About This Award
CAMRADATA has been analysing and distributing asset manager data to institutional investors since 2003 and this supplement celebrates those managers that have come at the very top of 37 Asset Classes across fixed income, equities and multi-asset strategies.
The CAMRADATA Awards are presented to those vehicles that have the highest IQ scores across these asset classes. The IQ reports are based purely on the performance of asset managers' funds over the 3-year time period ending December 2023.
Understanding the IQ Scores: A Guide to How Asset Managers are Performing
FLOATING BAR CHART
The floating bar chart in the analysis highlights five asset managers against a universe of asset managers, all managing a similar strategy measured against a chosen benchmark. The chart shows where they are positioned in the universe when looking at return/risk and relative return/relative risk.
RISK/RETURN PLOT
The chart plots a group of asset managers (for example, five managers with the highest IQ scores) against the broader group of asset managers operating in the same universe. This enables the investor to see the returns and risk of other asset managers against the 'Top 5'. The investor can then decide whether to review some of the other asset managers in the universe.
INDEPENDENT QUANTITATIVE (IQ) SCORES
The CAMRADATA Independent Quantitative (IQ) scores is a ranking reflecting five statistical factors measured over a three-year period. Each factor generates a statistic, which is shown as a percentage or a number in the table. To rank products, the percentile ranking of each factor is determined and an overall master score is calculated. This is a simple average of all percentile rankings for each product across all five factors. Investment products that share the same value for a factor are assigned the same percentile rank within that factor.
The highest-scoring products appear at the top of the table. For presentational purposes, we apply a 'unique sort' to pick out only the best product for each manager.
The five statistical factors that make up the CAMRADATA IQ score are:
EXCESS RETURN
A measure of overall added value. The underlying factor is the annualised excess return over the benchmark.
INFORMATION RATIO
A measure of efficiency. The Information Ratio is the return added by the asset manager for each 1% of risk being taken over the benchmark. Therefore the higher the Information Ratio, the more return being added for the 1% of risk being taken. The underlying factor is calculated by taking the excess return and dividing it by the excess risk.
WINS-LOSSES
A measure of the bet structure that a manager is taking. The underlying factor is calculated by taking the average positive relative returns away from the average negative relative returns. Investors use this to identify managers with a low frequency of winning but with a high payoff when a product beats the benchmark. Investors want to see that wins (positive returns) are greater than losses (negative returns), even if the wins are infrequent.
HIT RATE
A measure of consistency. The underlying factor is the percentage of times the manager beats the benchmark. Generally, you should expect a manager with strong consistency of beating the benchmark to have a probability of beating it greater than 50%.
DRAWDOWN STRENGTH
A measure of downside management. This measures a product's worst observed 12-month risk-adjusted relative return. It is in effect analysing the worst Information Ratio for each product in any 12-month period during the three years being measured. More credit is given to asset managers who have had positive 12-month risk-adjusted relative returns and who took less risk to achieve it. While during a 12-month period of negative returns, more credit is given to those asset managers who took more risk, showing they were actively managing their products rather than being passive during these times.
