Model Optimisation

The COO of a relative-value hedge fund was struggling to produce timely mark-to-market reports and his traders were exposed to sudden market moves due to the slow recalculation time taken when refreshing market data in their trading spreadsheets.

As the firm had grown, the spreadsheet system had become slow and unwieldy. This also means that it was difficult to modify and error-prone to manage.

Our consultants audited the spreadsheets for performance and proposed several recommendations for restructuring that cut calculation time by 75%. The audit also uncovered several data errors that were affecting P&L and mark-to-market reports. Maroon then developed a bespoke Excel add-in that contained functions which further reduced update time to a matter of seconds.

Fund Performance Fee Design and Validation

The CFO of a family office fund approached Maroon for assistance in developing their performance fee model. The hedge fund had a unique management contract that required complex calculations to determine both the performance fee itself and the allocation between investors.

Our consultants first worked with the client to clearly define the desired incentives of the fee structure. In preparing the performance fee model, they quickly identified some inconsistencies between the legal agreement and the substance of the management arrangement with investors.

Maroon project-managed a working team that reconciled substance with form, without creating any adverse consequences for manager or investors. Our consultants worked with the client's lawyers to redraft the legal agreement and built a user-friendly performance fee model that met the client's initial requirements.