Emlyn Flint

Peresec

Derivatives, Quant & Risk Analyst

15 Cavendish Street

Claremont

Cape Town, Western Cape 7700

South Africa

http://www.peresec.com

University of Cape Town

Adjunct Associate Professor

Actuarial Science Section, University of Cape Town

Private Bag X3, Rondebosch

Cape Town, Western Cape 7701

South Africa

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 9,194

SSRN RANKINGS

Top 9,194

in Total Papers Downloads

9,457

SSRN CITATIONS
Rank 28,031

SSRN RANKINGS

Top 28,031

in Total Papers Citations

5

CROSSREF CITATIONS

36

Ideas:
“  I'm currently working on a range of projects in the areas of Portfolio Management, Risk Management and Derivatives.  ”

Scholarly Papers (38)

1.

Factor Investing in South Africa

Number of pages: 28 Posted: 05 Nov 2016 Last Revised: 08 Nov 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 862 (53,074)
Citation 4

Abstract:

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risk factors, factor investing, factor modelling, risk attribution, style analysis, multi-factor portfolios, portfolio construction

2.

Systematic Testing of Systematic Trading Strategies

Number of pages: 24 Posted: 01 Mar 2018 Last Revised: 16 Mar 2018
Kovlin Perumal and Emlyn Flint
University of Cape Town (UCT) and Peresec
Downloads 777 (61,117)
Citation 1

Abstract:

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Data-Mining Bias, Systematic Trading, Backtesting, Multiple Hypothesis Testing, False Discovery Rate, Family-Wise Error Rate, White's Reality Check, Monte Carlo Permutation

3.

The Fundamentals of Fixed Income Attribution (Presentation Slides)

Number of pages: 24 Posted: 31 Aug 2020
Emlyn Flint
Peresec
Downloads 775 (61,314)

Abstract:

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fixed income attribution, performance attribution, linear factor model, fixed income factor model

4.

Thinking About Theta: An Analysis of Time Decay, Early Unwind and Closeout Feedback Effects

Number of pages: 24 Posted: 19 Apr 2017
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 689 (71,433)
Citation 1

Abstract:

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option theta, time decay, early unwind, option-expiry effects, option returns

5.

Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Number of pages: 24 Posted: 06 Jul 2017
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 594 (86,093)
Citation 1

Abstract:

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Regime-switching models, tactical asset allocation, equity factors, balanced portfolios, market timing

6.

Managing Tail Risk Part I: Option-Based Hedging

Number of pages: 28 Posted: 06 Apr 2021 Last Revised: 12 Apr 2021
Peresec, Peregrine Securities and affiliation not provided to SSRN
Downloads 547 (95,522)

Abstract:

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Tail risk, tail risk hedging, option hedging, risk management

7.

Trading the Term Premium

Number of pages: 36 Posted: 18 Jan 2023
Peresec, Peresec and Peregrine Securities
Downloads 487 (110,092)

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term premium, fixed income, affine term structure model, systematic trading strategy

8.

The Information Hidden in Derivatives Markets

Peregrine Securities, 2016
Number of pages: 24 Posted: 25 Apr 2016 Last Revised: 10 May 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 317 (178,662)

Abstract:

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option-implied distributions, Ross recovery theorem, SVI model, tikhonov regularization, implied information

9.

Fractional Black-Scholes Option Pricing, Volatility Calibration and Implied Hurst Exponents

Number of pages: 22 Posted: 13 Jun 2016
Emlyn Flint and Eben Mare
Peresec and Independent
Downloads 305 (186,040)
Citation 3

Abstract:

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Fractional brownian motion, Hurst exponent, implied volatility calibration, implied volatility surface

10.

Estimating Option-Implied Distributions in Illiquid Markets and Implementing the Ross Recovery Theorem

Number of pages: 27 Posted: 04 Aug 2016
Emlyn Flint and Eben Mare
Peresec and Independent
Downloads 287 (198,358)

Abstract:

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option-implied distributions, SVI volatility model, Ross Recovery, Tikhonov regularization, Illiquid markets, tactical asset allocation

11.

