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July 2024 M T W T F S S 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 Latest Activities (Strava)
- Two dam(n) walls with TROn July 25, 2024 6:01 am went 8.10 km during 00:45:58 hours climbing 94.00 meters burning 736 calories.
- Reverse Odendaal with TROn July 23, 2024 6:04 am went 8.16 km during 00:45:57 hours climbing 117.00 meters burning 730 calories.
- The 🥶 one, with TROn July 22, 2024 6:02 am went 8.26 km during 00:46:21 hours climbing 95.00 meters burning 729 calories.
- Two dam(n) walls with TR
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Category Archives: Risk management
Rule 18f-4 (SEC, Use of Derivatives)
The below is copied from the SEC website. Limits on Value-at-Risk (VaR) Any appropriate VaR methodology VaR methodology adopted should account for equity price risk, interest rate risk, credit (spread) risk, (foreign) currency risk, etc. Modelling should account for non-linear … Continue reading
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Understanding Volatility
We usually think of volatility as the standard deviation of a series, e.g. price returns however while this applies to historic volatility (ex-post) what do we do when it comes to addressing expected volatility (ex-ante)? Three types of models: -local … Continue reading
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South African Hedge Fund (BN52) Guidelines
South African Hedge Funds’ from a regulatory perspective can be split into two: QIHF – Qualified Investor Hedge Funds RIHF – Retail Investor Hedge Funds As a RIHF is more onerous we will focus on this regulation. Borrowing/Repurchases A Fund … Continue reading
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UCITS Guidelines
The below is copied from the Financial Engineer website. Liquid Securities only 0% Exposure to Commodities 0% Exposure to Property / Real Estate 0% Exposure to Private Equity 0% Exposure to illiquid securities Risk Management VaR of a fund cannot … Continue reading
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Futuregrowth’s SOE Governance Unmasked article
Below is a link to the article from Futuregrowth Asset Management on governance issues at South African State Owned Enterprises (SOE). From the Futuregrowth website… “… This followed a creeping sense of governance degradation at various SOEs, culminating in clear … Continue reading
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