The present and future of quantitative investment in China with new opening-up measures rolling out in the domestic financial market.
Hosted by CFA Institute, CFA China Shanghai
Conference MC: Stanley Ouyang, CFA, Deputy General Manager, CEFC Asset Management; Head of CFA Institute China Quantitative Finance Conference committee.
This conference will be conducted in Mandarin Chinese.
As a major annual event of the CFA Institute China Investment Forum series, the 3rd China Quantitative Finance Conference will focus on “Quantitative Investment and Financial Opening-up,” bringing together prominent industry experts and experienced practitioners to discuss the present and future of quantitative investment in China with new opening-up measures rolling out in the domestic financial market.
Call for Speakers
If you are interested in speaking at the Conference, please submit an abstract and title of your presentation, as well as your biography, to our project coordinators at firstname.lastname@example.org with the subject line, "Speaker proposal". The deadline for submission is 31 August 2019. The project team will review proposals and strive to select those who offer a diverse and well-balanced educational program.
Mr. Tu Guangshao is a Member of Chinese People’s Political Consultative Conference (CPPCC), Adjunct Professor at Shanghai Jiao Tong University and Executive Director of the Shanghai Advanced Institute of Finance (SAIF) Board.
He is former Vice Chairman and President of China Investment Corporation. Immediately prior to this, he served as Executive Vice Mayor, Vice Mayor of Shanghai and the founding chair of SAIF Board from 2009 to 2016. He held several positions in China Securities Regulatory Commission, including Vice Chairman, Secretary-General, General Manager of the Shanghai Stock Exchange, Director General of the Department of Trading. He also acted as Deputy Director of the National Financial Market’s Quotation and Trading Information System Center of People’s Bank of China, Director and Deputy General Manager of the China Securities Trading System Corp.
Mr. Tu, born in 1959, holds a master’s degree in economics from Peking University and was accorded Senior Economist by the Ministry of Human Resources and Social Security.
Chan Ahn is the Head of Equities Structuring for Asia ex Japan at Goldman Sachs, working with both institutional and non-institutional clients, providing structured solutions to their investment needs. He joined in 2015 from JPMorgan, where most recently he was the Head of Equity Derivatives Structuring, Asia Pacific. His past responsibilities include the Head of Asset-side Structuring & Solutions, Asia ex-Japan, and the Head of Equity Derivatives Structuring, Asia ex-Japan. Prior to joining JPMorgan in 2011, Chan was responsible for Equity Derivatives Structuring for Americas and Asia ex-Japan at Credit Suisse, having started his career in London with Bear Stearns. Chan holds a Ph.D. degree in Computational Finance and a B.Sc. degree in Mathematics and Computer Science, both from Imperial College London.
Jun Pan is currently a Professor of Finance at Shanghai Advanced Institute of Finance (SAIF), Shanghai Jiao Tong University. Prior to joining SAIF in 2019, she was the School of Management Distinguished Professor of Finance and Professor of Finance at MIT Sloan School of Management.
Jun has a B.S. degree in Physics from Shanghai Jiao Tong University, a Ph.D. in Physics from New York University, and a Ph.D. in Finance from Stanford University.
As Head of the MSCI Index Business in Asia Pacific, Theodore (Ted) Niggli is responsible for developing the business strategy, driving the product and commercial development and orchestrating client facing and research activities in the region. Ted has been with MSCI since 2000, starting in New York, then transferring to London in 2001, before moving to Shanghai in 2012.
Prior to joining MSCI in 2000, Ted worked for Procter & Gamble for more than 12 years occupying a variety of roles, most recently as Marketing Director in Brazil. Ted started his P&G career in Switzerland, and then moved to Poland, Belgium and finally Brazil.
Ted earned his MBA from Dartmouth College (Amos Tuck) and a University Degree in Management from Université Paris-Dauphine in France.
David Zhang is a Managing Director and Head of Securitized Products Research at MSCI. His team is responsible for developing models and analytics to support investment analysis, risk management, and regulatory compliance.
Before joining MSCI, Dr. Zhang was Managing Director and head of Securitized Products modeling at Credit Suisse for more than a decade. At Credit Suisse he was responsible for supporting risk, regulatory and client analytics as well as sales/trading quantitative strategies. Dr. Zhang’s group developed one of the most widely used MBS models by fixed income institutional investors. Their work was consistently awarded top ranking by various industry and client surveys, including Institutional Investor All-America Research Team ranking in Agency prepayment. They also won the award for best paper by the American Real Estate Society for research on effectiveness of government mortgage programs
The regulatory projects Dr. Zhang lead at Credit Suisse included developing models for CCAR and PPNR (Pre-Provision Net revenue), Dodd-Frank IHC (Intermediate Holding Company) and related VaR, RWA and RBPL modeling, and FRTB (Fundamental Review of Trading Book).
