Aapryl Reports for Managers

Style Engine

Benchmarks by which managers assess themselves are too broad, and thus fail to define the true style of a given asset manager. Aapryl addresses this problem by building 2 clone portfolios using returns based analysis (RBSA), where a time series of portfolio returns are regressed against a number of factors to explain what’s driving performance. The Static Clone uses inception to date figures capturing the dominant style exposure while the Static Clone identifies more recent style creep

Skill Analysis

Once a manager’s style is identified, their “true excess return” or skill can be calculated and decomposed. Traditionally, Excess Return or alpha is calculated as the difference between the manager’s return and it’s stated benchmark. Aapryl breaks down the traditional alpha further by stripping the style return away from its traditional Alpha, focusing on returns directly attributed to the manager’s active decisions and hence its true Alpha.

Clustering

When comparing managers to other managers, utilizing benchmark as the sole filtering criteria is not sufficient. A manager’s true style can vary significantly from their stated benchmark. Aapryl, using these clone portfolios, sorts managers into distinct peer groups or “clusters”. Excess return and thus, manager skill, can be compared to more like peers

Ranking

The calculation methodology within Aapryl’s skill analysis minimizes the past performance limitation evident in traditional metrics e.g. Information Ratio, Sharpe, Sortino etc. Based on extensive research and backtesting, Aapryl created a score system which calculates the probability a manager will be a top quartile manager over the next 3 years.

Market Trend Analysis

This provides users with an expectation of how managers can be expected to perform in various market environments. The chart also displays the returns of the benchmark and the manager’s peer group average for comparative purposes.

Aapryl Reports for Managers

Aapryl Reports for Managers

How Managers Can Take Advantage of Aapryl

Data Disclaimer(Expand to learn more)

Aapryl Reports for Managers

Aapryl Reports for Managers

How Managers Can Take Advantage of Aapryl

Download a Sample Aapryl Report and detailed explanation

Data Disclaimer(Expand to learn more)