Quest Investimentos

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The Company
Risk Management and Compliance

QUEST has an independent risk analysis area, responsible for monitoring in real time the positions taken by the funds. The method used is based on the measurement of the individual value at risk for each asset (both via stress test and VaR), as well as the portfolio value at risk. The main risks measured are:

  • Market Risk:
    • VaR – we use parametric VaR, with 95% confidence, volatility and correlation calculated through EWMA (optimized lambda). For funds with option portfolios, we use the Monte Carlo simulations;
    • Mini Stress – we use the same VaR methodology, inputing asset volatility, aimed at capturing potential price gaps in the daily opening trading price of each asset;
    • Stress Test - we use it as a formal position limiting parameter, with scenarios defined through the analysis of past asset behavior. In the Stress Test, all amounts at absolute risk are added up, without taking into account the effect of portfolio diversification. For interest and coupon curves, we use the stress curves of BM&F (São Paulo Futures and Commodities Exchange), of whose risk committee we are members. For assets for which BM&F has no risk scenarios, we use the worst case scenario of the last two years for a 30-day window;
    • Expected Drawdown – Although Quest does not work with stop loss, it monitors on a daily basis the losses incurred by its funds (drawdown). Based on this procedure, Quest makes daily simulations of possible losses through Brownian motions;
    • Back Test – Quest calculates on a daily basis back test models, aimed at calibrating its statistical models.

Fund Stress Limit Return Target Volatility Target
Quest 1 FIM 10,0% of AUM CDI + 4,5% p.a. 3,0% p.a.
Quest 30 FIM 15,0% of AUM CDI + 9,0% p.a. 6,0% p.a.
Quest 30 FIM 12,0% of AUM CDI + 6,0% p.a. 5,0% p.a.
Quest 90 FIM 20,0% of AUM CDI + 14,5% p.a. 9,0% p.a.
Quest Insitucional FIM 12,5% of AUM CDI + 7,0% p.a. 5,0% p.a.
Quest Ações FIA 30,0% of AUM - -
Qest Long Short 30 10,0% of AUM CDI + 7,0% p.a. 5,0% p.a
Quest Equity Hedge 60 FIM 20,0% of AUM CDI + 11,0% p.a. 9,0% p.a
Quest Iporanga 15 FIM Monthly CDI CDI + 3,0% p.a. 2,50% p.a

  • Liquidity Risk:
    • Our risk area monitors on a daily basis the average trading volume of each portfolio asset aimed at ensuring liquidity for its positions. The analysis is made based on the average trading volume of the last thirty trading sessions, excluding from the sample analyzed the days with the highest and lowest volumes.
    • Should the individual position of the asset be higher than 2.0% of the fund´s net asset value, the maximum position will be limited by the 10-day term for selling the asset, taking into account we will be selling at most one-fifth (1/5) of the total daily traded volume;
    • Should the individual position of the asset be lower than 2.0% of the fund´s net asset value, the maximum position will be limited by the 30-day term for selling the asset, taking into account we will be selling at most one-fifth (1/5) of the total daily traded volume.
  • Credit Risk:
    • Quest Investimentos does not carry out in-house credit risk analysis, but has a conservative credit and counterparties policy. Quest may incur credit risks with its counterparties in operations at the stock exchange and organized over-the-counter markets, and all credit limit approvals must be made by the Compliance and Risk Committee, in accordance with the pre-defined credit policy.
  • Operational Risk:
    • We work with a in-house system that joins the trading desk, risk operations and back office areas. As a result of this unified system, all operations are completely automated and the chances of failure in the order ticket issuing and asset pricing processes are reduced.

Compliance

Although management and custody are taken care of by Mellon Serviços Financeiros DTVM S/A and Banco Bradesco S/A, respectively, QUEST develops a strict monitoring of the operations and activities of the funds. Compliance activities carried out internally (in addition to the compliance carried out by the fund managers) ensure transparency and the fulfillment of fund rules and the legislation in force for Quest´s members (cotistas). Among other duties, our compliance develops:

  • Online monitoring of positions, aimed at complying with restrictions present in the rules of each fund;
  • Code of conduct and ethics;
  • Personal investment policy (for employees and partners);
  • Integrity of the order tickets – Equitable treatment for all funds.
Quest Investimentos Ltda neither markets nor distributes shares of investment funds or any other financial asset. Investment funds are not guaranteed by the fund manager, the portfolio's investment manager, any insurance mechanism or the FGC (Fundo Garantidor de Créditos), the Credit Guarantee Fund. Past profitability does not guarantee future results. Published profitability is not net of taxes. We recommend that prospective investors  carefully read the investment fund's prospectus and rules prior to making investment decisions.
QUEST INVESTIMENTOS 2008 © ALL RIGHT RESERVED | PRIVACY POLICY | TERMS AND CONDITIONS
Rua Leopoldo Couto Magalhães Jr, 758, 15th floor, suite 152 - São Paulo - SP
TEL: (55 11) 3526-2250 / 3074-1300 FAX: (55 11) 3526-2277