Entries by Jacques Joubert

Bridging the Gap into Hedge Funds

By: Andreas Procopos In life there is a natural process of things. There is the famous circle of life, a system of predators and prey competing in the animal kingdom. We humans however prefer a different circle of life, a process that is competitive in more complicated ways. A general example of this process would […]

Dreaming of Thinking Machines

By Jacques Joubert “Since I was a child, I have always loved a good story. I believed the stories helped us to ennoble ourselves – to fix what was broken in us and to help us to become the people we dreamed of being, lies that told a deeper truth.” (Westworld, 2016) One such story […]

Choosing your risk

By Marcus Williamson Risk is not a simple entity, it comes in many flavours, and requires respect and consideration even when you least expect. If one was to try ‘totally avoid’ risk in their market endeavours they would most likely just be holding cash – where are the returns in that? The truth is that in […]

Momentum On Dual Momentum Portfolios

By: Marco Simioni In the first section, this article describes a Dual Momentum study over an iShares country etfs basket with a new attempt to improve this well-known investing style. I chose iShares because it is the world largest family of Exchange Traded Funds (ETFs) from BlackRock. Although different stock markets correlations have become weaker […]

Combining diversified alpha to deliver superior Sharpe

By Marcus Williamson In this article I show that very basic quantitative trading strategies that generate returns from different market behaviours, when combined, can provide a more desirable and stable returns stream, as reflected in a Sharpe ratio higher than any individual strategy. We show how absolute returns can be some-what ‘sacrificed’ for an improved risk adjusted return stream, which […]

Intro to Hidden Markov Chains

By Bonolo Molopyane In a situation where you wish to determine the returns on an investment, one may have all the expertise to do this but without certain information (missing pieces) it would not be possible to derive to a conclusive figure. In practical terms “assume you have the value of all returns of all […]

Introduction to Value at Risk

  By Bonolo Molopyane Large institutions deal with immense amounts of currencies which enter and leave their accounts on a daily bases. Furthermore they have their own funds that it has to efficiently allocate so as to maximize their return on investment but also wish to hedge against adverse events. With a certain confidence the […]

Introduction To Monte Carlo Analysis Part 3

By Bonolo Molopyane Financial Applications Within the Monte Carlo realm a vast number of applications exist. In this final part I bring together all the previous work as well as put into practice the theory we have gathered so far. Applying the Metropolis-Hastings Algorithm From the previous section we deduced a way in which we […]

Introduction to Monte Carlo Analysis Part 2

By Bonolo Molopyane Markov Chains, Central Limit Theorem and the Metropolis-Hastings In the previous article I gave a generic overview of Monte Carlo as well as introduced importance sampling. We now dive deeper by giving strict definitions of some of the widely used and yet misunderstood or rather commonly neglected concepts due to its perceived […]