Epistemic Limits of Empirical Finance: Causal Reductionism and Self-Reference

Number of pages: 9 Posted: 05 Dec 2023 Last Revised: 27 Mar 2024
Daniel A. Polakow, Tim Gebbie and Emlyn Flint
Stellenbosch University - Department of Statistics and Actuarial Science, University of Cape Town, Department of Statistical Sciences and Peresec
Downloads 240 (237,061)

Abstract:

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Causal Investing, Reflexivity, Empirical Finance, Epistemology, Risk Management, Spuriosity

12.

Deconstructing the Gerber Statistic

Number of pages: 15 Posted: 13 Apr 2023
Emlyn Flint and Daniel A. Polakow
Peresec and Stellenbosch University - Department of Statistics and Actuarial Science
Downloads 232 (245,000)

Abstract:

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Mean-variance optimization, Diversification, Shrinkage, Conditional correlation, Conditioning bias

13.

The Cost of a Free Lunch: Dabbling in Diversification

Peregrine Securities, 2015
Number of pages: 29 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 232 (245,000)
Citation 4

Abstract:

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Diversification, concentration, risk measures, regime-dependent, portfolio optimisation

14.

Currency Hedging for Global Equity Portfolios: Historical Performance

Number of pages: 24 Posted: 08 Dec 2017
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 196 (286,520)
Citation 1

Abstract:

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currency hedging, portfolio optimization with derivatives, risk management, dynamic trading strategy

15.

Improving Portfolio Allocation Through Covariance Matrix Filtering

Number of pages: 35 Posted: 13 Jan 2017
Daron Golden and Emlyn Flint
Independent and Peresec
Downloads 191 (293,312)

Abstract:

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covariance estimation, Bayesian shrinkage, random matrix theory, regularisation, eigenstructure, covariance filtering, South African equity

16.

Extending Risk Budgeting for Market Regimes and Quantile Factor Models

Number of pages: 22 Posted: 20 Mar 2018
Emlyn Flint, Simon du Plooy and Simon du Plooy
Peresec and North-West UniversityCorion Capital
Downloads 182 (306,076)

Abstract:

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risk budgeting, risk-based optimisation, market regimes, quantile factor models, multi-objective optimisation

17.

Dynamic Portfolio Management Strategies: A Framework for Historical Analysis

Number of pages: 32 Posted: 18 Jul 2018
University of Cape Town (UCT), Peresec and Peregrine Securities
Downloads 177 (313,726)

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Dynamic trading strategies, backtesting, call options, asset allocation, factor investing

18.

In Search of the Perfect Hedge Underlying

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016 Last Revised: 17 May 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 177 (313,726)
Citation 3

Abstract:

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hedging error, return decomposition, risk decomposition, mixed integer quadratic programming, basket option pricing, long/short basket options

19.

Defining Activeness: Active Share, Risk Share & Factor Share

Number of pages: 24 Posted: 12 Dec 2017 Last Revised: 08 Jan 2018
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 176 (315,352)

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active share, risk share, factor share, active management, risk decomposition, risk attribution, factor portfolios, returns based style analysis

20.

What is the Optimal Offshore Allocation?

Number of pages: 12 Posted: 09 Dec 2022 Last Revised: 14 Apr 2023
Peresec, Peregrine Securities and affiliation not provided to SSRN
Downloads 175 (316,977)

Abstract:

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offshore allocation, currency hedging, portfolio optimisation

21.

Historical Analysis of Exotic Options: A General Framework

Peregrine Securities, 2013
Number of pages: 24 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 172 (321,731)

Abstract:

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exotic option pricing, derivative portfolio backtesting

22.

Adapting to Market Regimes with Timed Hedging

Peregrine Securities, 2014
Number of pages: 36 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 145 (371,305)
Citation 6

Abstract:

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Hedge timing, moving averages, momentum, implied volatility, turbulence index

23.

Full-Scale Optimization: A Flexible Framework for Hedge Design

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 143 (375,327)

Abstract:

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full scale optimization, hedge design, portfolio construction

24.

Estimating Long-Term Volatility Parameters for Market-Consistent Models

South African Actuarial Journal, Vol. 14, 2014
Number of pages: 54 Posted: 17 Jan 2017
Emlyn Flint, Edru Ochse and Daniel A. Polakow
Peresec, Peregrine Securities and Stellenbosch University - Department of Statistics and Actuarial Science
Downloads 139 (383,818)

Abstract:

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econometric volatility models, deterministic volatility models, stochastic volatility models, long-term implied volatility, risk-netrual historical volatility, break-even volatility

25.

