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Nkululeko Simelane

@nkululekosimelane

Quantitative researcher at Sanlam Investment Group managing ALM mandates and developing systematic digital-asset strategies.

South Africa

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What I'm looking for

My interests centre on systematic trading, investment research and portfolio management across traditional and crypto markets.

At Sanlam Investment Group, I manage ALM and liability-driven mandates within an institutional portfolio, assessing rates, inflation, credit, liquidity and basis exposures. I also implement OIS curve and forward-rate analytics for derivatives valuation and risk attribution.

In independent digital-asset research and trading, I developed copula statistical-arbitrage research and cross-venue perpetual funding strategies. I built pre-trade exposure and margin controls, drawdown safeguards, and fill-reconciliation tools.

At Hillingdale Capital, I evaluated alpha factors and strategy variants across crypto derivatives data and developed performance attribution and rebalancing logic. My research also covers derivatives pricing, risk analysis and data infrastructure, supported by Python and SQL.

Experience

Work history, roles, and key accomplishments

Current

ALM Portfolio Manager

Current

Sanlam Investment Group

Jun 2024 - Present (2 years 4 months)

Manages ALM and liability-driven mandates within a R112bn institutional portfolio, evaluating rates, inflation, credit, liquidity and basis exposures. Implements OIS curve bootstrapping and forward-rate analytics for derivatives valuation and risk attribution.

ALM Portfolio Management OIS Derivatives valuation Risk Attribution Duration Convexity Key Rate Exposures Error Tracking Total Return Swaps

Current

Quantitative Trader / Researcher

Current

Independent crypto research and trading

Jan 2022 - Present (4 years 9 months)

Developed copula statistical-arbitrage research and cross-venue perpetual funding strategies. Built pre-trade exposure, margin-headroom controls, daily-loss circuit breakers and fill reconciliation systems.

Copulas Statistical Arbitrage Engle–Granger Two Step Procedure KSS MLE AIC Volatility Targeting Funding Strategies Bybit Hyperliquid Execution Reconciliations Risk Control

Quantitative Research Consultant

Hillingdale Capital

Nov 2025 - Apr 2026 (5 months)

Evaluated 17+ alpha factors and strategy variants across eight years of crypto derivatives data. Applied Monte Carlo simulation, extreme value theory and scenario analysis to examine robustness and risk-adjusted returns.

Alpha Factors Strategy Evaluation Monte Carlo Simulations Extreme Value Theory scenario analysis Performance Attribution Rebalancing Risk Management

Global Markets Analyst

Absa Corporate and Investment Banking

Feb 2023 - Jun 2024 (1 year 4 months)

Built OIS-discounted multi-curve valuation frameworks and reconciled market-implied curves with internal pricing models. Collaborated with quants and structurers on CVA, DVA and FVA analysis for derivatives pricing and counterparty exposures.

OIS Discounting Multi Curve Valuation Derivatives Pricing Models CVA DVA FVA Interest Rate Hedging FX Hedging Risk Management

Analyst | Risk Consulting

Marsh Advisory

Feb 2021 - Jan 2022 (11 months)

Delivered enterprise, strategic, climate and cyber risk assessments, translating exposures and control findings into client risk frameworks and mitigation recommendations.

Enterprise Risk Strategic Risk Climate Risk Cyber Risk Risk Assessment Risk Frameworks Mitigation