HeyJaredOrca's Capital Strategies
Financial market coverage for professional and aspiring asset allocators, with a focus on relative value trading, portfolio strategies, risk management, and global macro.
- Indexed issues, last 90 days
- 4
- Latest publication
- Sep 23, 2026
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- Earliest in this view
- Sep 14, 2026
Latest issues
General Collateral Repos: Volumes Post Fed Rate Hike & Carry Trade Spreads (opens the original)
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Repo Rates Post Fed Rate HikeGC Volumes – decreased in velocity since June, but a pick-up was experienced since after the Fed’s target rate hike on September 16th.<img alt="" class="sizing-normal" height="801" src="https://s
Berkshire, SPY, IAK Mean-Reversion Model (PDF Link) (opens the original)
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Herewith attached a mean-reversion model built by using Multivariate Ornstein-Uhlenbeck for the relationship: $BRK.B and . I also included the various matrices, Probability Distributions, and a few other features.Kindly note that NaN is the range, it shows that no meaningful relationship exists, it isn’t a failure to dropNa. In other words, I used it to signal no-relationship, it’s not a model error.<div class="file-embed-
Treasury Bonds Valuation & Why Valuation Isn’t Enough (opens the original)
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I inherently believe in pricing more than valuation, but I think valuation sets a good platform, especially for fixed-rate nominal Treasury Bonds where future cash flows are pre-defined and the discount rates used to value the bonds, at a point-in-time, are homogenous.This article is part of a three piece series where I run readers through a relative value basis trade, including a futures product and an underlying bond. In this first piece, I merely show readers how to value the underlying bond
A Live Value-at-Risk Backtest (Financial Risk Management) (opens the original)
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I ran a VaR backtest last week on a South African insurance stock, called Momentum (MTMJ).I started by defining the parameter and running a year’s data, where my models set a boundary for where it expects 95% of the values to fit within, on a 1-period walk-forward basis.On 557 observations, I expected 28 exemptions, meaning, I expected 28 values to breach the 95% boundary (1.96 sigma level).I used historical VaR, which resulted in 31 exemptions (slightly underrestimating risk) - this literally j
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