This guide explains every component of an Aapryl Report and how to interpret it correctly, including the terminology and methodology that are specific to Aapryl. The report is produced in two versions, one for equity strategies and one for fixed income strategies. Both follow the same analytical framework. They differ in the factor set, the style map, and the cycle framework used.
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.
The central idea running through every page is the separation of two things that a traditional benchmark comparison blends together: the return the manager earned because of the style they run, and the return the manager earned through active decisions. Aapryl builds a passive replication portfolio, called a clone, that matches the manager’s style. Anything the manager delivers above that clone is treated as skill.
View Sample Aapryl Report (Equity)
View Sample Aapryl Report (Fixed Income)
2. Report Header
The header repeats at the top of every page of the report.
Manager Name: The specific fund or product analyzed.
Benchmark: The index used for broad market comparison, for example Russell 1000 Value or Bloomberg Agg Bond.
R-Squared: How well the manager’s Static Clone explains their returns. See Section 6.
Product AUM: Assets under management in the analyzed product.
Firm AUM: Assets under management across the firm.
Inception Date: When the analyzed strategy began.
Month Ending: The as-of date for the analysis.
Aapryl Peer Group: The Aapryl-defined style category used for all peer comparisons in the report, for example Relative Value or Core Moderate All Spread. Aapryl peer groups are assigned from the manager’s measured style, not from a self-reported category.
3. Equity and Fixed Income Reports Compared
The two versions of the report answer the same questions using asset class appropriate analytics. Use this table to locate the equivalent section when moving between them.
| What it answers | Equity report | Fixed income report |
|---|---|---|
| What style is this manager running? | Clone Portfolio Factor Weights | Manager Factor Exposure |
| How does that style compare to peers? | Factor Exposures vs Peer Group Average | Factor Exposures vs Peer Group Average |
| Has the style been stable? | Style Analysis Over Time, mapped on value to growth and quality | Style Analysis Over Time, mapped on duration risk and credit spread risk |
| Where does the manager sit on skill? | Manager Skill Comparison vs Peer Group, stock selection and style timing | Manager Skill Comparison vs Peer Group, security selection and tactical timing |
| How much of the excess return was skill? | Excess Return Statistics | Excess Return Statistics |
| Has skill been consistent across horizons? | Manager Skill vs Peer Group | Manager Skill vs Peer Group |
| How has risk positioning moved over time? | Covered within Style Analysis Over Time | Duration and Credit Risk |
| When in the cycle does this style work? | Cyclical Manager Positioning, four macro phases | Cyclical Manager Positioning, four policy and spread phases |
| What are the period by period results? | Manager Composite Performance | Manager Composite Performance |
| How did the manager perform by regime? | Market Trend Analysis | Trendline Charts, high yield spreads and 10 year Treasury rates |
| What is the summary read? | Performance Insights Overview | Performance Insights Overview |
4. Report Sections
The sections below follow the order in which they appear in the report.
4.1 Clone Portfolio Factor Weights (Equity)
Shows the passive replication portfolios Aapryl builds for both the manager and the benchmark, displayed as stacked bars where each segment is a style factor and its width is that factor’s weight in the clone.
Static Clone (Long-Term Style Adjusted Benchmark): A portfolio with fixed factor exposures, designed to replicate the manager’s long-run style.
Dynamic Clone (Short-Term Style Adjusted Benchmark): An adaptive version, where factor exposures change over time to reflect the manager’s evolving style.
Factor segments include Value, Core, Growth, Yield, Low Volatility, Defensive, and Economic Sensitivity. Only factors with meaningful weight appear in a given bar.
How to read it. Compare the manager bar to the benchmark bar to see how the manager’s style differs from the index they are measured against. Then compare the Dynamic Clone bar to the Static Clone bar for the same manager. A large difference means the manager has been rotating style rather than holding a fixed posture. These clones are the foundation for every skill calculation in the report.
4.2 Manager Factor Exposure (Fixed Income)
The fixed income equivalent of the clone factor weights, shown as a pie chart of the manager’s exposure across the main fixed income building blocks, typically US Government, Investment Grade Credit, and High Yielding Credit.
