Risk Management

While the due diligence process helps to determine if a manager will receive an allocation, Greenwich-Van’s comprehensive risk management ensures that only appropriate managers remain in a given portfolio. Greenwich-Van’s risk management team continually monitors each manager using both quantitative and qualitative metrics.

Greenwich-Van’s Quantitative Analyses include:
GENERAL PORTFOLIO STATISTICS

Level of Positions ~ What are the fund’s typical levels of investment in both long and short positions, on a gross as well as net basis? What are the concentration, liquidity, percentage use of derivatives and percentage use of small and micro-cap stocks for these positions?

Risk Factors of Positions ~
What are the country, currency, product, sector and credit risks associated with the fund’s positions? How much leverage is used by these positions?

Valuation of Positions ~ Where does the manager get prices for the fund’s positions? How often are the fund’s positions valued? Are marks provided or verified by a third party?

RISK FACTOR EXPOSURE
Defined Risk Factors Per Fund ~ What is the overall fund’s exposure to risks related to interest rates, equities, credit, currencies, commodities and other factors?

Defined Exposure Ratios ~ How do moves in various benchmarks generally affect the fund?

PORTFOLIO RISK MANAGEMENT

Value at Risk ~ What is the VaR for each of the funds in a portfolio? What is the VaR for the entire portfolio?

Scenario Risk Tests ~ How was the fund affected (or how would it be affected) by substantial historic events?

Stress Tests for Non-Linear Market Moves ~ How does the fund perform in markets that are typically detrimental to the fund’s strategy or trading style?

Greenwich-Van’s qualitative review process focuses on changes in the fund since original due diligence was performed. These include:

Change of service providers
Personnel turnover
Change in assets
Change in systems or infrastructure
Change in the position-marking policy
Change in major risk exposures