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Harvard Case - Three Arrows Capital: A Crypto Hedge Fund Failure and Operational Due Diligence Lessons

"Three Arrows Capital: A Crypto Hedge Fund Failure and Operational Due Diligence Lessons" Harvard business case study is written by Rujing Meng, Henri Arslanian. It deals with the challenges in the field of Finance. The case study is 10 page(s) long and it was first published on : Nov 27, 2023

At Fern Fort University, we recommend a comprehensive overhaul of operational due diligence practices within the cryptocurrency hedge fund industry, focusing on enhanced risk management, robust financial analysis, and transparent governance structures. This includes implementing stricter risk appetite frameworks, employing advanced financial modeling techniques, and fostering greater transparency in investment strategies.

2. Background

Three Arrows Capital (3AC) was a prominent cryptocurrency hedge fund that collapsed in 2022, highlighting the inherent risks within the nascent crypto market. The firm's downfall was attributed to a combination of factors, including:

  • Aggressive leverage: 3AC employed significant leverage, amplifying both potential gains and losses.
  • Concentrated bets: The firm made large, concentrated investments in specific cryptocurrencies, leaving it vulnerable to market volatility.
  • Lack of transparency: 3AC's investment strategies and risk management practices were shrouded in secrecy, making it difficult for investors to assess their exposure.
  • Mismanagement of liquidity: The firm struggled to manage its liquidity during a market downturn, leading to a cascade of margin calls.

The case study focuses on the operational due diligence shortcomings that contributed to 3AC's demise, emphasizing the need for improved practices within the industry.

3. Analysis of the Case Study

The case study illustrates the importance of thorough operational due diligence, particularly within the volatile cryptocurrency market. A framework for analyzing 3AC's failure can be constructed using the following key areas:

1. Risk Management: 3AC's risk management practices were inadequate, failing to account for the inherent volatility of the crypto market. The firm's aggressive leverage strategy amplified its exposure to market fluctuations, ultimately leading to its downfall.

2. Financial Analysis: 3AC's financial analysis lacked sophistication and failed to adequately assess the risks associated with its investments. The firm's reliance on anecdotal evidence and market sentiment, rather than rigorous financial modeling, contributed to its poor decision-making.

3. Governance and Transparency: 3AC's governance structure lacked transparency and accountability. The firm's opaque investment strategies and lack of clear risk appetite frameworks made it difficult for investors to understand their exposure and hold management accountable.

4. Operational Due Diligence: 3AC's operational due diligence practices were insufficient, failing to adequately assess the risks associated with its counterparties and investments. This resulted in the firm being exposed to significant counterparty risk, which ultimately contributed to its downfall.

4. Recommendations

To mitigate the risks associated with cryptocurrency hedge funds and prevent future failures like 3AC, we recommend the following:

1. Enhanced Risk Management:

  • Establish robust risk appetite frameworks: Define clear risk limits and thresholds for leverage, concentration, and other risk factors.
  • Implement advanced risk management tools: Utilize sophisticated stress testing, scenario analysis, and risk modeling techniques to assess potential losses.
  • Develop a comprehensive risk monitoring system: Continuously track and monitor key risk indicators to identify early warning signs of potential problems.

2. Rigorous Financial Analysis:

  • Employ advanced financial modeling techniques: Develop sophisticated models to assess the value of cryptocurrencies, considering factors such as market volatility, regulatory risks, and technological advancements.
  • Conduct thorough due diligence on counterparties: Evaluate the financial health and operational capabilities of counterparties to mitigate counterparty risk.
  • Implement robust stress testing and scenario analysis: Simulate various market scenarios to assess the resilience of investment strategies and identify potential vulnerabilities.

3. Improved Governance and Transparency:

  • Establish clear governance structures: Implement a robust governance framework with clear lines of accountability and oversight.
  • Enhance transparency in investment strategies: Provide investors with clear and concise information about investment strategies, risk profiles, and performance metrics.
  • Conduct regular audits and independent reviews: Ensure that investment strategies and risk management practices are subject to independent scrutiny.

4. Strengthened Operational Due Diligence:

  • Conduct thorough due diligence on investments: Evaluate the underlying technology, regulatory environment, and market dynamics associated with each investment.
  • Develop a comprehensive risk assessment framework: Identify and assess all potential risks associated with investments, including market risk, liquidity risk, operational risk, and regulatory risk.
  • Implement a robust risk monitoring system: Continuously track and monitor key risk indicators to identify early warning signs of potential problems.

