The 3 day / module hands-on training will provide the participants with a solid foundation for portfolio analytics and data visualization in the open source software R, one of the fastest growing open source communities worldwide. The course will give the participants valuable insights into downloading financial data directly into R, performing investment Analytics with this data, and creating captivating visuals & compelling Market/Risk Dashboards. No coding experience is required. The course is an introductory level course for R. All code will be shared and provided to the participants. Full overview of available online materials will be shared too. Including an overview of financial packages to be used for further Investment Analytics, including Derivative Pricing. Participants do need to bring their laptop / notebook. Installation guidelines for R & RStudio will be provided before the course commences.
Course Overview
Module Date & Time Details Fee (per module)
1 Sat, 16th January
9:00 am - 1:00 pm
Introduction to R & RStudio, understanding & utilizing the power of R. Downloading financial data directly into R
HKSFA Member @HK$1,100 Non-member @HK$1,650 2 Sat, 23rd January 9:00 am - 1:00 pm
Performance Analytics with R. Calculating Performance Ratios, including Sharpe, Sortino, Kelly & Martin Ratio. Risk Analysis, kurtosis, VaR, CVaR.
Introduction to Fundamental & Technical Analysis in R HKSFA Member @HK$1,100 Non-member @HK$1,650 3 Sat, 30th January
9:00 am - 1:00 pm Data Visualization of Financial Markets including Market Risk Dashboards
HKSFA Member @HK$1,100 Non-member @HK$1,650 Participants do need to bring their laptop / notebook. Installation guidelines for R & RStudio will be provided before the course commences.
HKSFA is recognized by The Securities and Futures Commission (SFC) as an institution for providing Continuous Professional Training (CPT) Program. This workshop (per module) is qualified for 3.5 CPT hours.
As the recognized institution approved under SFC’s CPT Program, the 3.5 CPT hours of this workshop (per module) are to receive due recognition from the Mandatory Provident Fund Scheme Authority (MPFA) as non-core CPD hour.
This event is also qualified for 3.5 Continuing Professional Development (CPD) Hours for Registered Business Valuers (RBV) of Business Valuation Forum (BVF).
As a participant in the CFA Institute Approved-Provider of Continuing Education Program, the Hong Kong Society has determined that the above event qualifies for credit for the CFA Institute Continuing Education Program.
Date:
16th, 23rd, 30th January 2016
(Saturday)
Venue:
14/F, BOC Group Life Assurance Tower, 136 Des Voeux Road Central, Hong Kong
(HKSFA will move to this new office in mid-Dec.)
Time:
Registration & Set up – 8:45 am Presentation – 9:00 am – 1:00 pm Language: English *Fee: HKSFA Member @ HK$1,100 Non-member @ HK$1,650 (per module) 3.5 CPT / CPD / CE hours per module
* Advanced - Highly focused technical
*Workshop Ratings
1. General - Material presented will be basic and of interest to a general audience having no background in the area.
2. Intermediate - Material presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation.
3. Advanced - Highly focused technical presentations of interest to participants with a high level of technical knowledge in the subject area.
4. Unrated - HKSFA has yet to receive sufficient information to grade the content of these workshops
Training Workshops
Highlights of the Workshops:
Modules
Module 1
(Saturday, 16th January, 9:00 am - 1:00 pm)
•
Session 1: Introduction to Open Source Software R Introduction to R & RStudio IDE Data structures & Data manipulation Importing & Exporting Financial Data
o Importing Stock Data from the web o Importing Stock Financials from the web
Extracting Fundamentals from the Balance-Sheet Extracting Fundamentals from the Cash-Flow Statement o Importing Economic data from FRED®
• Session 2: Utilizing the power of R Introduction to the apply family
o Exercise: calculating statistics for 100 stocks
o Exercise: calculating the CAPM alpha and beta for DJIA stocks xts objects (time series)
o Calculating return dynamics, variance & standard deviation for any time period o Calculating rolling means, standard deviations & correlations.
