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| B. DUE DILIGENCE QUESTIONNAIRE |
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| DOCUMENTS REQUIRED |
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- Offering
memorandum
- Marketing
material
- Audited
financial statements for the past 3 years (including annual or semi-annual)
- Regulatory
auditors reports (if any)
- Bios
(of principals and senior staff )
- Investor
letters (last 24 months, if available)
- Most
recent organizational chart
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| MANAGEMENT COMPANY QUESTIONS |
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| Document Specific |
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Date completed.
Person completing. |
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| Management Company |
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Official management company name. (Inception, Domicile).
Ownership structure with percentage.
Current firm assets under management. Historic firm
assets under management month to month, since inception.
Any plans for material company or operational changes?
Please explain.
Do you have long-term lock-ups in your capital base
in the form of principal-protected notes, CDOs or other
structures? Please explain.
Are you currently servicing any managed accounts? If
so, provide size, terms or restrictions. |
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| People |
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Total number of staff (with departmental breakdown).
Does the head of the back office/CFO participate in
trading activities?
Have there been any departures of senior staff in the
past 3 years? If so, provide date, the person's role,
and reason.
If the head portfolio manager were incapacitated, what
plan of action will the firm take in the short term?
In the long term?
Total amount of investment by principals and employees
in the funds and/or Company.
Have any principals reduced their personal investment,
if any in the Funds or Company? If so, please provide:
Date, Amount/Percentage, Reason. |
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| Legal/Compliance |
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Please provide contact information for your legal
advisor(s).
Firm and principal registrations (please provide registration
type and number).
Who has signature authority for withdrawals/redemptions
and how many signatures are required?
Has the Fund or any of the Fund's principals or officers
been a party to any past or present lawsuit, litigation
or arbitration, whether as a plaintiff or defendant?
Please describe whether or not the lawsuit, litigation
or arbitration has been settled, resolved, brought to
judgment, dismissed or is still pending.
Has any potential lawsuit, litigation or arbitration
been threatened against the Fund or any of the Fund's
principals or officers?
Has the Fund or any of the Fund's principals or officers
been a party to or the subject of any past, present
or threatened investigation, inquiry, proceeding or
action by any local, state, federal, or foreign governmental
authority or self-regulatory organization? |
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| Operations |
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Describe any disaster recovery plan (backups, redundancies,
off-site trading ability).
Do you, your administrators, or your administrators'
affiliates have one or more directors, officers, principals
or employees in common? If yes, please provide details.
Describe any automated processes across front, middle,
and back office operations.
Describe in detail how the firm allocates trades across
funds and separate accounts. What has been the historic
variance, if any across such allocations?
Describe in detail reporting and correspondence to on-
and offshore investors, to include frequency and degree
of transparency |
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| HEDGE FUND QUESTIONS |
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| Fund Information |
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Official Fund name. Inception date.
Contact information for primary investment manager for
Fund.
Current assets under management in the Fund. Historic
assets under management in the Fund, month by month
since inception.
Proportion of net assets attributable to the largest
investor.
List three (3) investors that may be contacted.
Amount of Proprietary capital in Fund.
Estimated maximum capacity/anticipated time to reach
maximum capacity. |
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| Strategy |
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Describe your strategy (philosophy and principles).
Describe changes to strategy over time (since inception).
If there were changes, provide date and details.
Any plans for strategy changes? Addition of new strategies?
Explain. |
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| Historical Performance |
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Summarize historical annual performance statistics.
Provide monthly gross and net performance since inception.
Provide maximum drawdown and recovery (provide drawdown
date(s) and length of recovery period, as well as catalysts
contributing to drawdown and run-up). |
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Fund Redemptions
& Liquidity |
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Redemption frequency, Notice days, Lock up, Redemption
fees.
Do the redemption fees flow back into the Fund?
Investor gate (limit on amount a single client is allowed
to withdraw at each redemption period).
