Trend Analysis Program
The proprietary Trend Analysis Program (TAP) is employed by the Fund Manager in all FundTap Luxembourg Funds and has been developed after years of real market experience and intensive back tested data analysis.
TAP uses sophisticated pattern recognition software to analyse historic investment data to identify trends.
FundTap Luxembourg Finance Fund
TAP guides the General Partner through the latter stages of risk grading and loan filtering to ensure the fund’s asset allocation targets the best risk adjusted loan performance. TAP continually monitors the performance of all loans and assists the General Partner in maintaining strict risk management. For example, when operated in real time mode, TAP may identify characteristics of a likely defaulter and this loan may then be traded on the secondary market.
Ongoing testing and fine tuning of this process ensures TAP remains at the forefront of the investment industry. Targeting the optimum trend of portfolio of debt securities –strong consistent income with low default is an intensive and involved process.
FundTap Luxembourg Trend Fund
TAP guides the General Partner/Fund Manager through the later stages of investment selection and asset allocation to target the optimum trend of a filtered portfolio of proven, well researched and carefully monitored systematic trend following strategies.
First stage strategy selection involves a top down approach to the global pool of individual strategies, filtering out any that fail to meet our benchmark figures for volatility, performance and length of trading history.
Each strategy manager then undergoes a rigorous quantitative and qualitative selection process.
Qualitative measures include: onsite visits, review of organization and infrastructure, review and assessment of risk management processes, comprehensive background checks, etc.
Quantitative selection includes: ongoing monitoring of investment guidelines and trading policies, performance monitoring, stress testing and initial correlation analysis.
FundTap’s Trend Analysis Programme (TAP) then assists the Fund Manager by focusing resources on targeting the filtered strategies and allocation that will provide the greatest probability (based on historical trading data) of achieving the optimum trend.
TAP does this by screening the strategies and pinpointing any that do not meet its' strict investment criteria. This final selection stage takes into account an interrelationship of factors such as correlation, drawdown, Sharpe, time to recovery, etc, with a strong emphasis placed on risk management measured by trading volatility. TAP then calculates the appropriate apportionment of capital on a weighted basis for this final basket of strategies. Weighting is heavily influenced by strategy correlation. The resultant information forms a template for the Fund Manager to construct and manage the fund in order to have the best chance of achieving the optimum trend.
Targeting the optimum trend – smooth returns with strong consistent growth is an intensive and involved process. On-going testing and fine tuning of this process ensures TAP remains at the forefront of the investment industry.
