F&C’s traffic light analysis has been used by the multi-manager team for seven years to help identify “consistently consistent” funds.
Existing factors of the process which continue to add value will remain and new analytical factors have been added to augment screening capabilities.
The updated tool has a blend of evaluating historic consistency through risk and risk/reward factors as well as a new shorter-term model. This is designed to balance the results and make the system more responsive to changes in fund performance, either macro or alpha driven.
Other enhancements include the extension of its database to include off-shore funds with three-year track records.
F&C multi-manager head Dean Cheeseman says: “TLA has never been a black box approach to multi-management. In expanding the multi-manager team we have strengthened our quantitative skills significantly and this has enabled us to invest in developing both the TLA system and add new analytical tools to assist with fund screening and portfolio construction.