Liquidity Threshold

Quantitative Fund Capacity Analysis (LTA)

Understand the degree to which a fund’s AUM affects trading costs and overall performance


Abel Noser’s Liquidity Threshold fund capacity analysis tool (also called LTA) helps ascertain the degree to which growth (or decrease) in a fund’s AUM may affect performance due to fluctuating trading costs and a changing liquidity profile.


The analysis also provides a concise summary of a managers’ current trading efficiency and peer ranking.


With the ability to project a fund’s rate- of-return as AUM and portfolio turnover change, the quantitative capacity analysis is useful for asset owners, fund complexes, investment managers, investment consultants, and distribution partners.


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Liquidity Threshold Dashboard Report Example

Liquidity Threshold can help you:

  • Understand the degree to which growth in AUM can affect ranking and performance
  • Assess the trading efficiency of current or prospective products and strategies
  • Calculate the cost vs. alpha profile of a fund that grows/declines 1x or even 10x
  • Stress test fund growth scenarios using quantitative peer analysis
  • Supplement “watch list” due diligence
  • Quantify impact of liquidity constraints
  • Optimize portfolio-construction efforts


Features and Uses


Asset Owners - Use for oversight review when searching for or replacing fund managers. Can also determine fund capacity thresholds for current managers or provide “watch list” analysis.

Portfolio Transitions - Useful for due diligence analysis when considering manager changes, plan re-balancing, fund closures, launches or mergers.

Investment Managers - Enables managers to better understand the implications of adding additional AUM, conduct “what if” stress test scenarios on proposed investment strategies and better comply with regulatory protocols

Investment Consultants - Can assist in analysis on recommended products for growth as both a best practice offering and unique differentiator.


A Consultative Approach

Our consultants work as an extension of your staff, helping you to understand and mitigate the ever-changing complexities inherent in the securities trading industry. With decades of experience in trade cost analysis, fiduciary monitoring and manager evaluation, Abel Noser can provide the in-depth knowledge and leading-edge technology necessary to meet your fiduciary and oversight requirements.




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