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In 2022, the South African Pensions Fund Act was changed to allow funds to allocate up to 45% of their portfolio to offshore investments. This is a material change to fund regulations and naturally prompts the question: what is the optimal offshore allocation? In this research, we implement two...
ABSRACT Listed companies can acquire capital through a rights issue where existing shareholders have a preference in buying additional shares at a discounted rate, in proportion to their existing holding. When implemented, share prices tend to react to the announcement and the realisation...
This paper studies a long butterfly strategy (which is immune to parallel curve shifts but exposed to non-parallel curve shifts) on the South African interest rate swap curve. Ten swap butterfly risk factors are identified using monthly South African swap data from 2001–2022. The top ranked...
Research has shown that tail risk hedging using explicit option purchases and trend-following effectively mitigate equity tail risk. This paper demonstrates that these defensive qualities can be leveraged into offence: overlaying a two-pronged tail risk management strategy that employs both...
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