Quantitative Due Diligence

Before a new manager is included on the CCCM manager platform, the Investment Management Team and Risk Group conduct quantitative analysis in a wide range of areas, including monthly return patterns, standard deviations, correlations against existing managers and benchmarks, length and size of drawdowns, downside deviation and performance during periods of stress. The Team looks for systematic risk factors that explain the manager's returns, with analysis applied to both raw returns and de-smoothed returns. It is then down to the 'quality' of the returns to confirm that the numbers reflect reality and are repeatable. Other areas of focus include assets managed, leverage employed and diversification analysis.