Fund gate (limit on amount investors in aggregate are
allowed to withdraw at each redemption period).
How long would it take to liquidate 50%, 90%, and 100%
of the fund?
Any pending redemptions? If so, please state amount
and estimated timing.
Ever had suspension of payments? If so, please explain.
Any sidepockets or payment-in-kind? If so, please explain.
Any private equity, Reg D, or similarly illiquid securities.
If so, please provide proportions. |
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| Risk Management |
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Do you have written Risk Management policies? If so,
please provide.
Do you utilize any proprietary or non-proprietary risk
management systems? If so, describe and provide sample
report.
What types of risks do you take? What types of risks
do you hedge?
Have risk limits ever been violated? If so, please provide
details.
How do you control downside risk? If stops are used,
please explain their use in detail. |
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Exposure (Leverage/
Deleverage) |
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What is the Fund's historical average leverage? Max.
leverage (describe period in which max. leverage was
used).
How is the leverage calculated?
Leverage due to futures, options, swaps, repos, OTC
derivatives, etc. (Explain). Leverage due to debt (Explain). |
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| Portfolio Construction |
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Describe the portfolio construction process.
Number of positions (historical range). Holding period
(historical range).
Investment guidelines or limits (e.g., by position,
by sector, by country, etc.).
Typical percentage of portfolio accounting for the top
5 and 10 positions. |
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| Research &
Trading |
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Describe research and idea generation process.
If relevant, please provide the number of personnel
dedicated to the research process and the number of
dedicated personnel to the data collection and management
process. Please note if such person(s) has (have) trading
authority.
Which, if any, outside data sources and/or vendors do
you use to support research efforts?
Do you have dedicated traders separate from the portfolio
management group? If so, please describe trading authority
of related persons.
Please detail any employee personal trading policies.
Attach separately if necessary.
Describe allocation policy for block trades and partial
fills across funds and managed accounts. |
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| Operations |
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Do you have written compliance and operating protocols?
Please provide.
Extent of transparency (daily, monthly, delayed, all
positions, risk summary only, etc.).
Audits (list auditor, fiscal year end, and frequency).
Have there been any qualified opinions in any of the
past three audited financials?
Have there been any regulatory audits? If so, please
provide copy of the letter/report.
Custodian contact information. Prime broker(s) contact
information. Administrator/independent accountant contact
information. |
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| Standard Pricing
Protocol |
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Do you have written pricing procedures? If so, please
provide.
Does administrator/accountant independently price entire
portfolio at month end? If not, then at what frequency?
Have there been any restatements of NAV? If so, please
explain in detail. |
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| Illiquid Security
Pricing Protocol |
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What percentage of the portfolio is marked/quoted
by a single pricing source (either broker or portfolio
manager)? Please summarize by security type.
For illiquid securities, how often do you receive market
quotes? Please provide frequency such as daily, weekly,
and monthly and specific sources of the quotes.
If marks are received from multiple sources, what is
the historical average variance across these sources
and what is the ultimate mark/price used for the calculation
of NAV (Bid, Ask, Average, etc.)?
If you provide weekly or monthly estimates for investors,
how are quotes for illiquid securities verified? Please
detail.