How to read it. This is the fastest read on whether the strategy takes its risk through credit or through rates. A large credit share relative to the benchmark signals a spread-oriented strategy, which should be kept in mind when interpreting performance during spread-widening periods.
4.3 Factor Exposures vs Peer Group Average (Static)
A bar chart comparing the manager’s static factor exposures to the peer group, one column per factor, with peer percentile bands stacked within each column.
Bands run from the 10th to 25th percentile (lowest) through the 75th to 90th percentile (highest). The manager is plotted as a triangle marker and the benchmark as a circle marker, each labeled with its percentile ranking.
In equity reports the factors are the style factors listed in Section 4.1. In fixed income reports they are sector and maturity exposures such as Bank Loans, High Yield Intermediate, T-Bills, Treasuries Long Term, Treasuries Short Term, and US Corporate Intermediate.
Common misreading. The percentile bands rank the size of the exposure relative to peers, not performance. A high ranking means the manager carries more of that factor than most peers. It says nothing about whether that exposure paid off.
4.4 Style Analysis Over Time (Static, Full History)
A map of the manager’s style positioning across the full track record. Each plotted circle is a point in time, so the shape of the cloud shows how stable the style has been. The benchmark is plotted for reference. The shaded zone identifies the style classification that determines the manager’s Aapryl peer group assignment.
Equity axes. Value to Growth on the horizontal axis, Low Quality to High Quality on the vertical axis. Named zones include Aggressive Value, Relative Value, High Quality Blend, GARP, Core Growth, and Aggressive Growth.
Fixed income axes. Duration Risk on the horizontal axis and Credit Spread Risk on the vertical axis. Named zones include Short Term Duration All Spread and Moderate All Spread.
How to read it. A tight cluster means disciplined, consistent positioning and gives you more confidence in the peer group assignment and in the skill numbers derived from the clone. A long trail or a wide scatter indicates style drift, which is worth raising in diligence even when returns have been strong.
4.5 Manager Skill Comparison vs Peer Group
A scatter plot of every fund in the peer group, with the manager highlighted. The peer fund count appears in the chart title.
Equity axes. Stock Selection Skill on the vertical axis, Style Timing Skill on the horizontal axis.
Fixed income axes. Security Selection Skill on the vertical axis, Tactical Timing Skill on the horizontal axis.
How to read it. The upper right quadrant indicates positive contribution from both selection and timing. Position along each axis matters more than the quadrant alone, since most peer groups cluster tightly around the origin. A manager sitting well off the center of the cloud in either direction is doing something materially different from peers, for better or worse.
4.6 Notes
An open field at the bottom of the first page for user-added commentary. Use it to record the purpose of the review, the search or mandate the manager is being evaluated against, or any caveats that should travel with the report.
4.7 Excess Return Statistics
The core analytics table of the report. It shows annualized returns for the manager, the benchmark, the Static Clone, and the Dynamic Clone, then decomposes the excess return in three layers.
Traditional: Manager versus Benchmark, the conventional headline excess return figure.
Excess Decomposition: Style Effect (Clone minus Benchmark), the return attributable to the style the manager runs, plus Style Adjusted Alpha (Manager minus Static Clone), the return that remains once style is removed.
Skill Decomposition: Style Adjusted Alpha split into two parts. In equity reports these are Factor Timing (Dynamic Clone minus Static Clone) and Stock Selection (Style Adjusted Alpha minus Factor Timing). In fixed income reports the same two lines are labeled Tactical Timing and Security Selection.
Aapryl Score: Aapryl’s forward-looking skill rating on a 1 to 5 scale, where 1 is the best. It reflects the probability of top-quartile performance over the next 36 months relative to the peer group.
Aapryl Expected Alpha: The model’s forward-looking estimate of the manager’s annualized excess return over their clone benchmark.
R-Squared: Measured against the manager’s own Static Clone, not the benchmark. See Section 6.
