Chinese Institute of Engineers, USA

1. 3/8/2012 1

2. Session IV Agenda Logistics Please turn off your cell phone, or put it in vibration mode (Demo it). Time management: 12:20pm lunch. A quick poll: Financial industry professionals/students Non-financial industry professionals/students Introducing Panel Speakers I will signal to the speaker when his/her 15 minutes slot is about to end in a couple of minutes. Wall Street 2.0: The Second Coming of Capitalism set the stage for the panel speakers� presentations and Q&A Panel Speaker Presentation and Q&A Open the Floor for General Q&A 3/8/2012 2

3. Wall Street 2.0The Second Coming of Capitalism The Great Merry-Go-Around A Tale of Two Cities It�s the Best of Times Whisper to the Bull Bond Ambition This Time is Different So Many Nobels Return of Decoupling The Comeback Kid Walk a Tight Rope As Good as Gold Oil Cynic Where the Real Estate is Still Hot China Goes Shopping Top 10 Rules of How to Be a Market Guru Remember Who You Are Appendix: Trading Strategies, Models, and Performance I. Active Index Investment Strategies II. Equity Investment Strategies III. Fixed Income Arbitrage Strategies IV. Model Tests V. The Limit of Arbitrage VI. Fixed Income Performance VII. Sector Performance VIII. Top 10 Financial Geniuses Who Got it Wrong 3/8/2012

4. The Great Merry-Go-AroundIt always comes back 3/8/2012 4

5. A Tale of Two CitiesFinancial industry Firing and Payout 3/8/2012 5

6. It�s the Best of TimesIt�s the Worst of Times 3/8/2012 6

7. Whisper to the BullBusiness Spending and Industry Production look up 3/8/2012 7

8. Bond AmbitionEven Junk Gains 3/8/2012 8

9. This Time is DifferentGreed and Fear Don�t Change 3/8/2012 9

10. So Many NobelsWhat Good Are Economists Anyway 3/8/2012 10

11. Return of DecouplingEmerging Market Run Ahead 3/8/2012 11

12. The Comeback KidHedge Funds Return 3/8/2012 12

13. Walk a Tight Ropeon a Slippery Slope of Stimulation, Debt and Dollar 3/8/2012 13

14. As Good as Gold Gold as the Fire Exit for Falling Dollar and Inflation Fear 3/8/2012 14

15. Oil CynicOil Price Bust and Boom 3/8/2012

16. Where the Real Estate is Still HotPlaces Where People Never Move Out 3/8/2012 16

17. China Goes ShoppingTwo Trillion Dollars Could Buy Fears 3/8/2012 17

18. Top 10 Rules of How to Be a Market Guru 10. Rear-mirror historical events, and find patterns in random walk 9. Be radical, be extreme, be, if not a Dr. Doom, at least a Dr. Gloom 8. Use all alphabets in predictions like L, U, V, W�shaped recovery, and practice survivorship bias when retelling your prediction story 7. Fly around conferences to talk up/down the price of the target long/short after completing the transactions 6. Predict often, like every two minutes (so you�ll never be wrong) 5. Write genetic programming using fractuals mathematics in a neural network black box powered by the string theory with machine learning capability to compute prediction with a long tail 4. At the height of global credit crisis, quote Shakespeare, like�Neither a borrower nor a lender be, For loan oft loses both itself and friend� 3. Us finance poetry, like Keynesian beauty contest �It is not a case of choosing those [faces] that, to the best of one�s judgment, are really the prettiest, nor even those that average opinion genuinely thinks the prettiest. We have reached the third degree where we devote our intelligences to anticipating what average opinion expects the average opinion to be. And there are some, I believe, who practice the fourth, fifth and higher degrees.� (Keynes, General Theory of Employment Interest and Money, 1936). 2. Practice and perfect Greenspan speak �Since becoming a central banker, I have learned to mumble with great incoherence. If I seem unduly clear to you, you must have misunderstood what I said. � - Alan Greenspan speaking to a Senate Committee in 1987 1. Publish Top 10 Rules of How to Become a Market Guru 3/8/2012 18

19. Remember Who You Areand decide what you want (and don�t want) 3/8/2012 19

20. Appendix I. Active Index Investment Strategies 3/8/2012 20

21. Appendix II. Equity Investment Strategies 3/8/2012 21

22. Appendix III. Fixed Income Arbitrage Strategies 3/8/2012 22

23. Appendix IV. Model Tests 3/8/2012 23

24. CAPM, APT, Mean-Variance, Black-Scholes-Merton, Black-Litterman, Robust Portfolio Optimization, � Hull-White, Black-Derman-Toy, G2, G2++, CIR, CIR++, HJM, LFM, LMM, BGM, Gaussian Copulas, Archimedean Copulas, Periodic Copulas, local volatility model, stochastic violatility model, Jump-Difusion model, Skewness-Kurtosis model, � OLS, GLS, GARCH, GJR, EGARCH, GARCH-M, T-GARCH Regime Switching, ... Machine Learning, Neural Network, Genetic Algorithms, Text Mining, String Theory, � Relative Value, Pair Trading, Volatility Trading, Stat Arb, Risk Arb, Convertible Arb, Yield Curve Arb, Credit Curve Arb, Capital Structure Arb, ... Value, Dividend, Actuarial, Growth, Contrarian, Momentum, Technical, Event-Driven, Activist, Analyst Opinions, Insider Transaction, hedge fund replication, ... Long/Short, Market Neutral, Dedicated Short, Distressed Investing, 130/30, Portable Alpha, Fundamentally Indexing, Global Macro, Multi-Strategy, ... Appendix V. The Limit to ArbitrageMirror, Mirror, Who is the Fairest Model of Them All

25. 3/8/2012 25 Appendix VI. Fixed Income Performance

26. 3/8/2012 26 Appendix VII. Sector Performance

27. Appendix VIII. Top 10 Financial GeniusesWho Got it Wrong 3/8/2012 27