With a global fund universe of over 3,000 funds, the first step revolves around excluding funds with short performance track records. This is followed by historic performance analysis which aims to identify funds that have consistently outperformed peers whilst achieving top quartile risk-adjusted returns over long time horizons.
Analysing quantitative risk metrics provides the investment team with insights on the performance behaviour of funds during periods of material economic stress. This feeds into portfolio construction to ensure each portfolio is consistent with its stated risk profile. The quantitative risk analysis supports the qualitative assessment of funds, which primarily focusses on the diversification benefits associated with different geographies, investment styles and fund houses. Finally, when selecting a fund, Cantab aims to build personal relationships with managers, which usually involves meeting the investment team.
Using a proprietary monitoring framework, weekly research meetings and quarterly investment reviews are conducted to ensure that the underlying holdings in the portfolios continue to meet the investment case.