Strategically calculate effects of fund growth on alpha and performance

Liquidity Threshold

Quantitative Fund Capacity Analysis

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


Abel Noser’s Liquidity Threshold fund capacity analysis tool helps ascertain the degree to which growth in a manager’s AUM may sap performance due to increasing trading costs and a changing liquidity profile.


The analysis also provides a concise summary of a prospective 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.


Liquidity Threshold Dashboard Report Example

Liquidity Threshold can help you:

  • Understand the degree to which growth in manager 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, Zeno AN Solutions can provide the in-depth knowledge and leading-edge technology necessary to meet your fiduciary and oversight requirements.




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