Many of the top pension funds are using the Aapryl platform to gain insight into your products and skill. Aapryl’s manager skill prediction algorithms increase the likelihood of choosing tomorrow’s top performing managers, rather than yesterday’s. See what they see to with our customizable Aapryl Reports and be fully prepared when stepping into the boardroom.
Our goal was to create a product that allows managers to not only understand their portfolio at a deeper level, but also be able to communicate their value to clients in a clear and concise manner. Aapryl provides investment managers the ability to present their information to current and prospective clients in a manner that clients can understand easily with in the context of their true peers:
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…
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…
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…
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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 Dynamic 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.
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MSCI:
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Russell:
Frank Russell Company is the source and owner of the trademarks, service marks and copyrights related to the Russell Indexes. Russell® is a trademark of Frank Russell Company.
PSN:
PSN Manager Data from Informa Investment Solutions, a division of Informa Business Intelligence, Inc. Informa and its affiliates are not responsible for any adverse consequences or trading, investment, or commercial decisions arising from use of or accuracy of the data.
