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Full set of investment services

Selecting AIS funds, assembling a portfolio of single manager or multi-manager funds is both an art and a science. Some investors will be better off with style focused funds, others with asset classes/sector focused while all will gain from building a well diversified portfolio. We help investors in selecting managers and building the risk-adjusted return porfolios that best suit their needs and expectations.

Investors have hired us to deliver the following services:

  • Formulate investment policy and implement strategies
  • Monitor and evaluate assets and total portfolio performance and risk
  • Develop asset allocation and rebalancing recommendations
  • Evaluate existing hedge funds portfolio
  • Evaluate targeted managers
  • Perform ongoing risk due diligence
  • Review due diligence and on-site due diligence
  • Check manager backgrounds
  • Select and evaluate managers
  • Customize AIS portfolios with multi- and/ or single manager strategies
  • Carry out risk assessment, performance/risk attribution
  • Organise investment seminars

Where do we fit into your investment decision?

Problem


Tools & Process


Solution


Investment Policy Statement


Determining whether and how to assemble a hedge fund portfolio.


  • Determine objectives, factoring growth and income needs
  • Determine appropriate risk/return pattern
  • Establish investment guidelines and develop a time frame incorporating these considerations
  • Investing via portable alpha or separate allocation

Asset Allocation


Top Down Style Allocation
Optimizing a mix of strategies based on portfolio requirements.


  • Screen risk/return patterns of specific investment funds strategies
  • Determine optimal weighting and number of managers
  • Perform Scenario analysis and stress test

Manager selection


Bottom up Manager Selection
Identify suitable managers to create a diversified portfolio.


  • Conduct manager search to indentify suitable candidates and their source of alpha
  • Perform due diligence, interview and background check
  • Perform manager evaluation, track record and and biorhythm analysis
  • Perform peer groups and quartile analysis
  • Allocate to each manager according to their biorhythm in order to yield an optimal global portfolio return

Portfolio Monitoring


Performance and risk attribution analysis
Post implementation monitoring of portfolio.


  • Control performance on a regular basis and measure performance vs broad market indexes
  • Examine performance attribution on a regular basis
  • Examine the impact of organizational changes that may affect the management of the selected funds
  • Highlight the factors causing past results and driving future performance
  • Rebalancing the portfolio as appropriate

Case Study 1: Customized FoFs portfolio for a low risk profiled middle size Foresight Mutuality Investor

OBJECTIVE:

Create a diversified low risk Hedge Funds portfolio


  • investment size: $100 mio, 15% of total assets
  • Requirements: achieve a performance above benchmark. Target absolute returns 8-12%
  • moderate volatility: no higher than 0,5% monthly or no higher than 1,5 that of the Lehman Aggr. Bond Index
  • Low correlation: less than half point to the S&P500 Index and Lehman Aggr. Bonds Index
  • Maximum Drawdown : 9%, Benchmark: HFRI FoF Diversified Index

PROCESS:

Manager evaluation & selection


  • Step 1: screening to create a short list according to the investor`s minimum requirements: monthly liquidity, no lock up, 3 years' track record, strong risk control,
  • Step 2: screening to create a short list based on risk parameters and correlation
  • Step 3: conduct a due diligence of all the funds on the short list
  • Step 3: final manager evaluation for selection

RESULT:

Build up an optimal multi-strategy portfolio


  • Invested across 23 single and multi-strategy managers to enhance diversification effect
  • Implemented investment process via portable alpha
  • Improve risk /return characteristic of the global portfolio
  • Statistics for 2002:
Leverage 4.9% ;
3 years volatility 3.6.% ;
Returns 10.2%;
Sharpe Ratio: 1.51;
Correlation S&P500: 0.41
Lehman Aggr.Bonds 0.43

Case Study 2: Asset Allocation with AIS for a medium risk profiled Family Office

Investor’s Profile

Family Office department of a middle sized institution
Conservative and income–oriented investor, capital preservation is important.
All dividends and capital gains are intended to be retained in the portfolio for the first 5--8 years. In the event of retirement after 8 years, the income generated may be required.

Strategic Asset Allocation with AIS for a low risk profiled Family Office

OBJECTIVE:

Create a diversified income with some growth portfolio


  • Portfolio Size: $ 350 mio, Total AUM: $ 3 billion
  • Requirements: Target 11% compound annual return (ROR)
  • Very low volatility: 0% risk tolerance over any 12–month period
  • Low correlation: less than half point to S&P 500, Lehman Gvt Bonds
  • Maximum Drawdown: 2% over 24–month period
  • Benchmark: HFRI diversified

PROCESS:

Asset Classes and Manager selection


Step 1:

  • Determine the parameters around which the portfolio will be optimized
  • Define the available asset classes to be included in the portfolio, on the basis of historical data and time series
  • Determine the methodological frame for risk management techniques of rebalancing and reallocation
  • Define the maximum risk constraint by choosing a higher confindence level ( 90%) in order to match the conservative portfolio structure

Step 2:

  • Eliminate from the asset allocation, asset classes that are inherent
  • High-categories: aggressive growth and emerging markets asset classes
  • Introduce alternative asset classes that give diversification during market downturn:
  • convertible arbitrage, market neutral, CTA‘s
  • Introduce asset classes that give good returns and capital preservation during bond market downturn with limited risk: investment grade corporate bonds
  • Selection of international funds, government bonds and mortgage bonds that minimize duration and prepayment risk

RESULT:

Propose an optimal portfolio mix at different statistical confidence levels


Portfolio Basic Mix


Asset Class

Allocation

Money Market (t-bills)
Real Estate Funds
Fixed Income Funds
- Mortgage (10%)
- Intenational Government (5%)
Corporate Bond Funds
Balanced Funds
Bond/Equity (40/60)
Growth and Income Equities
Hedge Funds


20%
10%
15%



15%

10%
15%
15%

STATISTIC: Variation Mix at 90% confidence level


Option 1Option 2Option 3Option 4

Compound ROR since inception12,53%12,85%12,78%13,05%

5 - Year Mean ROR13,70%13,75%13,66%13,88%

1 - Year Mean ROR14,24%14,34%14,10%14,21%

1- Year Standard Deviation10,35%9,95%7,89%7,79%

1- Year Minimum ROR-3,11%-2,04%0,56%1,68%