Grant: Engage Plus Grants Program

Highstreet Asset Management Inc. is an investment management firm based in London, Ontario. It providesdiscretionary money management services to individual investors, foundations, pension plans, and institutionalinvestors. As data becomes more readily accessible and grows exponentially, quantitative analysts atHighstreet are looking for efficient ways to analyze stock market data. Currently, Highstreet Analysts manuallytest and build stock selection models for creating portfolios. This process can be quite time-consuming. Thiscreates an urgent need for using modern machine learning technique to quickly discover non-linear relationshipand exploits its impact on investment performance.Within the original project supported by the Engage Grant, we collected and prepared stock market data to usefor training and validating machine learning models. Several of these models were then rigorously tested byHighstreet and compared with handcrafted models, with promising results. Highstreet is very happy with theperformances achieved with the help of the Engage Grant, and has decided to contribute $12,500 towards thecontinuation of the project to further improve machine learning models in the Engage Plus.With the help of the Engage Plus Grant, key ways we plan to improve and extend our existing work are byusing independent models for sectors of the stock market, making better use of textual data and data over alonger period of time window, and improving model performance evaluation.As we work with Highstreet and aim to provide better investing strategies for Canadian companies andindividuals, we will generate indirectly economic and social benefits for Canadians.