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Category Archives: Risk management
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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Value at Risk (VaR)
Value at Risk (VaR) is a commonly used measure of market risk in portfolios. VaR is formally defined as the ‘predicted loss at a specific confidence level over a given holding period’. The Basel II accords require a 99% confidence … Continue reading
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