My main areas of specialisation are in the fields of Risk Management, Portfolio Construction and Optimisation, Strategic and Tactical Asset Allocation for Hedge Funds of Funds, Balanced Funds and Mutual Funds. I have used these skills extensively for external Manager selection and Portfolio ...
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My main areas of specialisation are in the fields of Risk Management, Portfolio Construction and Optimisation, Strategic and Tactical Asset Allocation for Hedge Funds of Funds, Balanced Funds and Mutual Funds. I have used these skills extensively for external Manager selection and Portfolio Management. Managed Institutional Fund mandates on behalf of Commercial Union (Aviva), Fairheads, Shinko Securities (Mizuho), Taiyo Life, OCBC, Sanlam Investments and now Kiwi Wealth.
Specialised knowledge of Value at Risk (VaR) and CVaR ( Expected Shortfall) calculations for all forms of non-gaussian or asymmetric distributions as well as other downside risk measures such as Omega, Kappa etc. Used these risk management skills to restrict 2008 drawdowns to -12% versus industry benchmarks -20% (HFRFOF)
Strong Macro knowledge and experience, Quantitative and Qualitative team building and mentoring skills.
Most recently I have been working as Head of Investment Process Engineering to help Industrialise Sanlam Multi-Manager's Fund screening, analysis, scoring, selection and portfolio construction processes.
I am also working on methods of improving return and volatility forecasting and of applying various Machine Learning methods such as Random Forest, Neural Networks, Logistic and Support Vector Regression, Decision Trees and others, to identify the most relevant features that predict the next quartile ranking of managers.
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