Flagship products

Coronation Relative Value Fund $200m AUM
Coronation Global Equity Fund $550m AUM
Coronation Global Macro Fund $30m AUM
Coronation Hedge Fund Portfolio Managed Accounts

Manager selection process

•  Focus placed on the manager’s process with an examination of the manager’s skill, as well as the manager’s ability to apply the right skill set to the right opportunities at the right time.

• Quantitative research conducted on the manager’s performance

•  Research on the organisation focuses on the background of the individuals involved in the investment process, and the confirmation that sufficient infrastructure is in place. Investment professionals, the support functions and organisational structure, ownership and compensation are all analysed This work focuses on detecting the differences between managers.

• The underlying manager due diligence process involves on-site visits to the managers’ offices by COO and the risk analyst. The due diligence team meet the manager’s CFO, COO and back-office staff in order to satisfy requirements in terms of: fund management systems; service providers; legal structure; fund structure; compliance; regulation.

Strategies included in funds of hedge funds

•  Coronation Relative Value Fund 
  Convertible arbitrage; Fixed income arbitrage; relative value arbitrage; statistical arbitrage; event driven; distressed debt; merger arbitrage; high yield; global macro
  
  
• Coronation Global Equity Fund
  Long/short strategies

• Coronation Global Macro Fund
  CTA and global macro strategies

•  Coronation Hedge Fund Portfolio
  Managed accounts

Strategic asset allocation target is reassessed every quarter. On a micro-level, portfolios are continuously monitored, along with sector and market developments and emerging trends and the implications thereof for the underlying managers. On a more formal basis the investment committee meets on a monthly basis, or more often as need dictates, in order to assess tactical deviation from the strategic guidelines. More significant changes tend to be made every six months. Attention paid to identifying profitable opportunity sets, rather than market direction.

Reasons for excluding managers from the portfolio

Change in the tactical allocation of a particular strategy. Level of performance and volatility outside predetermined expectations for that manager and lack of a satisfactory reason for this deviation upon investigation.

Investment and risk process

• Form views on sectors and strategies by analysing supply and demand of investment opportunities with focus on the impact of market dislocations.

•  Identify and screen hedge fund universe. Coronation excludes managers with excessive drawdowns, poor service providers and those who deal in unlisted securities.

•  Research and evaluate managers. Seeks to ensure that managers focus on risk management and performance which validates process.

• Construct portfolios. Risk budgeting focuses on weighted volatility, VaR and drawdowns. Portfolio testing with stressed correlations and Monte Carlo simulations.

• Continually monitor managers and portfolios. Proprietary system using managers’ current portfolio position data and performance data. Analysis of total risk as well as concentration, market, event and liquidity risk.

Team composition

•  Arne Hassel is chief investment officer, and responsible for managing the investment team, as well as the Coronation Global Macro Fund and the Coronation Multi-Strategy Fund.

•   Stuart Davies is a senior fund manager and responsible for the arbitrage and event driven strategies.