Construct a Quant screening tool to scan global market for manager ideas

by Jay Kumar and Frederick Do, September 2017.

1. Scenario

An Australian based distribution firm that partners with and distribute boutique investment products wanted to build a quant tool that would identify good managers that had greater than 3-year track-record but low assets under management. This type of asset managers would then form the target list for the firm that would then pursue distribution partnership, equity ownership and so on.

2. Challenge

Given the global universe of managers and across various asset classes this was a complex problem to analyze on a quarterly basis. Foresight worked with the client to clearly define the problem and design a quant tool that would source data from two global fund databases and then run the filer and selection criteria for the client.

3. Modeling and Analytics

Foresight built long and short-term indicators that provided the basis for ranking and idea generation for the client. Assets under management data were aggregated from multiple share classes and so on to get a firm level AUM. If the assets were not significant but performance was good, then the fund could benefit from client’s services subject to commercial consideration

4. Outcome

Foresight’s tools and analytics were able to help the client monitor the global landscape and seamlessly generate ideas worthy for further scrutiny and vetting.