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RiskMetrics Group. Presentation to the Securities and Exchange Commission May 14, 2003. Case in point: the hedge fund market. Fund of Fund. Consultants, Advisors. Fund Administrator. Prime Broker. Hedge Fund. Hedge Fund. Hedge Fund. Hedge Fund. Hedge Fund. Investors
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RiskMetrics Group Presentation to the Securities and Exchange Commission May 14, 2003
Case in point: the hedge fund market Fund of Fund Consultants, Advisors Fund Administrator Prime Broker Hedge Fund Hedge Fund Hedge Fund Hedge Fund Hedge Fund Investors Service Providers Managers
Attacking the Hedge Fund Market • RiskManager / RM Direct • Both direct and third-party sales • Static Risk Reporting • Production of static hedge fund reports via third-party • Hedge Platform • Membership-based vehicle for both FoFs and HFs • Based on monthly collection of positions and report production Hedge Platform Static Reports Risk Manager
Hedge Platform Process 1 2 3 4 • RiskMetrics collects Hedge Fund positions • Investor/FoF requests reports • HF permissions reports, inputs net capital % • Platform distributes reports
HedgePlatform – Reporting Tier Overview • Tier 1 – Market Value • Long, Short, Net & Gross • Mark-to-model valuations, position counts, leverage • Subtotaled by obvious categories • Compliance reporting for IRS and SEC • Tier 2 – Exposures • Dollar-based delta sensitivities • Equity, Int Rates, Credit, Vol, Currency, Commodity • Tier 3 – Risk • VaR and Stress Tests