in 2017. The company aims to improve
energy efficiency by 12% in 2019. The share of renewable energy also rose to 60% in 2018 from 55% in 2017.
"As the availability of renewable energy increases, we will endeavor to gradually attain CO2-neutral production,".
Despite improving energy efficiency and renewable-energy use, Epiroc missed its 2018 emissions and energy-usage
targets due to requiring more diesel for increased production, testing and transporting to meet higher demand.
Total emissions of CO2 equivalent rose 10% in the year to 163,526 metric tons from 148,237 metric tons in 2017.
As it works to lower its environmental footprint, Epiroc is offering more sustainable and efficient mining equipment…

Unstructured Text Converted to Clean Structured Data

Equities

Country Prob Prob Prob Sentiment Market

Story ID Timestamp Ticker ISIN Relevance Topic Confidence Source
(Exchange) Positive Neutral Negative Score Impact

ZDM4Q1 2019-03-13 SE00111

EPI-A SWE 1.0 ESG/ENVIRONMENT/EMISSIONS 0.0024721 0.178234 0.8192939 -1 0.8192939 0.03 DJN
V… 11:35:12.132 66933

ZDM4Q1 2019-03-13 SE00111

EPI-A SWE 1.0 ESG/ENVIRONMENT/ENERGY 0.9903006 0.0048062 0.0048933 1 0.9903005 0.03 DJN
V… 11:35:12.132 66933

• Sentiment at the topic level

• Each topic gets it’s own unique record and
sentiment scoring

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 ESG Topic Examples

HEADLINE SENTIMENT TOPIC

Norway's Equinor Forges On With Plan to Increase

1 ESG/ENVIRONMENT/ENERGY
Renewables -- Market Talk
Norway's Equinor Looks to Expand US Offshore Wind
1 ESG/ENVIRONMENT/ENERGY/WIND
Position -- Market Talk
German Antitrust Authority Orders Facebook to Stop Data
-1 ESG/SOCIAL/PRIVACY
Collection From Other Apps, Websites Without Consent
OpenInvest and Mirador Capital Launch Fund to Combat
1 ESG/SOCIAL/HUMAN
Heart Disease
FCA US to Make Avg Profit Sharing Payments of $6,000 to
1 ESG/GOVERNANCE/EMPLOYEE
Eligible UAW-Represented Employees >FCAU
While Herbalife CFO, Goudis Told Employee Years Ago to
-1 ESG/GOVERNANCE/COMP
Ignore Limits on Entertainment Expenses -- Sources
Herbalife CEO Goudis Resigned Over Recorded Comments
-1 ESG/GOVERNANCE/COMP
About Bypassing Expense Limits

Chevron to Tie Some Pay to Greenhouse Gas Goals >CVX 1 ESG/GOVERNANCE/COMP

Bondholders See Barriers to Climate Action: Shareaction --

-1 ESG/ENVIRONMENT/CLIMATE
Market Talk

• Streaming news is classified in real-time

• Clean structured data is produced in milliseconds

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ESG Topics

CLIMATE

FIRE

DISASTER MINE
ACCOUNTING
OIL
BOARD CHAIR
EMISSIONS ANIMAL
EXIT
COAL ANTITRUST CEO
NEW
FOSSIL CHARITY

GOVERNANCE
ENVIRONMENT

CFO EXIT
ENERGY NUCLEAR CONSUMER RECALL

SOCIAL
COMP CEO
SOLAR GUNS
DIVERSITY
WIND HUMAN
EMPLOYEE
FOREST LOBBY
EXECUTIVE
OCEAN PRIVACY
GENDER
PLASTIC REGULATION
PROXY
POLLUTION
SHAREHOLDER
RECYCLE

SUSTAINABILITY

WATER • 48 Topics on ESG

• Hierarchical tagging
• High Recall Accuracy
• Topics can be added on request

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 Equity Event Tag Factor Study: S&P 500, Monthly Rebalancing
January 1, 2010 – February 28, 2019
News Aggregation: Monthly. Rebalance at close on last business day of each month
Filters: Relevance = 1.0
Event/Topic = ESG/ENVIRONMENT
Net Sentiment: Log10 (Count Positive+1) / (Count Negative+1))

Quantile Summary For All Periods: S&P 500 14.00%

Avg Annual Standard Sharpe Annual Active 12.00%
Sentiment
Issues Returns Deviation Ratio Returns 10.00%
> 0.45 87 10.22% 12.37% 0.83 0.47% 8.00%
0.1 – 0.45 5 11.30% 18.43% 0.61 1.55% 6.00%
4.00%
-0.1 – 0.1 2 -3.05% 21.27% -0.14 -12.79% 2.00%
-0.45 – -0.1 2 2.76% 27.40% 0.10 -6.99% 0.00%
-2.00%
< -0.45 3 6.04% 24.78% 0.24 -3.70%
-4.00%
Long Short 90 4.18% 18.30% 0.23 1 2 3 4 5