Evaluating Equity Analyst Forecasts in South Africa

Legae Peresec, November 2019
Number of pages: 24 Posted: 05 Mar 2020
Emlyn Flint and Sajjaad Ahmed
Peresec and University of Cape Town (UCT)
Downloads 136 (390,359)
Citation 1

Abstract:

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Analyst Forecast Accuracy, Fundamental Analysts, Target Price Forecasts, Analyst Skill Persistence

26.

Alternative and New Methods for Measuring Persistence in Fund Performance

Number of pages: 25 Posted: 05 May 2017
Jason Wessels and Emlyn Flint
PricewaterhouseCoopers and Peresec
Downloads 131 (402,050)
Citation 5

Abstract:

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mutual funds, fund performance persistence, Markov modelling, survival analysis, South African unit trusts

27.

Hedge Design: A Systematic Approach

Pelegrine Securities, 2012
Number of pages: 20 Posted: 21 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 131 (402,050)
Citation 3

Abstract:

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Hedge design, derivative hedge optimisation

28.

Currency Hedge Design: Accounting for Uncertain Correlation and Volatility

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 112 (452,230)
Citation 2

Abstract:

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currency hedging, dynamic conditional correlation, DCC model, portfolio hedging, portfolio optimization

29.

Single Stock and Custom Basket Options in Fund Management

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
University of Cape Town (UCT), Peresec and Peregrine Securities
Downloads 106 (470,661)
Citation 2

Abstract:

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implied volatility calibration, single stock option pricing, basket option pricing, portfolio hedging

30.

Estimation with Flexible Probabilities: Identifying Rand Hedges, Finding Diversifiers, Enhancing Style Analysis

Number of pages: 28 Posted: 04 Feb 2019 Last Revised: 10 Feb 2019
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 100 (490,133)

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flexible probabilities, state-weighted estimation, currency exposure, diversification, style analysis

31.

Reduction of Interim Risk Through Options: An Analysis of Maximum Drawdown

Peregrine Securities, 2012
Number of pages: 28 Posted: 21 Apr 2016 Last Revised: 28 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 97 (500,167)

Abstract:

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Interim risk, maximum drawdown, option hedging

32.

(Un)Modelling the Volatility Surface: Valuing South African Volatility Surfaces Via Risk-Neutral Historic Return Distributions

Peregrine Securities, 2012
Number of pages: 38 Posted: 21 Apr 2016
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 94 (510,453)
Citation 2

Abstract:

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Nonparametric option price, Risk-neutral historical distributions, Canonical valuation

33.

Currency Options for Fund Managers

Peregrine Securities, 2016
Number of pages: 27 Posted: 22 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 89 (528,334)

Abstract:

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Currency options, risk management, portfolio construction

34.

Trends in the South African Hedging Space Part I: Derivatives Market Trade Numbers & Equity Index Concentration

Peregrine Securitites, 2013
Number of pages: 40 Posted: 21 Apr 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 68 (616,912)

Abstract:

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Derivatives market statistics, index concentration

35.

Currency Management for Offshore Investing

Peregrine Securities, 2015
Number of pages: 24 Posted: 22 Apr 2016
University of Cape Town (UCT), Peregrine Securities and Peresec
Downloads 64 (636,742)
Citation 1

Abstract:

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Curency hedging, offshore investing, portfolio optimisation

36.

A Guide to South African Volatility: Understanding, Modelling, Investing & Hedging

Peregrine Securities, 2014
Number of pages: 33 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 63 (641,760)

Abstract:

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implied volatility modelling, volatility dynamics, option return decomposition, variance swap pricing, volatility trading

37.

Trends in the South African Hedging Space Part II: Measuring Risk and Finding Return

Peregrine Securities 2013
Number of pages: 32 Posted: 22 Apr 2016
Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 49 (721,664)
Citation 4

Abstract:

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risk factor modelling, best-subsets regression, exceedence correlation, conditional correlation, cross-sectional volatility

38.

Factor Information Decay: A Global Study

Journal of Portfolio Management, Quantitative Special Issue Forthcoming
Posted: 11 Feb 2022 Last Revised: 07 Dec 2022
Emlyn Flint and Rademeyer Vermaak
Peresec and STANLIB

Abstract:

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factor exposure distribution, pure factor portfolios, factor half-life, factor efficiency, optimal rebalance period