The desk · projects
Systematic and quantitative portfolio management: allocation, risk budgeting, performance attribution, fixed income and the BAM curve, factor research, liquidity and derivatives hedging.
Portfolio management is the primary practice: a mandate, an allocation, a risk budget, a research process, and an attribution report that explains the result. The projects below are built on public BVC and Bank Al-Maghrib data, with assumptions and limitations stated next to the numbers.
13 projects on the desk
Portfolio ManagementAcademic pitch EN
Holcim Maroc trades at 17.9x earnings and 3.1x book for a 19.3% ROE and a 6.0% yield near its 52-week low. The market is pricing a cement downturn; the …
Portfolio ManagementTool EN
A weighted BVC and global-ETF portfolio risk dashboard: historical VaR 95%/99% and CVaR, annualized volatility, maximum drawdown, Sharpe and Sortino, …
Portfolio ManagementAcademic pitch EN
Managem has run 139% YTD to 28.2x TTM earnings and 15.7x book — a near-60% P/E premium and a 3x P/B premium to the peer median — on an EPS base that is …
Portfolio ManagementAcademic pitch EN
Marsa Maroc trades at 32.7x TTM earnings and 13.6x book against an 18.6x/3.2x market median, while Nador West Med adds competing container capacity. The …
Portfolio ManagementLab EN
A rules-based 15-name BVC portfolio compounded at 9.7% net against a 5.0% cap-weighted benchmark, a 4.7% annual excess with a 0.63 information ratio. …
Portfolio ManagementLab EN
Momentum is the only factor with a positive, significant premium after excluding microcaps: 6.7% net CAGR, 0.67 Sharpe, 0.078 IC. Size earns 0.5%, the …
Portfolio ManagementLab EN
The BVC is thin. Median ADV is 0.83M MAD; the median stock needs 57 days to exit a MAD 5m position at 10% of ADV. Even ATW needs 1.3 days. 84% of names are …
Portfolio ManagementAcademic pitch EN
Morocco's leading private bank is 1.4% above its 52-week low, on 12.6x earnings and 1.9x book for a 15.9% ROE. The market is pricing NIM compression; the …
Portfolio ManagementLab EN
A full derivatives lab on real data: the SPX surface across six expiries (2,565 quotes, forwards from put-call parity, butterfly-constrained SVI, 0.03 …
Portfolio ManagementTool EN
Bank Al-Maghrib's 16 October 2026 reference curve, fitted with NSS (3.85 bp in-sample, 30.6 bp leave-one-out) and used to price an 81.4M MAD sovereign …
Portfolio ManagementLab EN
A 38-year-old household with 300,000 MAD saved and 8,000 MAD a month funds a property down payment, four years of university and retirement from one …
Portfolio ManagementTool FR
Construire un portefeuille BVC (Akdital, Attijariwafa Bank, STMicroelectronics) en trois commandes, puis le simuler sur 10 000 trajectoires : allocation, …
Portfolio ManagementTool FR
Un terminal financier en bash pur (curl + jq, rien d'autre) : S&P, VIX, MASI et crypto vivants dans le prompt ; une commande morocco pour toute la cote …
13 projects
Type to search across portfolio work, corporate finance, notes and pitch exercises.