Valid PM is required.

Overview Questions


Team Size, Cost & Structure Answers
How many investment professionals are on your team?
What is the ideal team size going forward?
What is your estimate for investment strategy costs?

Please list out above detailed costs of running your strategy:
Please list the data and systems that are necessary to perform:
Is there anything (system, data, tool, etc.) at your current place of employment essential to your process?
What data sets have you used and how do you consume it?
Please select from the denominator you will use to define returns/portfolio level exposures/position sizing

Please fill below:
Input Denominator
Current denominator being managed, in $mm
What is the capital limit of your strategy?
What is your expected % annualized return?
What is your expected % annualized volatility?
What is your average % utilization?

Please fill below:
Answer Details
How many securities are in your investment universe?
How many positions will be in your portfolio regularly (Long + Short)?
How many long positions are in your portfolio on average?
How many short positions are in your portfolio on average?
What is your minimum amount of long posistions at any given time?
What is your minimum amount of short posistions at any given time?
What is your expected annual gross $ turnover (total $ traded / max allowable GMV)
Expected annual name/idea turnover
What is your average % gross exposure deployed over the past 3 years?
What is your average $ gross exposure deployed over the past 3 years?

Is any part of the performance history simulated or pro-forma or altered (e.g. trades omitted)? Does any portion of the track record represent contribution of ideas?
What is your maximum % drawdown in your track record (peak to trough) and when was it?
How did you manage your exposure through this drawdown? Did you alter your gross or net exposures?

Portfolio Level Exposures

Gross Exposure as % of Allocated GMV Net Exposure as % of Allocated GMV Details
Max Exposure of Portfolio Intraday
Max Exposure of Portfolio Overnight
Beta Adjusted Max Exposure of Portfolio Intraday
Beta Adjusted Max Exposure of Portfolio Overnight



Long and Short Position Limits

Exposure Limits - as % ofAllocated GMV Answer Details
Max Gross Exposure (Delta-Adj)
Max Net Exposure (60d SPY Beta-Delta-Adj)
Max Net Exposure (Delta-Adj)

Max Single Stock/Issuer Long @ Mkt (ex ETFs)
Max Single Stock/Issuer Short @ Mkt (ex ETFs)

Max Short Exposure to names with SI% Float above 40%
Max Short Exposure to names with SI% Float above 30%

Max Exposure to Top 10 Long Issuers (ex ETFs)
Max Exposure to Top 10 Short Issuers (ex ETFs)

Max Gross Exposure to Mkt Caps <$2000mm
Max Gross Exposure to Mkt Caps <$500mm
Max Gross Exposure to Mkt Caps <$250mm

Max Gross Exposure to Issuers in US/CA
Max Gross Exposure to Issuers in Core Dev Eur
Max Gross Exposure to Issuers in Asia
Max Gross Exposure to Issuers in any other region combined
Max Net Exposure to any Region or Country
Max Net Exposure to any Region or Country (60d SPY Beta-Delta Adj)

Max Gross Exposure to Consumer Discretionary Sector
Max Gross Exposure to Consumer Staples Sector
Max Gross Exposure to Materials Sector
Max Gross Exposure to Technology Sector
Max Gross Exposure to Industrials Sector
Max Gross Exposure to all other Sector
Max Net Exposure to any Sector
Max Net Exposure to any Sector (60d SPY Beta-Delta Adj)

Max Net Exposure to any GICS Industry
Max Net Exposure to any GICS Industry (60d SPY Beta-Delta Adj)

Max Net Exposure to any GICS Sub-Industry

Max Gross ETF Exposure

Allocated GMV of names above 1x 20d ADV
Allocated GMV of names above 0.5x 20d ADV
Allocated GMV of names above 0.25x 20d ADV


Do you track factor exposure? If so what Factors?
What % of your portfolio is pairs trades vs stand alone long/shorts?
What is your usual annual batting average and slugging ratio?
Have you ever constructed your portfolio differently than how you outlined in the previous sections? If so, why?

Risk Approach

How do you exit losing positions?
From the peak, at what % drawdown on an indivdual position would you reduce your position?
How much do you reduce a position once it hits a drawdown trigger?
What % loss on an individual position causes you to reduce it by 100%?
What % drawdown on the portoflio do you begin reducing your gross portfolio size and how much will you reduce it by?
How much of the drawdown would need to be recovered before you gross back up?

Research, Trading, and Support

How do you primarily source your ideas? Please provide an approximate percentage breakdown below:
Percent Details
Quantitative Screens
Sell Side Research & Analyst Meetings
Buyside Analyst Network
Industry & sell-side Conferences
Internet Communities
Top Down and Thematic Ideas
Coporate Action
Short Term Price Dislocations
Other

Please describe your investable universe and how many names it is comprised of. Also please describe how your universe has developed over time.
Please describe at a high level your research process, from idea generation to determination of position size:

Earnings, Corporate Actions, and IPO Activity

What is the maximum total size of positions that are initiated within 48 hours of an earnings announcement and exited within 48 hours after an earnings announcement?

What is the maximum size of a single position that is initiated within 48 hours of an earnings announcement and exited within 48 hours after an earnings announcement?

To what extent do you reduce your aggrerage portfolio into earnings for positions that are not specifically earnings plays?

What action (if any) is taken if one of your positions becomes in a material corporate action?
How do IPOs and other syndicate actives fit into your strategy?
Out of 100, what % of your performance do you expect to acheve from IPOs and other syndicate activity?

Instructions for return data input

For the relevant months/years, please input the requested information below as indicated in the BLUE highlighted cells.

Please input $ values in millions (e.g. $10,000,000 should be input as $10). In the event data does not exist for a specific month or year, please leave blank.


Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2026$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2025$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2024$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2023$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2022$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2021$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2020$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %

Input Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Annual
2019$ pnl
Avg. Utilized ($'s)
Avg. Allocated ($'s)
Return on Utilized %
Return on Allocated %
Date of Portfolio     Value of Portfolio  

*for ticker format, please use Bloomberg formatting, for example "AAPL US Equity"
Ticker Weight OR Position (Shares)
 
Please provide your typical % exposure to each GICS sector:
Sector % Exposure Additional Details
Energy
Materials
Industrials
Consumer Discretionary
Consumer Staples
Health Care
Financials
Real Estate
Information Technology
Communication Servces
Utilities

Please provide your typical % allocations for geographical exposure:
Region % Exposure Additional Details
North America
EU
Asia ex. Japan
Japan
Other
An error has occurred. This application may no longer respond until reloaded. Reload 🗙