5. Basis of Recommendations

These recommendations are based on the following considerations:

  • Core competencies and consistency with mission: These recommendations align with the core competencies and mission of responsible investment management, emphasizing risk mitigation, financial analysis, and transparency.
  • External customers and internal clients: These recommendations aim to protect investors by providing them with greater transparency and accountability, fostering trust and confidence in the industry.
  • Competitors: These recommendations aim to establish best practices within the industry, creating a competitive advantage for firms that embrace them.
  • Attractiveness - quantitative measures: While quantifying the impact of these recommendations is challenging, they are expected to reduce the likelihood of catastrophic failures, leading to improved investor confidence and long-term profitability.

6. Conclusion

The collapse of Three Arrows Capital serves as a stark reminder of the inherent risks within the cryptocurrency market. To mitigate these risks, the industry must prioritize operational due diligence, robust risk management, and transparent governance structures. By implementing the recommendations outlined above, cryptocurrency hedge funds can enhance their resilience, foster investor confidence, and contribute to the long-term sustainability of the crypto ecosystem.

7. Discussion

While the recommendations outlined above are crucial for improving operational due diligence practices, it's important to acknowledge other potential alternatives:

  • Regulation: Increased regulation could provide a framework for greater transparency and accountability within the industry. However, excessive regulation could stifle innovation and hinder the growth of the crypto market.
  • Self-regulation: The crypto industry could adopt self-regulatory frameworks to enhance transparency and accountability. However, the effectiveness of self-regulation depends on the commitment and enforcement capabilities of industry participants.
  • Education: Increased education and awareness regarding the risks and complexities of the crypto market could empower investors to make informed decisions.

The success of these recommendations depends on several key assumptions:

  • Industry adoption: The recommendations require widespread adoption by cryptocurrency hedge funds to be effective.
  • Regulatory support: Regulatory frameworks need to support the implementation of these recommendations.
  • Investor awareness: Investors need to be aware of the importance of operational due diligence and hold hedge funds accountable for their practices.

8. Next Steps

Implementing these recommendations requires a phased approach:

Phase 1 (Short-term):

  • Conduct industry-wide workshops and educational programs to raise awareness about operational due diligence best practices.
  • Develop a framework for assessing the adequacy of existing operational due diligence practices within cryptocurrency hedge funds.
  • Encourage the adoption of industry-standard risk management frameworks and tools.

Phase 2 (Mid-term):

  • Establish a regulatory framework for operational due diligence within the cryptocurrency hedge fund industry.
  • Promote the development of independent third-party auditors specializing in operational due diligence for crypto hedge funds.
  • Encourage the adoption of transparent reporting standards for investment strategies and risk management practices.

Phase 3 (Long-term):

  • Continuously monitor and evaluate the effectiveness of operational due diligence practices within the industry.
  • Develop a framework for assessing the long-term sustainability and resilience of cryptocurrency hedge funds.
  • Foster a culture of transparency and accountability within the crypto hedge fund industry.

By taking these steps, the cryptocurrency industry can build a more robust and sustainable future, minimizing the risk of future failures and fostering greater trust and confidence among investors.

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Case Description

This case explores the downfall of crypto hedge fund Three Arrows Capital (3AC), illustrating the critical role of operational due diligence (ODD). Established in 2012 by Su Zhu and Kyle Davies, 3AC's swift shift from forex to cryptocurrencies led to rapid success, marked by opulence and influence. However, in 2022, the fund collapsed due to mishandling, governance failures, and compliance missteps. Students assume the role of Vera-Maria, head of ODD at a fund of funds (FoF), tasked with investigating the 3AC collapse. The FoF, contemplating investments in crypto hedge funds, is wary of digital asset risks post-3AC's collapse. Vera-Maria aims to extract lessons and craft an ODD framework to mitigate risks in future digital asset investments. The case delves into the 3AC collapse's causes, offering students insights into institutional best practices. It equips them to navigate the digital asset space, and identify and mitigate counterparty risks, fostering a comprehensive understanding of ODD in the context of crypto hedge funds

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