This FAQ guide is designed to help you understand the various components of an Aapryl Report and accurately interpret its analysis—especially in the context of unique terminology and methodologies found in these reports1.
1. What is an Aapryl Report?
An Aapryl Report is a comprehensive evaluation tool for investment managers and funds. It uses quantitative models—such as clone portfolios and style factor analytics—to break down performance, skill, risk, and consistency. The results offer a standardized basis for comparing managers against both benchmarks and peer groups.
2. Key Sections and Metrics
Overview
- Manager Name: The specific fund or manager analyzed.
- Benchmark: The index used for broader market comparison (e.g., Russell 1000).
- Product/Firm AUM: Assets under management, reported at the fund and firm level.
- Inception Date: When the analyzed strategy began.
- Peer Group: Aapryl-defined category for comparative analysis (e.g., GARP).
Performance Metrics
- Annualized Return: Average annualized return over the time period analyzed.
- Excess Return: Difference between the manager’s and benchmark’s returns over the same period.
- Sharpe Ratio: Measure of risk-adjusted performance (higher suggests better reward per unit risk).
- Standard Deviation: Indicates return volatility.
Clone Portfolios & Factor Analysis
- Static Clone: A hypothetical portfolio with fixed exposures to style factors, designed to replicate the style underlying the manager’s strategy.
- Dynamic Clone: An adaptive version, where factor exposures change over time to reflect the manager’s evolving style.
- Clone Comparison: Helps isolate how much of the manager’s results are from stock selection and timing vs. their style tilts.
Common Factor Exposures:
- Growth, Quality, Economic Sensitivity, Value, Core, Low Volatility: Indicate the style exposures within the portfolio, compared against peers.
- Profiles often show whether a manager tilts toward “Growth” or “Core,” for example, with comparisons to averages.
Statistical Measures
- R-Squared (R²): In an Aapryl report, R-Squared measures the correlation between the manager’s actual returns and their clone portfolio—not the benchmark. A high R-Squared means the manager’s returns are closely matched to what would be expected based on their style exposures and factor tilts, as replicated by the clone portfolio. This differs from standard performance reporting, where R-Squared is typically measured against the benchmark. Aapryl’s approach allows you to discern whether the manager’s performance is primarily a result of their style exposures or from additional active skill1.
- Upside/Downside Capture: Percentage of market or benchmark gains/losses the manager participated in.
- Tracking Error: Volatility of the difference between manager and benchmark returns.
Skill Assessment
- Manager Skill Decomposition:
- Style Timing Skill: The manager’s ability to adjust style exposures optimally over time.
- Stock Selection Skill: Indicates how much excess return resulted from choosing securities within a style factor.
- Factor Timing: Measures effectiveness in timing changes to style factor exposures.
- Aapryl Score: Unique measure of performance persistence and the probability of future outperformance.
Peer Group Rankings
- Percentile Rank: Shows manager’s standing relative to peer group (e.g., 10th–25th percentile is strong).
- Peer Comparisons: Quantitative and visual analyses that contrast the manager’s risk and return profile against other managers in the same category.
Market Trend Analysis
- Rising, Falling, No Trend: Performance, risk, and rankings are shown for different market environments, illuminating strengths and weaknesses during distinct market cycles.
3. Interpretation & Practical Tips
- Consistent Outperformance: Positive excess returns, high Sharpe ratio, and strong peer ranking typically indicate manager skill.
- Clone Analysis Matters: Observe whether the manager beats the clone portfolio—this suggests active skill rather than just style exposure.
- R-Squared Context: In Aapryl reports, a high R-Squared (with the clone, not the benchmark) means results are explainable by factor exposures. Outperformance above the clone signals genuine skill.
- Volatility & Tracking Error: Acceptable if accompanied by favorable risk-adjusted return and captured upside.
4. Example: Applying This Knowledge
Suppose a report shows:
- Annualized Return: 16.19%
- Benchmark: 13.40%
- Static Clone: 9.29%
- Dynamic Clone: 14.50%
- Excess Return: 2.79%
- Sharpe Ratio: 0.88
- R-Squared: 93.92% (vs. clone)
Interpretation:
The manager’s returns are closely matched to their style exposures (high R-Squared with the clone), implying most results are explained by their factor tilts. However, returns well above both clones and the benchmark suggest active skill contributed to outperformance. Understanding that R-Squared is vs. the clone, not the benchmark, is pivotal for drawing correct conclusions from Aapryl’s analysis.
Performance Insights Overview
The final page of the Aapryl Report provides an AI-generated summary of the report’s key findings. This section is automatically produced using artificial intelligence to deliver an objective overview based on the report’s underlying data and analysis. The AI commentary is intended to highlight important insights, trends, and performance factors identified within the report.
It is important to note that this summary is generated by AI, not a human analyst. While it aims for accuracy and clarity, users should interpret the commentary as an informational supplement and not as personalized investment advice. Including an AI disclosure ensures transparency and clarifies that the content is algorithmically produced, in line with best practices for AI-generated reporting