Emlyn James Flint

Legae Peresec

Derivatives, Quant & Risk Analyst

15 Cavendish Street

Claremont

Cape Town, Western Cape 7700

South Africa

http://www.legaeperesec.co.za

Department of Actuarial Science, University of Cape Town

Adjunct Senior Lecturer

Actuarial Science Section, University of Cape Town

Private Bag X3, Rondebosch

Cape Town, Western Cape 7701

South Africa

SCHOLARLY PAPERS

31

DOWNLOADS
Rank 16,302

SSRN RANKINGS

Top 16,302

in Total Papers Downloads

3,089

SSRN CITATIONS
Rank 22,779

SSRN RANKINGS

Top 22,779

in Total Papers Citations

1

CROSSREF CITATIONS

33

Scholarly Papers (31)

1.

Factor Investing in South Africa

Number of pages: 28 Posted: 05 Nov 2016 Last Revised: 08 Nov 2016
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 349 (89,623)
Citation 3

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 James Flint
University of Cape Town (UCT) and Legae Peresec
Downloads 338 (92,016)

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.

Regime-Based Tactical Allocation for Equity Factors and Balanced Portfolios

Number of pages: 24 Posted: 06 Jul 2017
Emlyn James Flint, Florence Chikurunhe and Anthony Seymour
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 280 (113,007)
Citation 1

Abstract:

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

4.

The Information Hidden in Derivatives Markets

Peregrine Securities, 2016
Number of pages: 24 Posted: 25 Apr 2016 Last Revised: 10 May 2016
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 232 (137,025)

Abstract:

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

5.

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

Number of pages: 27 Posted: 04 Aug 2016
Emlyn James Flint and Eben Mare
Legae Peresec and Independent
Downloads 180 (173,702)
Citation 1

Abstract:

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

6.

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

Number of pages: 22 Posted: 13 Jun 2016
Emlyn James Flint and Eben Mare
Legae Peresec and Independent
Downloads 177 (176,288)
Citation 1

Abstract:

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

7.

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

Number of pages: 24 Posted: 19 Apr 2017
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 129 (229,165)

Abstract:

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

8.

Extending Risk Budgeting for Market Regimes and Quantile Factor Models

Number of pages: 22 Posted: 20 Mar 2018
Emlyn James Flint and Simon du Plooy
Legae Peresec and North West University
Downloads 105 (266,149)

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

9.

Currency Hedging for Global Equity Portfolios: Historical Performance

Number of pages: 24 Posted: 08 Dec 2017
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 93 (288,491)
Citation 1

Abstract:

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

10.

Hedge Design: A Systematic Approach

Pelegrine Securities, 2012
Number of pages: 20 Posted: 21 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 91 (292,431)
Citation 2

Abstract:

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Hedge design, derivative hedge optimisation

11.

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
Emlyn James Flint, Florence Chikurunhe and Anthony Seymour
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 85 (305,252)
Citation 3

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

12.

Adapting to Market Regimes with Timed Hedging

Peregrine Securities, 2014
Number of pages: 36 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 83 (309,797)
Citation 6

Abstract:

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

13.

Dynamic Portfolio Management Strategies: A Framework for Historical Analysis

Number of pages: 32 Posted: 18 Jul 2018
Anthony Seymour, Emlyn James Flint and Florence Chikurunhe
University of Cape Town (UCT), Legae Peresec and Peregrine Securities
Downloads 78 (321,375)

Abstract:

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

14.

Improving Portfolio Allocation Through Covariance Matrix Filtering

Number of pages: 35 Posted: 13 Jan 2017
Daron Golden and Emlyn James Flint
Independent and Legae Peresec
Downloads 72 (336,365)

Abstract:

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

15.

Alternative and New Methods for Measuring Persistence in Fund Performance

Number of pages: 25 Posted: 05 May 2017
Jason Wessels and Emlyn James Flint
PricewaterhouseCoopers and Legae Peresec
Downloads 71 (339,011)
Citation 5

Abstract:

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

16.

In Search of the Perfect Hedge Underlying

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016 Last Revised: 17 May 2016
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 69 (344,280)
Citation 2

Abstract:

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

17.

Currency Hedge Design: Accounting for Uncertain Correlation and Volatility

Peregrine Securities, 2015
Number of pages: 28 Posted: 23 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 69 (344,280)
Citation 2

Abstract:

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

18.

Defining Activeness: Active Share, Risk Share & Factor Share

Number of pages: 24 Posted: 12 Dec 2017 Last Revised: 08 Jan 2018
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 62 (364,125)

Abstract:

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

19.

Historical Analysis of Exotic Options: A General Framework

Peregrine Securities, 2013
Number of pages: 24 Posted: 22 Apr 2016 Last Revised: 28 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 62 (364,125)

Abstract:

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exotic option pricing, derivative portfolio backtesting

20.

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
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 58 (376,232)

Abstract:

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Interim risk, maximum drawdown, option hedging

21.

Single Stock and Custom Basket Options in Fund Management

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
Anthony Seymour, Emlyn James Flint and Florence Chikurunhe
University of Cape Town (UCT), Legae Peresec and Peregrine Securities
Downloads 53 (392,489)
Citation 2

Abstract:

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

22.

Currency Options for Fund Managers

Peregrine Securities, 2016
Number of pages: 27 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 51 (399,312)

Abstract:

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Currency options, risk management, portfolio construction

23.

Full-Scale Optimization: A Flexible Framework for Hedge Design

Peregrine Securities, 2014
Number of pages: 28 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 50 (402,714)

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 James Flint, Edru Ochse and Daniel A. Polakow
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 43 (428,438)

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.

(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
Emlyn James Flint, Florence Chikurunhe and Anthony Seymour
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 40 (440,394)
Citation 2

Abstract:

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

26.

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
Emlyn James Flint, Florence Chikurunhe and Anthony Seymour
Legae Peresec, Peregrine Securities and University of Cape Town (UCT)
Downloads 33 (470,554)

Abstract:

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

27.

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
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 32 (475,225)

Abstract:

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Derivatives market statistics, index concentration

28.

Currency Management for Offshore Investing

Peregrine Securities, 2015
Number of pages: 24 Posted: 22 Apr 2016
Anthony Seymour, Florence Chikurunhe and Emlyn James Flint
University of Cape Town (UCT), Peregrine Securities and Legae Peresec
Downloads 29 (489,931)
Citation 1

Abstract:

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Curency hedging, offshore investing, portfolio optimisation

29.

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
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 27 (500,565)

Abstract:

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

30.

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
Emlyn James Flint, Anthony Seymour and Florence Chikurunhe
Legae Peresec, University of Cape Town (UCT) and Peregrine Securities
Downloads 24 (517,586)
Citation 4

Abstract:

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

31.

Evaluating equity analyst forecasts in South Africa

Number of pages: 24
Emlyn James Flint and Sajjaad Ahmed
Legae Peresec and University of Cape Town (UCT)
Downloads 24

Abstract:

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Analyst forecast accuracy, fundamental analysts, target price forecasts, analyst skill persistence