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Investment Analytics & Data Visualization with R [Complete] Event Code: 170112W
Date 12-Jan-2017 - 13-Jan-2017
Time 08:45 a.m. - 5:00 p.m.
Venue 14/F, BOC Group Life Assurance Tower, 136 Des Voeux Road Central, Hong Kong
Speaker(s) Mr. Mark C. Hoogendijk, CFA, CAIA
Managing Director
E8 Consulting Asia
Fee HKSFA Member(s) at HK$6,200.0/person
CFA Candidate(s) at HK$7,900.0/person
Guest(s) and Non-member(s) at HK$7,900.0/person
This seminar is qualified for 13 CPT hour(s), 13 CE hour(s), 13 RBV CPD hour(s)
Remarks
  • Only Visa and Master Card are accepted for online payment.
  • Participants are expexted to bring their laptop / notebook.

Event Details
This 2 day 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, fulfilling Performance Analytics & Fundamental Analysis with this data, and creating captivating visuals and compelling Market/Risk Dashboards. A brief introduction to Machine Learning will also be provided. 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 are required to bring their laptop / notebook. Installation guidelines for R & RStudio will be provided before the course commences.         
 
Who Should attend?
This training course is specifically designed for all level experiences within the investment management sector and tailored specially for:
  • Research & Sector Analysts (Bottom-Up and Top Down)
  • Investment Analysts
  • (Hedge) Fund managers
  • CIO’s with Life Insurance Companies
  • Investment Actuaries
  • Risk Managers
  • (Associate) Professors within Computational Finance & Risk Management departments

Course Outline:
 
Day 1: Morning Session: 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
o   Importing Economic data from FRED® , ECB & OECD
o   Packages available for linking to Reuters, Bloomberg & Factset data
·        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.    
 
•          Afternoon Session: 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 (VaR) & CVaR
o   Calculating historical Drawdowns
·        Calculating Performance Ratios
o   Calculating Sharpe, Information, Sortino. Kelly, Pain, Martin Ratios
o   Calculating Portfolio Performance  
 
•          Afternoon Session Continued: Fundamental & Technical Analysis
·        Introduction to Fundamental Analysis with R
·        Introduction to Technical Analysis with R
o   Candlestick Charts, Moving Averages, Bollinger Bands & RSI
 
•          Machine Learning for Financial Time Series Data
·        Introduction to Machine Learning
·        Implementation of Machine Learning in R for Stock Data
 
 
Day 2: Morning Session: 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
·        Capturing the return dynamics and dividend performance of Stocks
o   Exercise: Creating an overview of the Aristocrats
·        Plotting TreeMaps & Creating correlation heatmaps
·        Introduction to dynamic & interactive charts for Financial Markets
o   Capturing Historical FX Rates movements
o   Interactive document analyzing Case-Shiller index
o   Dash-board of 100 ETF’s Market Performance
·        Introduction to Plotly for R
·        Introduction to Highcharts for R
 
Day 2: Afternoon Session: Fundamental Stock Analysis in detail
·        Building a summary of the Macro-Economic Environment, looking at GDP, Inflation, FX Rates, Interest Rates and Productivity Numbers
·        Data Manipulation of Balance-sheet, Cash-Flow & Income Statement numbers
o   Calculating P/E, P/B, Free Cash Flow per Share, ROE, ROA, Debt/Equity, Current Ratio, Quick Ratio, Gross Profit Margins, Buy-Backs etc. 
o   Putting it all together in one overview. Plotting the results over time
·        Creating a score card based on Sector comparison
·        Building a screener for fast initial stock selection
 
Day 2: Afternoon Session: Efficient Frontier
·        Calculating the Efficient Frontier for a Portfolio of 30 ETF’s, based on different constraints & Risk measures (VaR, CVaR & Drawdown)
·        Running a Back-Test on the Efficient Frontier
 
Day 2 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;
4.      Creating automated Market Reports;
 
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.

*Rating: Intermediate
(Material presented will have technical elements requiring a working knowledge of the subject to make full use of the presentation.) 


About the Instructor
 
Mr. Mark C. Hoogendijk, CFA, CAIA
Managing Director
E8 Consulting Asia
 
Mr. Mark C. Hoogendijk is an established derivatives and investment professional with more than 17 years’ experience in the Financial Industry.  His expertise lies within Risk Analysis of Investment Portfolios, Asset & Liability Management, and Capital Management.
 
Over the 13 years here in Asia, he has worked closely with Insurance Companies, Pension Funds and Asset Managers in Hong Kong, Taiwan, Singapore, Malaysia and Australia understanding their needs, conducting risk analysis and finding viable and 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 and 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.



Click here to download the event flyer for further details.