Duff Capital Advisors Purchases Azimuth's Risk Analytical Tools

GREENWICH, Conn., March 5 /PRNewswire/ -- Duff Capital Advisors (DCA)announces the purchase of a majority of the assets and intellectualproperty of Azimuth Asset Management (Azimuth), including the Fat-TailedCatastrophic Risk and Asset Allocation System (FatCat). FatCat is a suiteof proprietary risk analytics and portfolio optimization tools. Inaddition, DCA replaces Azimuth as managing member and investment advisor ofthree of its diversified funds of hedge funds. "This is the first risk management tool that has been enhanced toinclude both illiquidity risk and crisis risk. FatCat enables us tounbundle market factor risks so that we can effectively incorporatealternative investments into a dynamic risk allocation framework for ourclients," said Phil Duff, CEO and founder of DCA. "The drastic changes inliquidity and correlations present in today's credit market crisisillustrates where these tools will be very helpful to our clients." FatCat offers a unique asset allocation framework that incorporatesdeep- downside risk and asset illiquidity risk, giving investors theability to construct portfolios that achieve a target return profile whilebalancing both the volatility expected in normal markets as well as thepotential losses that would be suffered in a crisis risk environment. FatCat evaluates the factor risks embedded in different strategies andgroups strategies by the way they respond to financial crises. For example,fixed income arbitrage has relatively low volatility during normal times,but has a very high expected tail loss, while global macro strategies willadd more volatility to a portfolio during normal times, but add less to theexpected tail loss. In addition, the FatCat framework incorporates thedifferential impact on correlations across strategies in normal timesversus stressed markets. Using this framework investors can specify notonly a risk budget in terms of portfolio volatility, but in terms of theWorst Expected Quarterly Loss (WEQL (sm)) that the portfolio would beexpected to suffer, optimizing diversification when it's needed the most. The acquisition also adds two key leaders to DCA who will help the firmcontinue to develop institutional-quality infrastructure and riskmanagement capabilities. Robert Litzenberger Bob Litzenberger will focus on helping DCA develop its risk and assetallocation capabilities. He was formerly a Partner and Chief Risk Officerat Goldman Sachs, and managed a portfolio of hedge funds for Azimuth AssetManagement. He is a Professor Emeritus of Investment Banking at The WhartonSchool. Paul Toldalagi Paul Toldalagi will focus on integrating Azimuth's proprietary riskframework into the DCA suite of liability, risk management and allocationtools and services. He is Managing Director of Business TechnologyAssociates, a boutique firm focused on providing strategic advisorybusiness technology, risk and operations services to hedge funds and assetmanagers. He was formerly Chief Business Technology Officer of AzimuthAlternative Assets. About Duff Capital Advisors Duff Capital Advisors (DCA) is an investment management firm providinginstitutional investors with a unique, holistic approach to portfoliomanagement. DCA seeks to provide customized solutions to pension funds,insurance companies, foundations, endowments, and sovereign funds to helporganizations fund their long-term liabilities by integrating a completesuite of investment strategies with advice and proprietary liability, riskmanagement and allocation tools and services. DCA's institutional-qualityoperational infrastructure and risk management capability will be combinedwith a broad array of strategies with an emphasis on non-correlated,alpha-generating alternative investments, including absolute returnstrategies, private equity and real assets. These strategies can beenhanced in multiple ways, utilizing leverage, hedging tools, overlays orwrappers to customize solutions that meet clients' objectives and liabilityand risk profiles. DCA was founded by Phil Duff, who co-founded and was Chairman & CEO ofFrontPoint Partners.