Liquidity Risk |
MMA’s portfolio is designed to be extremely liquid on a daily trading basis. We limit the majority of positions to less than one day’s trading volume (20 day ADV). We track weekly, each position as percent of average turnover.
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Small Portfolio Leverage
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Maintain gross exposure under 200% on an average monthly Delta Adjusted basis. Our "leverage” comes from our concentrated positions on stock picks.
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Tight Stop-Loss Points
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10% at cost for longs, 5% for shorts. MMA tracks average cost on all positions every day to validate risk on investment thesis. The fund will begin reducing exposure when our stop loss limits are triggered.
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Manage Black Swan Risks
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Run scenarios to simulate impact of black swan events. Use derivatives to hedge VaR. While hedging is the end goal, we manage to squeeze gains out of our hedging positions. |
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Control Key Risk Metrics
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Avoid over-reliance on any single investment thesis by monitoring individual position limits, sector exposure, market exposures, etc. |
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Currency Hedge
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Reconcile Cash positions every day and monitor non-USD holding. Proactively manage amount of FX exposures to minimize impact on currency movement. |
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Counterparty Risk
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In trading, we have trading access with 20+ brokers on the Street. For cash, we have two accounts where we can deposit our cash positions. One with prime broker and one with BNY Mellon.
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