About
My main areas of specialisation are in the fields of Risk Management, Portfolio…
Articles by Peter
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Signs of a renaissance in Emerging Manager 'Alpha'
Signs of a renaissance in Emerging Manager 'Alpha'
By Peter Urbani
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Do you have to be Abnormal to beat the market ?
Do you have to be Abnormal to beat the market ?
By Peter Urbani
Activity
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Central Banks around the world are ramping up their gold buying at an accelerated pace. Chart: BofA
Central Banks around the world are ramping up their gold buying at an accelerated pace. Chart: BofA
Liked by Peter Urbani
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As I head home from a wonderful week in the Dominican Republic, I’ve been reflecting on how I spend my time in the average day. As a child, I was an…
As I head home from a wonderful week in the Dominican Republic, I’ve been reflecting on how I spend my time in the average day. As a child, I was an…
Liked by Peter Urbani
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Thank you Robin Wigglesworth for writing a humorous (and serious at the same time) piece about my latest working paper, co-authored with Ronald…
Thank you Robin Wigglesworth for writing a humorous (and serious at the same time) piece about my latest working paper, co-authored with Ronald…
Liked by Peter Urbani
Experience
Education
Publications
Projects
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Do Emerging Managers Add Value
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A presentation along the lines of the PerTrac, HFR and other studies on the performance of Emerging or Early stage Hedge Funds versus their older more established, typically larger, brethren. Unlike PerTrac we do not separate fund size from age and consider both simultaneously which leads to more consistent results and is more realistic to real world conditions.
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Various Excel and VBA demonstration models
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Various Excel and VBA demonstration projects and models including;
Singular Spectrum Analysis (SSA)
Intra-Horizon VaR and Expected Shortfall
Portfolio Opportunity Distributions
Multivariate Portfolio Skewness, Co-Skewness, Kurtosis and Co-Kurtosis using Tensor Matrices
ETF Database screening tool
Liquidity VaR with correct scaling of higher moments
Four Moment Risk decomposition
Terminal Wealth Horizon Normal and Modified
Incremental and Marginal VaR plus Four Moment…Various Excel and VBA demonstration projects and models including;
Singular Spectrum Analysis (SSA)
Intra-Horizon VaR and Expected Shortfall
Portfolio Opportunity Distributions
Multivariate Portfolio Skewness, Co-Skewness, Kurtosis and Co-Kurtosis using Tensor Matrices
ETF Database screening tool
Liquidity VaR with correct scaling of higher moments
Four Moment Risk decomposition
Terminal Wealth Horizon Normal and Modified
Incremental and Marginal VaR plus Four Moment version -
Why Distributions Matter
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In this presentation I highlight the deficiencies of the Cornish Fisher expansion to the Normal Distribution ( Also covered by Mina and Ulmer in Delta Gamma - Four Ways http://www.msci.com/resources/research/working_papers/dg4.pdf , Jaschke http://fedc.wiwi.hu-berlin.de/xplore/tutorials/xfghtmlnode8.html and Stoyanov http://discussions.ft.com/alchemy/forums/edhec-risk-forum/hedge-fund-risk-management-models-for-the-return-distribution/ amongst others ) I provide a small VBA test of the bounds…
In this presentation I highlight the deficiencies of the Cornish Fisher expansion to the Normal Distribution ( Also covered by Mina and Ulmer in Delta Gamma - Four Ways http://www.msci.com/resources/research/working_papers/dg4.pdf , Jaschke http://fedc.wiwi.hu-berlin.de/xplore/tutorials/xfghtmlnode8.html and Stoyanov http://discussions.ft.com/alchemy/forums/edhec-risk-forum/hedge-fund-risk-management-models-for-the-return-distribution/ amongst others ) I provide a small VBA test of the bounds of the feasible region within which the expansion is 'well behaved'. I also use some 'best fit' distribution fitting methods to arrive at the bi-variate copula correlation which can be used ,amongst other things, for pair trading. These non-linear 'best fit' methods identify different lowest correlated pairs than the standard product moment or Pearson correlation method approximately 1/3rd of the time.
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A Systematic Fund of Managed Accounts
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In this presentation I construct and back-test a dynamically re-balanced fund of Managed Accounts and compare and contrast the out-of-sample (ex-Post) performance to that of the passive equally weighted index using the same funds.
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Technical Editor for Financial Risk Management For Dummies
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Proofreading and tweaking Aaron's already brilliant prose
Honors & Awards
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Pro Patria Medal
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Languages
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Afrikaans
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Recommendations received
15 people have recommended Peter
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Seeing quite a few articles arguing that rally in the Equally Weighted S&P500 Index versus the Mkt Cap weighted S&P500 Index we saw in July is a sign…
Seeing quite a few articles arguing that rally in the Equally Weighted S&P500 Index versus the Mkt Cap weighted S&P500 Index we saw in July is a sign…
Shared by Peter Urbani
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U.S. Dollar Index $DXY is now trading below its 200 Day Moving Average by the largest amount since July 2023 Source: Barchart
U.S. Dollar Index $DXY is now trading below its 200 Day Moving Average by the largest amount since July 2023 Source: Barchart
Liked by Peter Urbani
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*** Move Over, Pythagoras *** ~ The history of mathematics has an image problem. It is often presented as a meeting of minds between ancient Greeks…
*** Move Over, Pythagoras *** ~ The history of mathematics has an image problem. It is often presented as a meeting of minds between ancient Greeks…
Liked by Peter Urbani
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How does AI perform compared to human analysts in predicting stock returns? Under what circumstances do human analysts retain their advantage over…
How does AI perform compared to human analysts in predicting stock returns? Under what circumstances do human analysts retain their advantage over…
Liked by Peter Urbani
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Excel irritation of the day. Excel 365 has very useful automatic #SPILL arrays that automatically mark ranges as resizable dynamic arrays the first…
Excel irritation of the day. Excel 365 has very useful automatic #SPILL arrays that automatically mark ranges as resizable dynamic arrays the first…
Posted by Peter Urbani
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Laplace's classic work, "A Philosophical Essay on Probabilities," is available online for those interested in the history of probability…
Laplace's classic work, "A Philosophical Essay on Probabilities," is available online for those interested in the history of probability…
Liked by Peter Urbani
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The figure "8%" Capital adequacy – is it a trick or not? As is known, according to Basel, the capital adequacy level should not be lower than 8%…
The figure "8%" Capital adequacy – is it a trick or not? As is known, according to Basel, the capital adequacy level should not be lower than 8%…
Liked by Peter Urbani
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Emerging Markets ex-China -the big breakout is sticking... -correction saw a retest --so far so good! What to watch for and why to expect more…
Emerging Markets ex-China -the big breakout is sticking... -correction saw a retest --so far so good! What to watch for and why to expect more…
Liked by Peter Urbani
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Today we published our annual “Mind the Gap” study, finding the average dollar invested in funds earned about 1.1 percentage points less per year…
Today we published our annual “Mind the Gap” study, finding the average dollar invested in funds earned about 1.1 percentage points less per year…
Liked by Peter Urbani
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