Flagship product

Selectinvest Arbitrage/Relative Value.
AUM $3.6bn

Manager selection process

• Qualitative analysis.
  On-site meetings, document collection, research report.

•  Quantitative analysis.
  Statistical measures, risk management validation and classification.

• Structural risk assessment.
  First structural due diligence questionnaire, SRA report.

•  Monthly research meeting.
  Steps 1, 2 and 3 come together to approve or remove managers.

• Approved list.
  Results from research by analysts and constitutes our investment universe.

• Further analysis.
  Second structural due diligence questionnaire, and on-site meetings.

•  On-going monitoring.

Current strategy allocation for Selectinvest A/RV

Event driven 32 per cent
European event driven investing 10 per cent
Fixed income trading and arbitrage 18 per cent
Opportunistic and other 12 per cent
Distressed securities investing 12 per cent
Credit arbitrage 6 per cent
Convertible arbitrage 9 per cent
Merger arbitrage 1 per cent

Reasons for excluding managers from portfolio

•  Substantial under-performance versus comparable managers over a meaningful time period or in absolute terms.
• Major or abrupt shift in strategy.
• Significant change in manager’s lifestyle or personality.
• Significant change in firm’s ownership.
• Departure of a manager or a key person.
•  Changes in top management, which could jeopardise the quality of the fund.
•  High volatility and diversion from targeted returns.
• The manager introduces new strategies in the fund that are inconsistent with what was expected.
•  Problems with the administrator, such as NAV calculation issues.

Should a situation arise that points to a potential problem, then a detailed analysis is undertaken including a thorough risk management assessment that seeks to identify any factors outside the norm.

Risk-return indicators used

• Value at risk analysis.
•  Stress testing and scenario analysis.
•  Quarterly Risk Management Report for the funds of funds.

Team composition

• Jan Erik Frogg is the head of the alternative asset management group and responsible for the overall coordination and development of hedge fund research, due diligence, selection and monitoring, as well as portfolio management and marketing activities.

• Mark Kenyon is the president and chief executive officer of Union Bancaire Privée Asset Management LLC (UBPAM). He established the New York office of UBPAM and the development of its multi-manager business.

•  Roman Igolnikov is a managing director of UBPAM. His area of responsibility and expertise is risk management.

Management style

Over the past two years, the market saw a tightening of credit spreads and recently historical lows in term of volatility. Those new market conditions imposed some changes in term of asset allocation of an arbitrage portfolio and it was decided to increase exposure to event-driven managers that will seek opportunities on the market. European event-driven managers were favoured as UBP sees great opportunities in Europe.