MOMENTUM MULTI-ASSET VALUE TRUST PLC Research Report

## Summary

A speculator on a Stock Market, aside from having money to spare, needs at least one other thing — a means of producing accurate and understandable predictions ahead of others in the Market, so that a tactical and price advantage can be gained. This work demonstrates that it is possible to predict one such Market to a high degree of accuracy. We evaluate MOMENTUM MULTI-ASSET VALUE TRUST PLC prediction models with Modular Neural Network (Market Volatility Analysis) and Sign Test1,2,3,4 and conclude that the LON:MAVT stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold LON:MAVT stock.

## Key Points

1. Can machine learning predict?
2. Probability Distribution
3. What are main components of Markov decision process?

## LON:MAVT Target Price Prediction Modeling Methodology

We consider MOMENTUM MULTI-ASSET VALUE TRUST PLC Stock Decision Process with Modular Neural Network (Market Volatility Analysis) where A is the set of discrete actions of LON:MAVT stock holders, F is the set of discrete states, P : S × F × S → R is the transition probability distribution, R : S × F → R is the reaction function, and γ ∈ [0, 1] is a move factor for expectation.1,2,3,4

F(Sign Test)5,6,7= $\begin{array}{cccc}{p}_{a1}& {p}_{a2}& \dots & {p}_{1n}\\ & ⋮\\ {p}_{j1}& {p}_{j2}& \dots & {p}_{jn}\\ & ⋮\\ {p}_{k1}& {p}_{k2}& \dots & {p}_{kn}\\ & ⋮\\ {p}_{n1}& {p}_{n2}& \dots & {p}_{nn}\end{array}$ X R(Modular Neural Network (Market Volatility Analysis)) X S(n):→ (n+4 weeks) $∑ i = 1 n a i$

n:Time series to forecast

p:Price signals of LON:MAVT stock

j:Nash equilibria (Neural Network)

k:Dominated move

a:Best response for target price

For further technical information as per how our model work we invite you to visit the article below:

How do AC Investment Research machine learning (predictive) algorithms actually work?

## LON:MAVT Stock Forecast (Buy or Sell) for (n+4 weeks)

Sample Set: Neural Network
Stock/Index: LON:MAVT MOMENTUM MULTI-ASSET VALUE TRUST PLC
Time series to forecast n: 21 Nov 2022 for (n+4 weeks)

According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold LON:MAVT stock.

X axis: *Likelihood% (The higher the percentage value, the more likely the event will occur.)

Y axis: *Potential Impact% (The higher the percentage value, the more likely the price will deviate.)

Z axis (Yellow to Green): *Technical Analysis%

## Adjusted IFRS* Prediction Methods for MOMENTUM MULTI-ASSET VALUE TRUST PLC

1. For the purposes of the transition provisions in paragraphs 7.2.1, 7.2.3–7.2.28 and 7.3.2, the date of initial application is the date when an entity first applies those requirements of this Standard and must be the beginning of a reporting period after the issue of this Standard. Depending on the entity's chosen approach to applying IFRS 9, the transition can involve one or more than one date of initial application for different requirements.
2. An entity has not retained control of a transferred asset if the transferee has the practical ability to sell the transferred asset. An entity has retained control of a transferred asset if the transferee does not have the practical ability to sell the transferred asset. A transferee has the practical ability to sell the transferred asset if it is traded in an active market because the transferee could repurchase the transferred asset in the market if it needs to return the asset to the entity. For example, a transferee may have the practical ability to sell a transferred asset if the transferred asset is subject to an option that allows the entity to repurchase it, but the transferee can readily obtain the transferred asset in the market if the option is exercised. A transferee does not have the practical ability to sell the transferred asset if the entity retains such an option and the transferee cannot readily obtain the transferred asset in the market if the entity exercises its option
3. Rebalancing is accounted for as a continuation of the hedging relationship in accordance with paragraphs B6.5.9–B6.5.21. On rebalancing, the hedge ineffectiveness of the hedging relationship is determined and recognised immediately before adjusting the hedging relationship.
4. In cases such as those described in the preceding paragraph, to designate, at initial recognition, the financial assets and financial liabilities not otherwise so measured as at fair value through profit or loss may eliminate or significantly reduce the measurement or recognition inconsistency and produce more relevant information. For practical purposes, the entity need not enter into all of the assets and liabilities giving rise to the measurement or recognition inconsistency at exactly the same time. A reasonable delay is permitted provided that each transaction is designated as at fair value through profit or loss at its initial recognition and, at that time, any remaining transactions are expected to occur.

*International Financial Reporting Standards (IFRS) are a set of accounting rules for the financial statements of public companies that are intended to make them consistent, transparent, and easily comparable around the world.

## Conclusions

MOMENTUM MULTI-ASSET VALUE TRUST PLC assigned short-term Baa2 & long-term B2 forecasted stock rating. We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) with Sign Test1,2,3,4 and conclude that the LON:MAVT stock is predictable in the short/long term. According to price forecasts for (n+4 weeks) period: The dominant strategy among neural network is to Hold LON:MAVT stock.

### Financial State Forecast for LON:MAVT MOMENTUM MULTI-ASSET VALUE TRUST PLC Stock Options & Futures

Rating Short-Term Long-Term Senior
Outlook*Baa2B2
Operational Risk 7785
Market Risk6436
Technical Analysis6474
Fundamental Analysis7644
Risk Unsystematic8836

### Prediction Confidence Score

Trust metric by Neural Network: 92 out of 100 with 691 signals.

## References

1. C. Wu and Y. Lin. Minimizing risk models in Markov decision processes with policies depending on target values. Journal of Mathematical Analysis and Applications, 231(1):47–67, 1999
2. Abadir, K. M., K. Hadri E. Tzavalis (1999), "The influence of VAR dimensions on estimator biases," Econometrica, 67, 163–181.
3. Banerjee, A., J. J. Dolado, J. W. Galbraith, D. F. Hendry (1993), Co-integration, Error-correction, and the Econometric Analysis of Non-stationary Data. Oxford: Oxford University Press.
4. Swaminathan A, Joachims T. 2015. Batch learning from logged bandit feedback through counterfactual risk minimization. J. Mach. Learn. Res. 16:1731–55
5. Cheung, Y. M.D. Chinn (1997), "Further investigation of the uncertain unit root in GNP," Journal of Business and Economic Statistics, 15, 68–73.
6. Bai J, Ng S. 2017. Principal components and regularized estimation of factor models. arXiv:1708.08137 [stat.ME]
7. Bai J, Ng S. 2002. Determining the number of factors in approximate factor models. Econometrica 70:191–221
Frequently Asked QuestionsQ: What is the prediction methodology for LON:MAVT stock?
A: LON:MAVT stock prediction methodology: We evaluate the prediction models Modular Neural Network (Market Volatility Analysis) and Sign Test
Q: Is LON:MAVT stock a buy or sell?
A: The dominant strategy among neural network is to Hold LON:MAVT Stock.
Q: Is MOMENTUM MULTI-ASSET VALUE TRUST PLC stock a good investment?
A: The consensus rating for MOMENTUM MULTI-ASSET VALUE TRUST PLC is Hold and assigned short-term Baa2 & long-term B2 forecasted stock rating.
Q: What is the consensus rating of LON:MAVT stock?
A: The consensus rating for LON:MAVT is Hold.
Q: What is the prediction period for LON:MAVT stock?
A: The prediction period for LON:MAVT is (n+4 weeks)