Note on the analysis period. The date range shown above this table can begin earlier than the product inception date in the header. Where that occurs, the earlier history reflects simulated clone-based returns used to extend the analysis window, which allows longer horizon comparisons for products with short live records.
4.8 Manager Skill vs Peer Group
Shows how the manager’s skill return compares to the peer distribution across six horizons: QTD, CYTD, 1 year, 3 years, 5 years, and since inception. The peer fund count for each horizon is printed beneath it.
Each stacked column represents the spread of skill returns across the peer group for that period. The manager is plotted as a diamond marker within the column and labeled with their annualized style adjusted alpha for that horizon.
How to read it. Read left to right. A manager whose marker sits in a similar position across every horizon has delivered consistent skill. A marker that is strong in the short columns and weak in the long ones, or the reverse, tells you the recent record and the long record are saying different things, which is usually the most important question to bring to a manager meeting.
4.9 Cyclical Manager Positioning
Maps the manager’s style against a four-phase cycle framework so results can be read against the prevailing environment rather than in isolation. The manager’s position is derived from the Static Clone.
Equity version. The four phases are Recovery, Mid, Late, and Recession. Each phase carries its macro characteristics (growth, credit, profits, and monetary policy), the styles typically favored in that phase, and the key security metrics associated with those styles, for example low price to book and high operating leverage in the cyclical value phase, or earnings stability and low debt to equity in the defensive phase. A marker on the momentum curve shows where the manager’s style sits, and a label beneath the chart names the manager’s style classification and its associated phase.
Fixed income version. Four quadrants formed by Duration Risk on the horizontal axis and Spread Risk on the vertical axis: Phase 1 Tight and Easing, Phase 2 Easy and Easing, Phase 3 Easy but Tightening, and Phase 4 Tight and Tightening. Each phase lists its financial conditions, Fed Funds direction, corporate profit trend, credit spread behavior, and yield curve shape. The manager marker and the benchmark marker are both plotted, so the gap between them shows the active duration and spread posture.
How to read it. This is a context chart, not a scorecard. Use it to establish whether a strong or weak stretch of performance coincided with a phase that favored the manager’s style. That distinction is what separates a manager who was in the right environment from a manager who was adding value.
4.10 Duration and Credit Risk (Fixed Income)
A time series showing the manager’s key risk positioning relative to the peer group, plotted against the benchmark’s risk level, with separate views for duration risk and credit risk.
How to read it. This is the fixed income view of process discipline. Look for whether the manager holds a stable posture relative to peers or moves it materially, and whether those moves were rewarded when read alongside the Trendline Charts in Section 4.13. Large swings in positioning that do not translate into positive tactical timing in the Excess Return Statistics indicate active risk taken without compensation.
4.11 Manager Composite Performance
A period by period table comparing the manager to the Static Clone and the benchmark across QTD, CYTD, 1 year, 3 years, 5 years, and since inception.
Manager vs Benchmark: The manager’s excess return relative to the benchmark for each period.
Style Effect (Clone minus Benchmark): The portion of that excess explained by the manager’s style exposures.
Style Adjusted Alpha (Manager minus Static Clone): The excess return that remains after removing the Style Effect, an estimate of value added independent of style tilts.
Peer Quintile Rank: The manager’s standing against peers for each period on a 1 to 5 scale, where 1 is the best quintile and 5 is the worst. Number of Peer Funds shows the size of that comparison group.
How to read it. Read the Style Effect and Style Adjusted Alpha rows together. A manager can trail the benchmark while adding value, if the style was out of favor, and can beat the benchmark while adding nothing, if the style carried the result. The Peer Quintile Rank row is the fastest way to see whether short-term and long-term standings agree.
Common misreading. Peer Quintile Rank and the Aapryl Score both use a 1 to 5 scale where 1 is best, but they measure different things. Peer Quintile Rank is a backward-looking performance ranking for a specific period. The Aapryl Score is a forward-looking probability of skill persistence.