Do you use any pricing protocol/theoretical pricing
models for illiquid securities? If so, please describe
the model(s) in detail. |
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| HEDGE FUND COMPOSITION |
| By Category (Representative Exposure (%) & Guidelines). DO NOT provide current exact values. A range is acceptable. |
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| Directional/Timing (Fundamental) |
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Pairs Trading |
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Options/Volatility (Long) |
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| Directional/Timing (Systematic) |
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Index Arbitrage |
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Options/Volatility (Short) |
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| CTA (Discretionary) |
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Statistical Arbitrage |
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PIPEs/Regulation D |
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| CTA (Systematic) |
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Dedicated Short |
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High Yield |
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| Mutual Fund Timing |
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Event Driven |
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High Yield Relative Value |
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| Distressed |
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Merger Arbitrage |
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Emerging Markets |
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| Equity Long |
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Fixed Income Basis |
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Private Equity |
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| Sector |
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Fixed Income Relative Value |
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Catastrophe Insurance |
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| Equity Long/Short (Long Bias) |
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Asset Backed Securities |
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Commodity Index Arbitrage |
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| Equity Long/Short (Market Neutral) |
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Mortgage Arbitrage |
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Capital Structure Relative Value |
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| Equity Long/Short (Short Bias) |
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Convertible Bonds |
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Investments in Other Hedge Funds |
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| Sector Hedged |
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Convertible Arbitrage |
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Other |
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| By Region (insert additional row, if necessary) |
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| Region Name |
Representative Exposure (%) |
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| By Country (insert additional row, if necessary) |
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| Country Name |
Representative Exposure (%) |
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| By Sector (insert additional row, if necessary) |
| Sector Name |
Rep. Exposure (%) Longs |
Rep. Exposure (%) Shorts |
Rep. Exposure (%) Net |
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| By Capitalization (insert additional row, if necessary) |
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Large |
Medium |
Small |
Micro |
| Rep. Exposure (%) Net |
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| Rep. Exposure (%) Longs |
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| Rep. Exposure (%) Shorts |
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| By Liquidity (insert additional row, if necessary) |
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High |
Medium |
Low |
Not Listed |
| Rep. Exposure (%) Net |
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| By Portfolio Manager (insert additional row, if necessary) |
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| Name |
Representative Exposure (%) |
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| By Client Type (insert additional row, if necessary) |
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U.S. Inst. |
Non-US Inst. |
US HNW Ind. |
Non-US HNW Ind. |
FOF |
Proprietary |
| Rep. Exposure (%) Net |
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| By Duration (insert additional row, if necessary) |
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0-1 Yrs. |
1-3 Yrs. |
3-5 Yrs. |
6-10 Yrs. |
10+ Yrs. |
| Rep. Exposure (%) Net |
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| Rep. Exposure (%) Longs |
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| Rep. Exposure (%) Shorts |
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| By Credit (insert additional row, if necessary) |
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Treas. |
Agency |
AAA-BBB |
BB, B |
Below B |
Non-investment grade, High Yield |
| Rep. Exposure (%) Net |
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| Rep. Exposure (%) Longs |
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| Rep. Exposure (%) Shorts |
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| By Fixed Income Sectors (insert additional row, if necessary) |
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Treas. |
Agency |
Muni Bonds |
Corp. |
MBS Passthroughs |
CMOs |
CMBs |
ABS |
Emerging Mkt Debt |
| Rep. Exposure (%) Net |
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| Rep. Exposure (%) Longs |
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| Rep. Exposure (%) Shorts |
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| By Security Type (insert additional row, if necessary) |
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Rep. Exposure (%) Longs |
Rep. Exposure (%) Shorts |
Rep. Exposure (%)Net |
| Corporate Fixed Income |
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| Convertible Debt |
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| Treasury |
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| Bank Debt |
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| Private Placements, 144 A Securities |
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| Other Non-Liquid Securities |
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| Exchange-Traded/-Listed Equity |
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| Non-Exchange-Traded Equity |
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| Swaps |
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| Futures |
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| Options |
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| ETFs (SPDRs, QQQs, etc) |
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| Cash or Cash Equivalent |
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| Other Derivatives |
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| Other |
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| By Position (largest 5 Long holdings in descending order) - Please use notional value of underlying asset for all derivative positions |
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| Security/Instrument |
Representative Exposure (%) Longs |
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| By Position (largest 5 Short holdings in descending order) - Please use notional value of underlying asset for all derivative positions |
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| Security/Instrument |
Representative Exposure (%) Longs |
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| © 2003 AIRT LLC. All rights reserved. |
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ll
managers considered for inclusion in the platform
must undergo rigorous due diligence, including: 
