Training Workshops [RERUN] Investment Analytics & Data Visualization with R

Transcription

1 Training Workshops [RERUN] Investment Analytics & Data Visualization with R 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, 16 th January 2 Sat, 23 rd January 3 Sat, 30 th January Introduction to R & RStudio, understanding & utilizing the power of R. Downloading financial data directly into R 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 Data Visualization of Financial Markets including Market Risk Dashboards 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). Date: 16 th, 23 rd, 30 th 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 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 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. Eligible for 3.5 CE credit hours.

2 Highlights of the Workshops: Modules Module 1 (Saturday, 16 th January, ) 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, 23 rd January, ) 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)

3 Module 3 (Saturday, 30 th January, ) 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.

4 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.

5 Registration: 1. Interested parties are requested to register online at 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, 18 th Floor, 1 Duddell Street, Central, Hong Kong. 4. A place will be reserved for registrant upon successful online registration with notification of registration details. 5. After completing the online registration and payment process, registrants will receive notifications with registration details. A reminder will also be sent before the event begins. If you have not received the 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 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, 8 th 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, 8 th January All cancellation requests must be made in writing and be confirmed by 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, 8 th January 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$50 administration fee is also applicable and must be settled by registrants. - For payment made by cash, HKSFA will arrange the refund cheque sending to registrants by mail, the amount will be the event fee less the administration fee HK$ No refund will be given for cancellation received after Friday, 8 th January 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. 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.