Maybank Kim Eng (MKE) is a local stock-broking firm looking to adopt data science into their research process. As MKE's first data science intern, I am responsible for spearheading MKE's thrust towards data-driven investing.
- Developed a model that forecasts expected stock returns and select stocks using factors correlated to long-term returns. Features were calculated based on historical stock price patterns and financial data.
- Used robust regression methods to prevent overfitting and ensure reliability of expected return forecasts.
- Built a portfolio optimization tool that recommends portfolios based on a given risk/return profile.
- Backtested returns outperformed the index by 1/5 on a risk adjusted basis.