CMRA works with Managed Futures Funds to help demonstrate the distinct return-increasing / risk-reducing value that Managed Futures can add to a diversified portfolio. CMRA also works with CTAs and CPOs to develop investment vehicles that optimize trading strategies and operational efficiencies.

• Visit CMRA’s January ‘02 edition of Risk Insights.

CMRA Services

• Build risk management infrastructure and process
• Implement Value at Risk, Stress Testing tailored for intra-day trading
• Develop meaningful risk limits and establish a firm-wide risk appetite
• Provide independent risk oversight and audit services
• Develop useful and relevant leverage ratios
• Introduce customized risk and performance reports
• Design and implement risk adjusted performance measures
• Review compliance with investment guidelines, policies and procedures
• Assess impact of changes in covenants, regulations and partnership agreements
• Review business processes for operational risk using pragmatism and experience
• Create risk and performance reports to meet the needs of investors and liquid providers.
• Structure alpha-transport transactions
• Test and benchmark complex pricing models
• Develop useful and relevant leverage ratios
• Provide independent risk oversight and audit services
• Risk branding

Selected Assignments

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 updated internal and external risk management policies, implemented improved risk reporting, and reviewed internal and external investment managers including a managed future account for a large corporate pension fund in the US.

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

Reviewed the manager guidelines and risk management capabilities of four of their outside managers for one of the largest Fund of Funds.

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