Wednesday, January 07, 2009 - 3:02:13 AM
 

Mauá was chosen in honor of a Brazilian entrepreneur, Irineu Evangelista de Souza, known as the Baron of Mauá, who owned 17 companies in 1867 and whose fortune amounted to USD 60 million at that time, number compared only with the USD 100 million left by the 19th century’s richest man Cornelius Vanderbilt.

Mauá in tupi-guarani * (the native language of Brazil) also means “something high”.

Founded by former partners of Gávea, an independent Brazilian hedge fund, in 2005;
Strong Brazilian network;
Solid Reputation;

In depth knowledge of the market with over 18 years of experience amongst the firm’s partners;

High quality operation:
  –        Proven investment and risk management processes;
  –        Superior trading capabilities;
  –        Rigorous back office and compliance processes;

Fully dedicated resources to product development and sales support.
Long term focus on generating double digit returns above Brazilian Fed Funds;
Multi-strategy in Latin American assets with a bias towards Brazilian;
Capitalise on market distortions;
Ability to take long and/or short positions in Brazilian markets;
Combination of top down fundamental research and bottom up security selection in conjunction with momentum trading;
Commitment to capital preservation;
Maintain low correlation with specific asset classes and competitors;

Strong emphasis on risk management and liquidity.
 
 
 

Based on Stress Scenario and Maximum Drawdown: no use of Value at Risk (VAR);

Scenarios are built according to the following criteria:
 
Historical simulation with full valuation – initial period for historical simulation begins in the 4Q 1999, due to a significant change in currency policy that occurred in the 1Q 1999;
  Simulation of historical events – used as indicative numbers, not parameters;
  Plausibility – strongest parameters for sizing positions according to the maximum drawdown.
   

Correlations are calculated during the same stress periods since 4Q 1999, in other words, we seek to predict how the other factors behave in one specific factor’s worst-case scenario.
Risk Management Committee:
A Biweekly Committee in which the partners involved with the management process define the scenarios and extreme historical values and respective correlations are evaluated for different periods.
Focus on 3 main risks:
 
Market risk – maximum drawdown in stress scenarios in 5 working days. Limit is adjusted (reduced) in case of a negative result above -0.5% (adjusted risk limit)
Liquidity risk – position size is evaluated against market size in stress scenarios and whenever any position takes longer than 5 days to liquidity, the stress values are increased. Given the need for 90 days prior notice of redemption, the position has to be closed within this period. Positions in non-or-slightly liquid assets are taken for hedge purposes only
Cash risk (buying power) – cash liquidity capacity, calculated under stress conditions, in order to determine the amount of cash we really have
Portfolio Monitoring: real-time.

Stress Limits: 15 stress points.
 

Mauá Brazil Fund: 15 stress points