David serves on the boards of TCFA (The Chinese Finance Association), GCREC (Global Chinese Real Estate Congress), and NY PRMIA (Professional Risk Management International Association). He co-chairs the China Market Committee of SFIG (Structured Finance Industry Group). Dr. Zhang has a Ph.D. from Princeton University.
Stanley Ouyang, CFA, is the deputy general manager of the CEFC Asset Management. He is the head of CFA Institute China Quantitative Finance Conference committee. He is also the executive vice president of China QClub.
He has more than 16 years buy-side experiences in quantitative investments, last 7 years specialized as China Quants. Prior to CEFC asset management, he has worked at Credit Suisse Alpha Strategies (NYC), Bank of America Columbia Management (NYC), BNY Mellon Western Fund (Shanghai), and Sinolink Securities (Beijing and Shanghai). He manages a China quant hedge fund at CNY3.2 billion ($460 million) asset as of September 2019.
He obtained his master degrees from MIT Sloan and Carnegie Mellon University and bachelor degree from Tsinghua University.
Saturday, 12 October
10:15 am - 11:00 am CST
Keynote Speech: The New Era of China’s Financial Opening-up: Path
- Guangshao Tu, Adjunct Professor, Shanghai Jiao Tong University; Member, National Economic Council of the 13th CPPCC National Committee; Former President, China Investment Corporation
11:00 am - 11:45 am CST
Keynote Speech: “Pick Your Battles” – The Challenges of Factor Timing
- Chan Ahn, Head of Equities Structuring for Asia ex Japan at Goldman Sachs
11:45 am - 1:00 pm CST
1:00 pm - 3:10 pm CST
1:00 pm - 1:40 pm
The Journey Continues - Integration of China A shares in Global Equity Portfolios
- Theodore Niggli, Managing Director and Head of Index Business in Asia Pacific, MSCI
1:40 pm - 2:10 pm
Estimates Momentum in China A – Combining Consensus for Better Alpha
- Chris Ma, Head of Asia Quantitative Research, Citi
2:10 pm - 3:10 pm
Panel Discussion by WFOE CEO
- Xin He, Managing Director and China Head of Global Markets, Societe Generale (China) Limited
- Patrick Liu, China CEO of Neuberger Berman and General Manager of Neuberger Berman Investment Management (Shanghai) Ltd
- Michael Lu, General Manager, Eastspring Investments China WFOE
Moderator: Bin Hu, CFA, CEO, Coefficient Fund; former CEO, BNY Mellon China
3:10 pm - 3:30 pm
1:00 pm - 2:00 pm
The Economic Impact of Distributing Financial Products on Third-Party Online Platforms
- Jun Pan, Professor of Finance, Shanghai Advanced Institute of Finance; Distinguished Professor of Finance, MIT Sloan School of Management
2:00 pm - 3:00 pm
Big Data and AI in Securitization, Present and Future
- David Zhang, Managing Director and Head of Securitized Product Research, MSCI
3:00 pm - 3:30 pm
3:30 pm - 5:00 pm CST
Panel Discussion on A-share Quantitative Research
- Potential for Quant in China
- Benjamin Dunn, CFA, Chief Investment Officer, Quantitative Strategies, Eastspring Investments (Singapore) Limited
- IPO Strategies in China's Sci-tech Innovation Board
- Tong Ren, Chief Quantitative Research Analyst, China Merchants Securities
- Stanley Ouyang, CFA, Deputy General Manager, CEFC Asset Management
- Predictability of Alpha Performance Using Machine Learning
- Yanan Wu, CFA, Chairman, Shanghai Yahou Asset Management Inc.
- A Quantitative Study on the Earning Cycle and Pricing Benchmark at A-Share Market
- Hongbing Wang, Chief Quantitative Research Analyst, Western Securities
Moderator：Stanley Ouyang, CFA, Deputy General Manager, CEFC Asset Management
Panel Discussion by China Quantitative Hedge Fund CIOs
- Individual sharing
- Michael Ren, CEO, Jinde Asset Management
- Individual sharing
- Sonny Shen, CEO, Shenyi Investment
- Trading High Yield Bond in China Market
- Eric Leng, CFA, Managing Partner, Crescendi Capital Group
- Low-frequency Alpha Strategy in China: Challenges and Opportunities
- Feng Li, Founder, FT Asset Management LLC
Moderator：Zack Liu, Founder, Southern Hill Capital; former President of Q Club
- Potential for Quant in China
5:00 pm CST
|SH Pudong Financial Work Bureau|
|The Q Club|
|Pudong Institute of Finance|