 |
Individual candidates are obtained from a universe of potential funds that identify themselves as following a particular strategy; |
 |
The universe of available managers is winnowed down further by the employment of screens, including i) a minimum two year track record to determine style purity, and ii) minimum assets under management to assess a manager’s ability to build an institutional presence, as well as to manage assets without impacting strategy performance; |
 |
Cluster and/or quantitative analysis is performed using the returns of the managers’ standard program to assist in the identification of those candidate funds which are most likely to result in a style pure portfolio; |
 |
Confirmatory correlation analysis is performed comparing candidate fund returns to those of existing publicly available hedge fund indexes; |
 |
A qualitative and quantitative due diligence review is conducted on managers for which cluster or other quantitative analyses (correlation screens, beta and volatility analyses etc.) indicate have a strong style consistency; and |
 |
Managers who satisfy the above criteria and receive the approval of the Investment Committee qualify for inclusion within the respective segregated account portfolio. |
 |
|
he
CASAM Americas methodology begins with identifying a set of hedge fund managers who are potential members of the platform. The chart below summarizes the manager review and selection procedures in constructing a style pure portfolio of segregated accounts. An illustration of the number of candidates examined at each stage of the selection process for the Convertible Arbitrage strategy is provided.