S&P 500 Top Bottom Spread Return Distribution

1 2 3 4 5 6 7 8 9 10 11 12 Annual Std Dev Sharpe SP 500
2010 -5.04% -4.20% -13.99% 1.31% 4.47% -4.14% -1.29% -3.93% -3.34% -2.71% -9.23% -6.40% -39.84% 16.30% -2.44 19.76%
2011 2.62% -3.00% 5.04% -2.11% 0.90% -5.04% 6.41% 13.33% -7.97% -2.63% 3.10% 5.89% 15.70% 20.43% 0.77 2.04%
2012 0.42% 12.04% -0.63% 12.57% -3.27% -1.62% 1.76% -1.18% -9.37% 6.65% -0.62% -7.67% 6.82% 23.49% 0.29 14.15%
2013 -1.55% 2.24% 4.07% -3.93% 6.53% -0.03% 4.07% 3.21% 1.84% 2.13% 1.48% -2.13% 18.92% 10.27% 1.84 18.99%
2014 -2.05% -3.18% 0.78% -2.57% -0.32% -0.39% 1.59% -3.49% -2.12% -2.13% 9.84% 5.55% 0.66% 13.74% 0.05 11.92%
2015 0.78% 7.19% -15.69% 3.61% -1.83% 2.25% -1.67% 2.54% -24.72% -1.71% 2.71% -0.06% -27.45% 31.19% -0.88 -2.74%
2016 0.85% 7.57% -0.68% 5.65% 3.65% 6.67% -1.92% 3.75% 2.99% -2.62% -1.16% 1.47% 28.82% 11.81% 2.44 17.45%
2017 2.25% -1.73% -0.85% 8.34% -0.50% 2.79% 4.81% 1.96% -1.28% -2.86% 0.34% -0.95% 12.45% 11.03% 1.13 23.91%
2018 4.24% 2.86% -4.62% -0.09% 0.17% -0.17% -2.11% -1.84% 7.31% 1.93% -3.48% 1.49% 5.18% 11.64% 0.45 -4.24%
2019 -0.52% 1.64% 6.83% 5.30% 1.29 4.82%

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 Equity Event Tag Factor Study: S&P 500, Monthly Rebalancing
January 1, 2010 – February 28, 2019
News Aggregation: Monthly. Rebalance at close on last business day of each month
Filters: Relevance = 1.0
Event/Topic = ESG/SOCIAL
Net Sentiment: Log10 (Count Positive+1) / (Count Negative+1))

Quantile Summary For All Periods: S&P 500

14.00%
Avg Annual Standard Sharpe Annual Active
Sentiment 12.00%
Issues Returns Deviation Ratio Returns
> 0.45 33 12.89% 13.64% 0.95 1.22% 10.00%
8.00%
0.1 – 0.45 6 5.09% 15.99% 0.32 -6.58%
6.00%
-0.1 – 0.1 5 1.25% 20.15% 0.06 -10.42%
4.00%
-0.45 – -0.1 10 11.62% 13.96% 0.83 -0.05% 2.00%
< -0.45 47 12.14% 14.18% 0.86 0.47% 0.00%
1 2 3 4 5
Long Short 80 0.75% 5.36% 0.14

S&P 500 Top Bottom Spread Return Distribution

1 2 3 4 5 6 7 8 9 10 11 12 Annual Std Dev Sharpe SP 500
2010 1.10% -0.53% 4.31% 1.41% -0.44% 1.37% 1.74% 0.92% -2.25% 0.41% -1.78% 0.38% 6.66% 5.99% 1.11 19.76%
2011 -1.88% -1.04% 1.28% 1.20% 0.55% -0.50% 1.99% 2.00% -0.47% -0.83% -0.01% -1.80% 0.40% 4.71% 0.09 2.04%
2012 -0.05% 1.89% -0.35% 0.33% -0.98% 1.18% -1.15% -0.88% 0.88% 1.22% -2.01% -3.20% -3.19% 5.11% -0.62 14.15%
2013 -1.61% -0.03% -0.27% -1.75% 0.15% 0.40% 0.61% -0.97% 0.75% -2.26% 1.87% 0.14% -2.99% 4.13% -0.72 18.99%
2014 -0.74% 0.91% 0.88% 1.62% -0.32% -1.71% 1.24% -2.50% 2.38% 1.92% 1.03% 0.07% 4.77% 5.13% 0.93 11.92%
2015 0.81% -0.22% -1.41% -0.58% 0.20% -0.48% -1.30% 3.42% -2.42% -2.39% -0.31% 0.73% -4.00% 5.48% -0.73 -2.74%
2016 1.62% 0.41% -3.29% 0.73% -1.93% 1.08% -2.19% 0.39% -0.53% 0.22% 0.01% -1.64% -5.13% 5.20% -0.99 17.45%
2017 -2.40% 0.04% 0.00% 0.38% 1.73% 1.62% 2.64% -1.90% -2.22% -0.65% -0.90% -1.83% -3.59% 5.77% -0.62 23.91%
2018 0.97% 1.12% -1.05% -0.36% 0.98% -0.36% -1.03% 1.05% 0.73% 3.21% 1.38% 5.00% 12.12% 6.01% 2.02 -4.24%
2019 1.92% -1.47% 2.60% 8.30% 0.31 4.82%

