The Aapryl Quarterly Market Insight offers a lens on how active managers in general performed in various markets and sub-segments. Using Aapryl’s proprietary methodology, we measure manager skill by using the manager’s static clone (long term factor profile) as a measure of skill instead of the broad market benchmark. Manager skill is calculated by using the manager’s raw return less their static clone return.
4Q 2023 is another reversal quarter from aggressive growth being favored versus aggressive value. Non-US Small Cap Aggressive Growth posted the highest peer median manager skill of +3.56%, followed by Global Large Cap Aggressive Growth counterpart +2.65%. On the value side, US Large Cap Aggressive Value peer median posted the worst manager skill -3.24% followed by US Large Cap Relative Value -2.13%.
Below are the top three winners and bottom three losers based on the performance of their respective peer group medians for the prior quarter:
Aapryl Peer Group Manager Skill Performance Matrix
Quarter Ending 12/31/2023
The performance spread between the top and the bottom quartile within their respective peer groups varied for each Aapryl peer group is shown below. The biggest performance spread between the peer groups top quartile vs bottom quartile occurred in the U.S. Large Cap Aggressive Value peer group +12.21%, with the lowest spread occurred in the Non-US Small Cap High Quality Blend (+1.49%) peer group for the quarter.
Top Quartile vs. Bottom Quartile
Quarter Ending 12/31/2023
Fixed Income Manager Performance During the Quarter
Active managers in Fixed Income continue to show performance differences between top and bottom quartile managers. The highest spread occurred this quarter in EM Bond Short Term All Spread +2.50% while US Corporate Long Term All Spread had the lowest spread of +0.33%. The Global Bonds Intermediate Term Low Risk median managers performed the best with +0.23%, while EM Bonds Intermediate Term All Spread performed the worst with -1.09% median return.
Quarter Ending 12/31/2023