4.12 Market Trend Analysis (Equity)
Shows how the manager performed across different market regimes, identified by Aapryl’s objective trend detection models. Results are presented for the Manager, the Benchmark, and the Peer Group Median, each split into Total, Rising, Falling, and No Trend columns.
Metrics shown for each regime are Annualized Return, Standard Deviation, Sharpe Ratio, Period Count in months, Upside Capture, Downside Capture, Information Ratio, and Tracking Error.
How to read it. Compare the manager’s regime columns to the peer group median columns rather than to the manager’s own total. The Period Count row tells you how much data supports each column. A minimum of 12 months within a regime is required for the analysis to calculate, and N/A appears where there are fewer.
4.13 Trendline Charts (Fixed Income)
The fixed income equivalent of Market Trend Analysis. Two charts are provided, one built on US High Yield OAS and one on the US 10 Year Treasury Rate, so credit risk and interest rate risk are evaluated separately.
Each chart plots the market indicator through time with shaded regime bands behind it. Green marks a positive trend, red marks a negative trend, and unshaded areas mark no trend. For the spread chart, a positive trend corresponds to narrowing spreads.
Two statistics blocks sit beneath each chart.
All Periods. The market backdrop, splitting history into spreads widening versus narrowing, or rates rising versus falling, with monthly average change in spread or rate alongside high yield and aggregate index returns. No manager data appears in this block.
Trend detail. Positive Trend, No Trend, and Negative Trend, each with the number of months and monthly averages including Manager Style, Manager Skill, and Total Excess.
How to read it. The Manager Style and Manager Skill rows are the point of this section. They apply the same style versus skill separation used throughout the report to each regime, so you can see whether excess return in a favorable environment came from the style being well positioned or from active decisions. The 12-month minimum applies here as well.
4.14 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.
4.15 Data Disclaimer
The report carries the required attribution and use restrictions for each underlying data source, including Lipper, MSCI, Russell, PSN, and Bloomberg. These terms govern redistribution of the report and its contents and should be retained whenever the report is shared externally.
5. The Vocabulary of the Report
Four terms carry most of the analytical weight. Everything else in the report supports them.
| Term | How it is calculated | What it tells you |
|---|---|---|
| Style Effect | Static Clone minus Benchmark | What the manager’s style delivered relative to the index, before any active decisions |
| Style Adjusted Alpha | Manager minus Static Clone | Total value added by active decisions, the Aapryl definition of skill return |
| Factor Timing (equity) or Tactical Timing (fixed income) | Dynamic Clone minus Static Clone | Whether shifting style or risk exposures over time helped or hurt |
| Stock Selection (equity) or Security Selection (fixed income) | Style Adjusted Alpha minus timing | Whether individual security choices within the style added value |
6. Statistical Measures and Key Terms
Annualized Return: Average annualized return over the period analyzed.
Excess Return: Difference between the manager’s and the benchmark’s returns over the same period.
Sharpe Ratio: Measure of risk-adjusted performance. Higher suggests better reward per unit of risk.
Standard Deviation: Indicates return volatility.
R-Squared: In an Aapryl report, R-Squared measures the relationship between the manager’s actual returns and their Static 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 of additional active skill.
Upside and Downside Capture: Percentage of benchmark gains and losses the manager participated in.
Tracking Error: Volatility of the difference between manager and benchmark returns.
Information Ratio: Excess return per unit of tracking error.
Skill Assessment
Style Timing Skill, also shown as Factor Timing: The manager’s ability to adjust style exposures advantageously over time, measured as the Dynamic Clone return minus the Static Clone return. In fixed income reports this is labeled Tactical Timing.
Stock Selection Skill: How much excess return resulted from choosing securities within a style, measured as Style Adjusted Alpha minus timing. In fixed income reports this is labeled Security Selection.
Aapryl Score: Aapryl’s forward-looking measure of performance persistence, on a 1 to 5 scale where 1 is the best. It reflects the probability of top-quartile performance over the next 36 months. The Aapryl Score is a probability, not a prediction.
Aapryl Expected Alpha: The model’s forward-looking estimate of annualized excess return over the clone benchmark.
