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How AI assists the CIU investment analyst with S-REITS Mandate Portfolio Management.
Corporate Investment Unit (CIU) sits within GFCS, Group Central Treasury (GCT).
One of CIU’s responsibilities is to manage a semi-discretionary mandate, also known as the S-REITS Mandate, to invest in REITS and Business Trusts, established to support Equities and Capital Markets (ECM)’s equity franchise building.
Occasionally, CIU is offered the chance to invest in certain S-REITS equities from an approved S-REITS list, and it has to form a view on the risk-reward potential of the investment. After investment, CIU closely monitors its holdings for the most opportune manner to divest them over time.
Since 2023, CIU has been collaborating with Data Management Office (DMO) to apply data science driven techniques to assist the investment analyst in the investment decision making process.
One of the key deliverables is a Deep Learning based price prediction model, with the feature to forecast a price distribution a couple of months into the future, by learning predictive time series patterns in price, macro-economic and company fundamentals data.
The model is able to show the relative importance of these drivers in affecting the price, and thus provide much insight into the inner workings of the model, and functions as an important check whether the model reasoning is explainable and sound.
With this model, CIU is able to apply risk-based buying and selling strategies that suit its conservative investment approach.
Comprehensive backtesting under the bank measurement framework shows that the model default strategy outperforms the passive default strategy, returning significant economic value, since the start of the S-REITS Mandate from late 2021.
This project was shortlisted as finalist for “The Banking Tech Awards 2023” for best use of AI/ML category.
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