AC Investment Research

KTF DWS Municipal Income Trust Research Report

Outlook: DWS Municipal Income Trust assigned short-term Ba1 & long-term Ba1 estimated rating.
Dominant Strategy : Hold
Time series to forecast n: 25 Dec 2022 for (n+16 weeks)
Methodology : Transductive Learning (ML)

Abstract

Prediction of the Stock Market is a challenging task in predicting the stock prices in the future. Due to the fluctuating nature of the stock, the stock market is too difficult to predict. Stock prices are constantly changing every day. Estimating of the stock market has a high demand for stock customers. Applying all extracted rules at any time is a major challenge to estimate the future stock price with high accuracy. The latest prediction techniques adopted for the stock market such as Artificial Neural Network, Neuro-Fuzzy System, Time Series Linear Models (TSLM), Recurrent Neural Network (RNN).(Bhardwaj, N. and Ansari, M.A., 2019. Prediction of stock market using machine learning algorithms. International Research Journal of Engineering and Technology, 6(5).) We evaluate DWS Municipal Income Trust prediction models with Transductive Learning (ML) and ElasticNet Regression1,2,3,4 and conclude that the KTF stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period, the dominant strategy among neural network is: Hold

Key Points

  1. What are buy sell or hold recommendations?
  2. What is a prediction confidence?
  3. Nash Equilibria

KTF Target Price Prediction Modeling Methodology

We consider DWS Municipal Income Trust Decision Process with Transductive Learning (ML) where A is the set of discrete actions of KTF 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(ElasticNet Regression)5,6,7= p a 1 p a 2 p 1 n p j 1 p j 2 p j n p k 1 p k 2 p k n p n 1 p n 2 p n n X R(Transductive Learning (ML)) X S(n):→ (n+16 weeks) R = 1 0 0 0 1 0 0 0 1

n:Time series to forecast

p:Price signals of KTF 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?

KTF Stock Forecast (Buy or Sell) for (n+16 weeks)

Sample Set: Neural Network
Stock/Index: KTF DWS Municipal Income Trust
Time series to forecast n: 25 Dec 2022 for (n+16 weeks)

According to price forecasts for (n+16 weeks) period, the dominant strategy among neural network is: Hold

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 (Grey to Black): *Technical Analysis%

IFRS Reconciliation Adjustments for DWS Municipal Income Trust

  1. The following example describes a situation in which an accounting mismatch would be created in profit or loss if the effects of changes in the credit risk of the liability were presented in other comprehensive income. A mortgage bank provides loans to customers and funds those loans by selling bonds with matching characteristics (eg amount outstanding, repayment profile, term and currency) in the market. The contractual terms of the loan permit the mortgage customer to prepay its loan (ie satisfy its obligation to the bank) by buying the corresponding bond at fair value in the market and delivering that bond to the mortgage bank. As a result of that contractual prepayment right, if the credit quality of the bond worsens (and, thus, the fair value of the mortgage bank's liability decreases), the fair value of the mortgage bank's loan asset also decreases. The change in the fair value of the asset reflects the mortgage customer's contractual right to prepay the mortgage loan by buying the underlying bond at fair value (which, in this example, has decreased) and delivering the bond to the mortgage bank. Consequently, the effects of changes in the credit risk of the liability (the bond) will be offset in profit or loss by a corresponding change in the fair value of a financial asset (the loan). If the effects of changes in the liability's credit risk were presented in other comprehensive income there would be an accounting mismatch in profit or loss. Consequently, the mortgage bank is required to present all changes in fair value of the liability (including the effects of changes in the liability's credit risk) in profit or loss.
  2. An entity must look through until it can identify the underlying pool of instruments that are creating (instead of passing through) the cash flows. This is the underlying pool of financial instruments.
  3. Amounts presented in other comprehensive income shall not be subsequently transferred to profit or loss. However, the entity may transfer the cumulative gain or loss within equity.
  4. A layer component that includes a prepayment option is not eligible to be designated as a hedged item in a fair value hedge if the prepayment option's fair value is affected by changes in the hedged risk, unless the designated layer includes the effect of the related prepayment option when determining the change in the fair value of the hedged item.

*International Financial Reporting Standards (IFRS) adjustment process involves reviewing the company's financial statements and identifying any differences between the company's current accounting practices and the requirements of the IFRS. If there are any such differences, neural network makes adjustments to financial statements to bring them into compliance with the IFRS.

Conclusions

DWS Municipal Income Trust assigned short-term Ba1 & long-term Ba1 estimated rating. We evaluate the prediction models Transductive Learning (ML) with ElasticNet Regression1,2,3,4 and conclude that the KTF stock is predictable in the short/long term. According to price forecasts for (n+16 weeks) period, the dominant strategy among neural network is: Hold

KTF DWS Municipal Income Trust Financial Analysis*

Rating Short-Term Long-Term Senior
Outlook*Ba1Ba1
Income StatementBa3Baa2
Balance SheetCaa2Baa2
Leverage RatiosB1C
Cash FlowBaa2Baa2
Rates of Return and ProfitabilityB3Ba1

*Financial analysis is the process of evaluating a company's financial performance and position by neural network. It involves reviewing the company's financial statements, including the balance sheet, income statement, and cash flow statement, as well as other financial reports and documents.
How does neural network examine financial reports and understand financial state of the company?

Prediction Confidence Score

Trust metric by Neural Network: 81 out of 100 with 500 signals.

References

  1. Alpaydin E. 2009. Introduction to Machine Learning. Cambridge, MA: MIT Press
  2. Semenova V, Goldman M, Chernozhukov V, Taddy M. 2018. Orthogonal ML for demand estimation: high dimensional causal inference in dynamic panels. arXiv:1712.09988 [stat.ML]
  3. Jacobs B, Donkers B, Fok D. 2014. Product Recommendations Based on Latent Purchase Motivations. Rotterdam, Neth.: ERIM
  4. T. Shardlow and A. Stuart. A perturbation theory for ergodic Markov chains and application to numerical approximations. SIAM journal on numerical analysis, 37(4):1120–1137, 2000
  5. Clements, M. P. D. F. Hendry (1996), "Intercept corrections and structural change," Journal of Applied Econometrics, 11, 475–494.
  6. Athey S, Wager S. 2017. Efficient policy learning. arXiv:1702.02896 [math.ST]
  7. Bengio Y, Schwenk H, Senécal JS, Morin F, Gauvain JL. 2006. Neural probabilistic language models. In Innovations in Machine Learning: Theory and Applications, ed. DE Holmes, pp. 137–86. Berlin: Springer
Frequently Asked QuestionsQ: What is the prediction methodology for KTF stock?
A: KTF stock prediction methodology: We evaluate the prediction models Transductive Learning (ML) and ElasticNet Regression
Q: Is KTF stock a buy or sell?
A: The dominant strategy among neural network is to Hold KTF Stock.
Q: Is DWS Municipal Income Trust stock a good investment?
A: The consensus rating for DWS Municipal Income Trust is Hold and assigned short-term Ba1 & long-term Ba1 estimated rating.
Q: What is the consensus rating of KTF stock?
A: The consensus rating for KTF is Hold.
Q: What is the prediction period for KTF stock?
A: The prediction period for KTF is (n+16 weeks)

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