(*Rating: Intermediate)
Module 2
(Saturday, 23rd January, 9:00 am - 1:00 pm)
• Session 1: Performance Analytics for Financial Markets Calculating Financial Stress indicators
o Fast computation of Annualized Returns
o Calculating Different measures of volatility based on Open, High, Low & Close stock data, including Garman-Klauss & Parkinson
o Capturing Skew & Kurtosis o Calculating Value at Risk
o Calculating historical Drawdowns. Calculating Performance Ratios
o Calculating Sharpe, Information, Sortino. Kelly, Pain, Martin Ratios o Calculating Portfolio Performance
• Session 2: Fundamental & Technical Analysis Introduction to Fundamental Analysis with R Introduction to Technical Analysis with R
o Candlestick Charts, Moving Averages, Bollinger Bands & RSI (*Rating: Intermediate)
Module 3
(Saturday, 30th January, 9:00 am - 1:00 pm)
Module 3:
• Session 1: Data Visualization for Financial Markets Introduction to GGPLOT2
o Exercise: Creating Box-plots, violin plots & histograms for financial markets o Exercise: Creating a multi-stock performance overview
Maximizing the power of GGPLOT, using faceting
Combining graphics together. Incorporating corporate logo’s • Session 2: Risk Dash-Boards for Financial Markets
Capturing the return dynamics and dividend performance of Stocks o Exercise: Creating an overview of the Aristocrats
Plotting Fundamentals for one Stock Plotting TreeMaps
Creating correlation heatmaps
Module 3 will be concluded with a brief 15 min “Future R” session covering:
1. Brief review of other packages available in R for Investment Analytics & Graphics; 2. Review of powerful Reference Materials including websites & online tutorials; 3. How to efficiently gain more understanding of R;
(*Rating: Advanced)
The training will be complemented with a list of research, reference materials and R Scripts to provide the participants with a solid understanding of Investment Analytics & Data Visualization with the open source software R.
About the Instructor:
Mr. Mark C. Hoogendijk, CFA, CAIA Managing Director
E8 Consulting Asia
Mr. Mark C. Hoogendijk is an established derivatives & investment professional with more than 15 years’ experience. His expertise lies within Risk Analysis of Investment Portfolios, Asset & Liability Management, and Capital Management.
Over the 12 years here in Asia, he has worked closely with Insurance companies, Pension Funds & Asset Managers in Hong Kong, Taiwan, Singapore, Malaysia and Australia understanding their needs, conducting risk analysis and finding viable & suitable hedging strategies for their existing investment portfolios.
The first 12 years of his career, Mark worked within the Financial Markets division of large financial institutions such as ABN AMRO, BNP Paribas & Credit Suisse. Since 2012, Mark has been working as an Investment & Risk Consultant with E8 Consulting Asia, focusing on Investment, Risk & Derivative analytics with Open Source Software, such as R.
Mark has a Masters in Chemical Engineering from the University of Technology, Delft, Netherlands. He is a CFA and CAIA charterholder and a member of the Hong Kong Society of Financial Analysts.
Registration:
1. Interested parties are requested to register online at http://www.hksfa.org. 2. Registration is only confirmed upon receipt of payment.
3. For cheque payment, cheques should be crossed and made payable to “HKSFA” and posted to Room 1802, 18th Floor, 1
Duddell Street, Central, Hong Kong.
4. A place will be reserved for registrant upon successful online registration with email notification of registration details. 5. After completing the online registration and payment process, registrants will receive email notifications with registration
details. A reminder will also be sent before the event begins. If you have not received the email notification and reminder from HKSFA, it is the delegate’s responsibility to contact HKSFA to confirm their place.
Policy for Substitutions, Cancellations and No Show:
1. Registrations should be paid in full before the commencement of the event. Immediate payment is required upon email confirmation. Should the registration fee remains outstanding, HKSFA reserves the right to disallow entrance to the event. 2. Full amount will still be charged for no show or enrolment made after Friday, 8th January 2016, this would include those
whose payment mode is “by cheque” but have not sent in the cheque to complete the payment process.
3. An administration fee HK$50 will be charged for any cancellation of confirmed enrollment made on or before Friday, 8th
January 2016. All cancellation requests must be made in writing and be confirmed by email from HKSFA.
4. Refund of the event fee (less an administration fee of HK$50 per person) will be given for cancellation received on/before Friday, 8th January 2016.
- For payment made by credit card, refund will be handled through the bank, please allow 4 to 6 weeks for processing. The amount will be refunded to the paid credit card account.
- For registrants whose payment mode is “by cheque”, even if the cheque has not been sent to HKSFA in full amount, the HK$50 administration fee is also applicable and must be settled by registrants.
- For payment made by cash, HKSFA will arrange the refund cheque sending to registrants by mail, the amount will be the event fee less the administration fee HK$50.
5. No refund will be given for cancellation received after Friday, 8th January 2016. For registrant whose payment mode is “by
cheque” but have not sent in the cheque to complete the payment process, will still have to settle the event fee in full amount. 6. Substitutions are allowed. Please notify us prior to the event. Non-member rate applies if the substitute is not an HKSFA
member.
7. The Society reserves the right to change the venue, date or speaker of the event due to unforeseen circumstances.
8. To be awarded CPT/CPD/CE credit hours, full attendance of all parts of the event is required. No pro-rata credit hours will be awarded.
