Funds of Funds are becoming increasingly popular. They can reduce downside risk through diversification of uncorrelated, negatively correlated and non-correlated asset managers. CMRA works with Fund of Funds to perform risk due diligence on managers and potential managers and to provide risk transparency to its investors as well as to evaluate risk adjusted returns and correlation benefits.

Click to view:

• What is Risk? - Chapter 1 of Hedge Fund Risk Transparency: Unraveling the Complex and Controversial Debate
• IAFE Investor Risk Committee’s Hedge Fund Risk Transparency Survey 06/06.
• AIMA/CMRA’s Hedge Fund and Fund of Fund Survey Risk Management results.
• AIMA/CMRA’s Hedge Fund and Fund of Fund Survey Transparency results.
• CMRA’s January ‘02 edition of Risk Insights.
• CMRA’s “How to Select a Buy-Side Risk Management System”. Also with a detailed comparison matrix.
• CMRA’s survey of Fair Value/NAV practices.
• CMRA’s survey on Hedge Fund Risk Measurement & Reporting.
• Leslie Rahl’s best selling book on risk budgeting.
• IAFE Investor Risk Committee’s findings regarding hedge fund transparency.

CMRA Services

• Portfolio construction
• Manager selecting
• Asset allocation/modeling
• Due diligence
• Product design
• Performance measurement
• Create customized risk and P&L reports for investors
• Design and implement risk adjusted performance measures
• Refine manager allocation process to incorporate Risk Budgeting
• New product development
• Build risk management infrastructure and process
• Enhance investment selection process to include broader range of investments
• Implement Value-At-Risk, Stress Testing and Scenario Analysis on both absolute and a benchmark relative basis
• Provide independent risk oversight and internal audit services
• Introduce customized risk and P&L reports
• Develop investment guidelines, policies and procedures
• Review business processes for operational, legal and reputational risk
• Design reporting requirements for investment managers
• Build customized benchmark indices
• Independent valuation
• Risk branding/strategic risk management

Selected Assignments

Reviewed the due diligence approach of a $1B+ fund of funds, recommended changes and trained key personnel in risk due diligence through on-site joint due diligence.

Provided daily risk reporting to Bermuda-based fund of funds manager Investor Select Advisors along with Measurisk.

Conducted an independent risk assessment for one of the largest mutual funds groups for each of its fund's portfolios, and designed and implemented risk management policies, controls and procedures for all financial activities. In addition, CMRA conducted a training session for the Board of Directors.

Served as Technical Advisors and Coordinators to the Risk Standards Working Group in the development and release of the Risk Standards for Institutional Investment Managers and Institutional Investors. The combined Working Group and Comment Group consisted experienced individuals from over 70 major pension funds, endowments, foundations, insurance companies, investment managers, master trustees, regulators, consulting firms and academics.

Performed a comprehensive risk assessment and update of internal and external risk management policies, implemented improved risk reporting, and reviewed internal and external investment managers for a large corporate pension fund in the US.

Evaluated the VaR implementation and reporting to the Board of Directors for one of the largest non-US plan sponsors..

Developed derivative guidelines for the overall fund and its investment managers, designed a fund-level risk reporting and aggregation reporting system to drastically improve the ability to manage the trust assets for a large corporate pension fund in the US.

Reviewed the manager guidelines and the risk management capabilities of four of the outside managers for one of the largest Manager of Managers.

Analyzed the impact of several proposed covenants for a new fund and reviewed the robustness of their approach for a hedge fund.

Analyzed the circumstances surrounding Orange County’s unexpected collateral calls for an assessment of the impact on the overall portfolio and investment strategy.

Designed and implemented a Value at Risk methodology and reporting process for a A large hedge fund.