Liontrust Assessment of Value Report - Flipbook - Page 105
Multi-Asset team
Investment process
There are five parts to the Multi-Asset investment process,
Strategic Asset Allocation (SAA)
To determine the SAA, historical returns and volatilities of a range
of asset classes, as well as their correlations with each other, and
other market dynamics are collated and studied.
Tactical Asset Allocation (TAA)
TAA determines the overweight or underweight exposure to an
asset class or sub-asset class when compared to the SAA.
• Beginning with Secret Scoring, all the Multi-Asset team members
provide an anonymised score from 1 to 5 for each asset class,
sub-asset class, the overall market environment and a handful
of other factors
• The quants data cover a wide array of asset classes and sub-asset
classes and provide a quantitative perspective on, for example,
the relative attractiveness of an equity market both against other
markets and against its own history
• The Liontrust Multi-Asset team employs an independent
consultant to challenge the asset class scoring
• This scorecard informs the risk budget and the over and
underweights that the Multi-Asset team expresses through
portfolio construction
Portfolio construction
• The team tests the performance and interaction of factors,
such as value, growth, quality or size, versus each other over
the long term and we identify a blend which we believe will
provide the most effective risk-adjusted exposure to the equity
region in question
• The decision of where to use passive vehicles depends on two
main considerations: availability and suitability
• Each asset class or sub-asset class is assigned a weight through
the TAA process and the combination of the target manager
allocations and the TAA weights provides a target holding size
for every manager
• The team tests the new targets to ensure they comply will all
appropriate portfolio rules and restrictions
Manager selection
• The Liontrust Multi-Asset team has access to a number of
industry recognised databases which enable filtering of the
large universe of potential funds
• Managers are subjected to significant levels of quantitative
analysis to ensure the Multi-Asset team understands current and
past positioning in detail
• The most important part of past performance analysis are the
characteristics within performance. This relates to the stylistic
exposure of managers, which is assessed through holdingsbased style analysis. Performance is also considered on
a disaggregated basis to identify the attributed drivers of
performance
• Potential managers are then subjected to deep qualitative
analysis. The type of areas that the Liontrust Multi-Asset team
will consider are manager philosophy and process, team
structure, business structure and incentivisation, stock selection
process, portfolio construction as well as historical and current
positioning
• Operational Due Diligence ensures that the selected funds are
suitable not just from an investment perspective but also from an
operational and compliance perspective
Implementation
This is to ensure the Multi-Asset team implements in a manner
that treats customers fairly, creates consistency across the ranges
wherever possible, finding an optimal balance between trading
and portfolio turnover, and ensuring the implemented holdings
reflect the Liontrust Multi-Asset team’s views generated through the
investment process.
Fund ranges
• Liontrust MA Explorer funds
• Liontrust MA Blended funds
• Liontrust MA Dynamic Passive funds
Funds
• Liontrust MA Monthly High Income Fund
• Liontrust MA UK Equity Fund
Liontrust Assessment of Value Report - 105
