I am employed at Satrix as Head of Portfolio Solutions. My main area of research focus is developing systematic investment solutions in the factor portfolio space. This includes developing portfolio strategies that map factor information into investable solutions - enabling clients to best harvest factor risk premiums in their own portfolios.
I have more than 10 years working experience in quantitative finance, macroeconometrics and time-series statistics, and have kept a firm connection to the Economics Department at Stellenbosch University throughout. I also have much experience presenting to clients in the financial industry, at post-graduate level in academia and at conferences locally and abroad.
I am reading towards a Phd in quantitative finance at UCT’s Actuarial Science Department, and have a Master’s degree in Economics (cum laude, focus area: financial econometrics) and Honours in Mathematical Statistics and Economics. I am also a published researcher and part-time lecturer at Stellenbosch University.
I am a keen user and developer in the statistical language R, and have extensive experience developing and maintaining automated coding infrastructure and quantitative investment strategies, especially in the area of factor (smart-beta) investments. I also have experience combining Latex and R to create personalized automated reporting systems, as well as building and maintaining interactive dashboards in HTML.
Prospective PhD (Quantitative Finance), 2017 - Present
MCom (cum laude), 2010
University Tuebingen, Germany ; Stellenbosch University
Hons (Mathematical Statistics & Economics), 2008
Extensive Experience in combining the Tidyverse, Rmarkdown and Latex to create automated reports and web-based solutions. Developed several public packages on CRAN.
Experience designing and maintaining automated investment processes. Developing bespoke and proprietary smart-beta investment portfolios
Enjoy presenting research and product ideas to clients, and continue presenting post-graduate courses at Stellenbosch.
SAFA conference (several).
World Finance Conference. (Venice, 2014,; Mauritius, 2018; Malta 2020 (postponed))
Dependence Modelling Conference, Salzburg, Austria (Sept 2016).
Actuarial Science Society SA (UCT, several).
Investment Analysts Journal ; Energy Economics (UK)
ERSA Journal (deputy editor, 2018) ; Agrekon
The Journal of Economic and Financial Sciences
SA Journal of Accounting Research