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 Equity Event Tag Factor Study: S&P 500, Monthly Rebalancing
January 1, 2010 – February 28, 2019
News Aggregation: Monthly. Rebalance at close on last business day of each month
Filters: Relevance = 1.0
Event/Topic = ESG/GOVERNANCE
Net Sentiment: Log10 (Count Positive+1) / (Count Negative+1))

Quantile Summary For All Periods: S&P 500 16.00%

Avg Annual Standard Sharpe Annual Active
Sentiment 14.00%
Issues Returns Deviation Ratio Returns
12.00%
> 0.45 49 11.00% 13.96% 0.79 -1.21%
10.00%
0.1 – 0.45 47 10.74% 14.40% 0.75 -1.47% 8.00%
-0.1 – 0.1 146 11.96% 14.11% 0.85 -0.25% 6.00%
4.00%
-0.45 – -0.1 35 15.23% 14.62% 1.04 3.02%
2.00%
< -0.45 28 12.91% 14.39% 0.90 0.70%
0.00%
Long Short 77 -1.92% 6.17% -0.31 1 2 3 4 5

S&P 500 Top Bottom Spread Return Distribution

1 2 3 4 5 6 7 8 9 10 11 12 Annual Std Dev Sharpe SP 500
2010 3.03% -1.46% -0.67% -3.38% -0.42% 2.37% 1.30% -0.03% 0.12% 0.71% -4.62% -0.37% -3.62% 7.51% -0.48 19.76%
2011 1.81% -0.24% -0.67% -1.76% 0.55% 2.53% 1.41% -1.70% 1.32% -3.74% 1.36% -1.40% -0.73% 6.44% -0.11 2.04%
2012 -0.07% 0.42% 0.00% -2.77% -1.68% 0.52% -2.54% -1.91% 1.18% -0.44% -1.40% 0.01% -8.43% 4.47% -1.88 14.15%
2013 0.92% 2.67% -0.14% -0.96% 0.59% 1.57% 0.77% -0.04% -1.69% 1.98% 0.64% -1.99% 4.28% 4.89% 0.88 18.99%
2014 -1.18% 1.53% 1.06% -1.35% -2.66% 1.50% -0.39% -2.55% 1.43% 2.13% -0.55% 1.75% 0.55% 5.96% 0.09 11.92%
2015 0.60% 2.05% -2.15% 1.13% -0.93% 1.98% 1.01% 2.61% 0.29% 0.62% -0.35% 2.67% 9.83% 5.03% 1.95 -2.74%
2016 -5.59% -1.57% -2.35% 0.15% 2.23% -1.67% 0.33% -1.05% 1.43% 1.66% -1.23% -0.85% -8.43% 7.33% -1.15 17.45%
2017 -0.42% -1.88% 0.52% 0.39% 0.42% -0.36% 2.68% -0.62% 3.69% -0.47% -0.83% -0.33% 2.68% 5.33% 0.50 23.91%
2018 -0.95% 1.66% -0.10% -0.82% -1.66% -0.33% -3.42% 1.97% -0.85% -3.55% -1.10% 2.53% -6.62% 6.61% -1.00 -4.24%
2019 -1.67% -4.23% -30.25% 6.27% -4.82 4.82%

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Transparency & Personalization

13
 Discovering Intelligence
In Unstructured Content

Dan Joldzic, CFA, FRM Rowan Pritchard Ben Spaeth

CEO Director Quantitative Associate
dan@alexandriatechnology.com rowan@alexandriatechnology.com ben@alexandriatechnology.com
+1 646 759-1442 +1 917 291-3228 +1 845 826-1968

“a sentiment engine based on ideas derived from decoding

the human genome… a money-spinning killer app.”

As Seen In Partner Platforms & Products

Alexandria Technology was named in the ‘Top Big Data Companies To

Work For’, by JP Morgan

CONFIDENTIAL | Copyright © 2019 | Alexandria Investment Research and Technology, Inc. |

www.alexandriatechnology.com | New York & Los Angeles