New York $1 Billion Fund of Funds

Overview

This FoF is a $1+ billion New York City based hedge fund of funds serving Latin American investors in US hedge funds that employ a variety of strategies. They selected Delta Hedge to create a customized system consolidating data that analyzes and ranks funds and strategies.

The Challenge

As a fund of funds the firm invests its capital in other hedge funds, monitoring, analyzing and optimizing returns on those investments. It obtains periodic performance data from the funds themselves and from third parties such as prime brokers and independent data providers, including periodic and annualized performance, standard deviations, Sharpe ratios, etc.

The fund faced the challenge of substantially automating the gathering of these data, the creation of various reports (correlations and rankings), and the publishing of internal reports for the portfolio management principals. Since most of the source data are available only monthly, it was critical to minimize the necessary processing time at the end of each month.

The Solution

Delta Hedge created an Excel-based solution that takes as input the various available data sources (also in Excel, whether native or derived), processes those data by fund type and strategy, and creates stylized, template-driven worksheets for publication. A front-end interface allows users to enter selection parameters and a transparent mechanism creates .pdf versions of the reports for managers.

The solution allowed the fund of funds to derive further value from its proprietary analytical tools by building on its existing platform, extending and automating its output, and delivering highly formatted reports to management more quickly.