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研習議程

  1. 【Day 1 : 智選指數 (Smart Beta) 】

  2. 時間

    主題

    講席

    09:00-09:30

    Registration

    09:30-11:00

    Smart Beta development and introduction
    Q&A

    元大證券投資信託股份有限公司
    陳思蓓 副總經理
    (英文授課)

    11:00-11:20

    Tea Break(註)

    11:20-12:30

    因子投資介紹與發展
    Q&A

    元大證券投資信託股份有限公司
    林忠義 副總經理
    (中文授課)

    12:30-14:00

    Lunch Break(註)

    14:00-15:20

    Smart Beta Investment of Global Pension Funds Overview
    Q&A

    S&P Dow Jones Indices, 標普道瓊指數公司
    Ms.Tianyin Cheng, Director, Strategy and ESG Indices
    (英文授課)

    15:20-15:40

    Tea Break(註)

    15:40-17:00

    固定收益Smart Beta產品之機會與挑戰
    Q&A

    元大證券投資信託股份有限公司
    張勝原 資深經理
    (中文授課)

    註:課程期間(10/18~10/20)將免費提供茶水咖啡點心或簡餐。
  3. 【Day 2 : Asset Management and Risk Management】

  4. 時間

    主題

    講席

    09:00-09:30

    Registration

    09:30-11:00

    Asset Allocation Introduction
    ♦Modern portfolio theory & portfolio optimization
    ♦Managing asset class selection & risk
    ♦Asset allocation for institutional investors
    ♦Today’s practical challenges for some of the asset classes
    Objective: provide
    1) an understanding of the characteristics of traditional asset classes and
      how they work in combination;
    2) discuss current market practices among institutional investors; and,
    3) review today’s capital market environment and
      how that might influence the future behavior of asset classes

    The Practice of Strategic Asset Allocation
    ♦The process of asset allocation
    ♦Further details on asset class drivers, investment risk and navigating the markets
    ♦Asset allocation to alternative assets
    Objective: provide a practitioner’s view point on
    1) how to determine a strategic allocation to meet a desired objective
      (defining an objective; trade-offs of risk and return);
    2) the characteristics of asset classes that make them desirable
      (consistency/reliability); and
    3) the role of alternative assets within a strategic allocation
      (strategic vs. opportunistic; uncorrelated returns)
    Q&A

    AllianceBernstein Global (聯博基金)
    Mr. Martin Atkin, Managing Director—Multi-Asset Solutions Group; Investment Director—Dynamic Asset Allocation; and National Managing Director
    (英文授課)
    AllianceBernstein Global (聯博基金)
    Mr. Alexander Barenboym, Portfolio Manager—Dynamic Asset Allocation
    (英文授課)

    11:00-11:20

    Tea Break(註)

    11:20-12:30

    Implementation
    ?Tactical asset allocation
    ?Capital preservation strategies
    ?Process for making dynamic decisions
    Objective: provide a practitioner’s view point on
    1) the key considerations in a tactical program
      (scaling, the role of fundamental & quantitative analysis in decision-making);
    2) what can be done to limit drawdown risk (volatility control; diversification); and
    3) governance issues (frequency of review and allocation changes)

    Looking Ahead
    ?What looks interesting in 2018 for clients
    Q&A

    12:30-14:00

    Lunch Break(註)

    14:00-15:20

    Risk Management
    -Introduction
    -The Risk Framework
    -Market Risk Focus
    -Credit and Counterparty Risk Focus

    AllianceBernstein Global (聯博基金)
    Mr. Peter Eliot, Senior Vice President – Co-Head Multi-Asset Infrastructure
    AllianceBernstein LP
    (英文授課)

    15:20-15:40

    Tea Break(註)

    15:40-17:00

    Risk Management
    -Operational Risk Focus
    -Operational risk failures in Asset Managers – the fallout from Lehman
    -Examples of Other Risk Types
    Q&A

    註:課程期間(10/18~10/20)將免費提供茶水咖啡點心或簡餐。
  5. 【Day 3 : Hedge Fund】

  6. 時間

    主題

    講席

    09:00-09:30

    Registration

    09:30-11:00

    Overview of HF – Tim Wong
    ♦What is HF
    ♦Why investing in HF
    ♦What are the different HF styles, Discretionary vs Quant
    ♦How to choose HF

    Case studies : CTA and Equity Long/Short (0.5hr) – Adrian Chang
    ♦Intro to both styles
    ♦CTA – Portfolio diversifier, Momentum Strategy

    Man Group (英仕曼集團)
    Tim Wong
    Chairman of Man AHL and Man Group Asia
    (英文授課)

    11:00-11:20

    Tea Break(註)

    11:20-12:30

    Case studies : CTA and Equity Long/Short (0.5hr) – Adrian Chang
    ♦Equity Long/Short - Factor investing, Statistical Arbitrage
    Q&A
    Hedge Fund selection exercise (1hr) – Adrian Chang (facilitator)

    Hedge Fund selection exercise
    Participants are given some descriptions of a few hedge funds
    and will select the good ones/reject the bad ones.
    xplanation and discussion at the end.

    Man Group (英仕曼集團)
    Adrian Chang, Quantitative Portfolio Manager of Man AHL
    (英文授課)

    12:30-14:00

    Lunch Break(註)

    14:00-15:20

    An intro to Machine Learning (1hr) – Tim Wong
    ♦History and what is machine learning
    ♦Application in Finance
    Q&A

    Man Group (英仕曼集團)
    Tim Wong
    Chairman of Man AHL and Man Group Asia
    (英文授課)

    15:20-15:40

    Tea Break(註)

    15:40-17:00

    避險基金的風險與未來發展趨勢

    國立政治大學商學院
    周冠男副院長

    註:課程期間(10/18~10/20)將免費提供茶水咖啡點心或簡餐。

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