Peer Group Rankings
Aapryl Peer Group: A style-based category assigned from the manager’s measured factor exposures rather than from a self-reported classification, so peers are genuinely comparable.
Peer Quintile Rank: The manager’s standing relative to the peer group on a 1 to 5 scale, where 1 is the best quintile.
Peer Comparisons: Quantitative and visual analyses that contrast the manager’s risk and return profile against other managers in the same category.
7. Interpretation and Practical Tips
Read the clone before the benchmark. The benchmark comparison tells you what happened. The clone comparison tells you why. Always check whether the manager beat their Static Clone before drawing a conclusion from benchmark relative returns.
A negative benchmark comparison is not automatically a negative skill result. If the Style Effect is strongly negative, the manager’s style was out of favor. Style Adjusted Alpha is the line that isolates their contribution.
Check whether short and long horizons agree. Manager Skill vs Peer Group and the Peer Quintile Rank row in Manager Composite Performance both show results across horizons. Disagreement between them is a diligence question, not a verdict.
Separate exposure from outcome. Factor Exposures vs Peer Group Average ranks how much of a factor a manager holds, not how well it worked.
Use R-Squared as a confidence check. A high R-Squared against the clone means the style model fits well, which makes the skill decomposition more reliable. A low R-Squared means more of the return pattern falls outside the modeled style, and the skill numbers should be treated with more caution.
Volatility and tracking error are acceptable when accompanied by favorable risk-adjusted return and captured upside.
8. Worked Examples
8.1 Equity Example: A Large Cap Value Strategy
| Metric | Value |
|---|---|
| Manager (annualized) | 10.79% |
| Benchmark | 11.82% |
| Static Clone | 13.21% |
| Dynamic Clone | 12.55% |
| Manager vs Benchmark | -1.03% |
| Style Effect | 1.39% |
| Style Adjusted Alpha | -2.42% |
| Factor Timing | -0.66% |
| Stock Selection | -1.76% |
| R-Squared vs Clone | 87.97% |
Interpretation. The headline number understates the issue. The manager trailed the benchmark by 1.03%, which looks like a narrow miss. But the style itself was a tailwind, adding 1.39% over the benchmark, so the manager should have been ahead. Removing style leaves -2.42% of style adjusted alpha, and the decomposition shows most of that came from stock selection at -1.76% rather than from timing at -0.66%. The R-Squared of 87.97% confirms the style model fits well, so the skill figures can be relied on. The conclusion is that the style worked and the active decisions did not.
8.2 Fixed Income Example: A Core Strategy
| Metric | Value |
|---|---|
| Manager (annualized) | 3.37% |
| Benchmark | 1.97% |
| Static Clone | 3.12% |
| Dynamic Clone | 3.05% |
| Manager vs Benchmark | 1.39% |
| Style Effect | 1.15% |
| Style Adjusted Alpha | 0.25% |
| Tactical Timing | -0.07% |
| Security Selection | 0.32% |
| R-Squared vs Clone | 93.04% |
Interpretation. The headline number overstates the result. A 1.39% annualized advantage over the aggregate index looks like a strong active record, but 1.15% of it came from the style, in this case a credit-oriented posture that was rewarded over the period. What the manager added on top of their own style is 0.25%, which is positive but modest. Within that, security selection contributed 0.32% while tactical timing detracted 0.07%, so the value came from what they owned rather than from when they shifted risk. The high R-Squared of 93.04% means the style model captures the return pattern well and the decomposition is dependable.
What the two examples show together. One manager trailed the benchmark and one beat it by a wide margin, and in both cases the benchmark comparison pointed in the wrong direction about skill. That gap is the reason the report is structured around the clone.
9. Related Pages
- Aapryl Score
- Clone Portfolios: Static and Dynamic
- Aapryl Peer Groups
- Cyclical Manager Positioning, Fixed Income
- Factor Exposures vs Peer Group Average
- Manager Factor Exposure
- Correlation Matrix
- Correlation Through Time