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A portfolio manager in the making, based in Casablanca. I'm training the way I'd verify a model: allocation first, risk second, return last — and everything checked against the market.
That means building the full chain a PM relies on: portfolio construction and optimization on the Bourse de Casablanca, factor and market-risk research, valuation grounded in fundamentals, and a macro/markets context around all of it — with the data and Linux infrastructure underneath to keep it reproducible.
Most of my public work is code with a thesis behind it: a model, a number, a way to check it. FMVA® · BIDA® · RHCSA in progress.
Currently — a disciplined study of portfolio theory (Markowitz → Grinold & Kahn → Ang), live factor research on Moroccan listed equities, and a daily practice of the reading list that keeps the judgment sharp.
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01 · Allocation & construction Mean-variance to factor models — weights as a deliberate bet, not a whim. Markowitz to Ang: the discipline of the efficient frontier. |
02 · Risk, then return VaR, stress, exposure. The question a PM asks first is what breaks the book — the return decides itself afterwards. |
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03 · Equity & absolute value DCF, LBO, comps — a number that can't be defended to a committee isn't a number. Valuation is the last line of defense against the story. |
04 · Markets & macro cycles Credit cycles, factor rotations, behavioral biases. The edge of a PM is mostly context — recognizing when the market disagrees with you. |
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The shelf a PM-in-training works through — theory, risk, and the judgment that keeps a gérant honest.
- Theory & asset pricing — Markowitz, Grinold & Kahn, Ang (factor investing), Elton & Gruber, Ilmanen, Cochrane
- Quant & systematic — López de Prado, Qian/Hua/Sorensen, Narang, Carver
- Risk — Hull, Jorion, Crouhy/Galai/Mark
- Valuation & corporate — Brealey/Myers/Allen, McKinsey, Penman, Rosenbaum & Pearl
- Behavior & mentality — Kahneman, Thaler, Howard Marks, Taleb, Schwager
- History & markets — Chancellor, Lowenstein (LTCM), Lewis, Soros, Reinhart & Rogoff
Reading now — Asset Management (Ang) for factor investing, alongside Expected Returns (Ilmanen)'s risk-premium maps.
Quant & markets
Engineering & systems
Web & publishing
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Risk first, return second Every position starts with what hurts me. If the drawdown story holds, the upside takes care of itself. |
Thesis over prediction I don't bet on being right — I bet on being able to explain, test, and size a view. Faith in process, not forecasts. |
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Reproducible research Pipelines over one-off spreadsheets — versioned, schedulable, and honest about their confidence. No black boxes in finance. |
Discipline & the written record Discipline is built one reviewed decision at a time — the write-up is part of the deliverable, and the next decision gets better because of it. |
- Portfolio & case studies — deyirviel.com
- LinkedIn — in/yirviel-somé
- Email — yirviell.some@gmail.com
