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May 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)
- Aurora run/walk with TROn May 2, 2024 5:52 am went 9.66 km during 00:59:25 hours climbing 225.00 meters burning 932 calories.
- Morning RunOn May 1, 2024 10:19 am went 7.49 km during 00:45:20 hours climbing 101.00 meters burning 675 calories.
- Shropshire Mud Run with IDOn April 27, 2024 10:33 am went 8.84 km during 00:55:22 hours climbing 158.00 meters burning 971 calories.
- Aurora run/walk 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 theĀ 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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