Chart Elements

• The center pie shows manager product factor breakdown by percentage (e.g., 49% Defensive green, 34% Value blue, 13% Low Volatility light blue, 4% Quality pink).
• The legend identifies factors: Defensive (green), Low Volatility (light blue), Quality (pink), Value (blue).
• The Static (full history) toggle (selected) uses inception-period average exposures.
• The Dynamic (most recent 36 months) toggle enables rolling window view.
• Distinct toggle aggregates similar factors.
• Factor toggle (selected) shows granular split.
• Cap Size and Region toggles enable size/geography breakdowns.
• Data as-of notes recency (e.g., 12/2025).

How It Works

Aapryl constructs static clones from full-history factor loadings and dynamic clones from recent 36 months. Available factors (depending on fund): Value (low P/E, P/B), Core (neither value/growth), Growth (high growth rates, P/E, P/B), Defensive (stability via low earnings variability, high ROA, low leverage), Economic Sensitivity (cyclical exposure), Momentum (high price momentum), Quality (high ROA, low leverage, earnings stability), Yield (high dividend yields), Low Volatility (lowest std. dev. or beta). Distinct combines overlaps; Factor separates.

Key Insights to Spot

Largest slice reveals primary tilt (e.g., 49% Defensive). Static vs. dynamic gap shows style evolution. Low Volatility + Quality combo signals downside protection. Value dominance vs. Growth absence flags contrarian approach. Factor availability varies by fund universe.

Actionable Uses

Match manager factors to benchmark for style consistency. Screen for mandate-aligned tilts. Probe “Your Defensive tilt vs. benchmark Growth?” in DD. Track dynamic shifts for style drift. Compare vs. peers for relative positioning.

Chart Elements

• X-axis: Factors (e.g., Growth, Economic Sensitivity, Low Volatility, Defensive, Quality, Value).
• Y-axis: Peer percentile ranking (0-100%).
• Stacked bars: Peer distribution (bottom 0-25th light, 25-50th, 50-75th dark, 75-100th top).
• Blue diamonds: Manager exposure (e.g., GQG Partners Global Equity).
• Gray dots: MSCI World benchmark.
• Legend: 0-25th (bottom), 25-50th, 50-75th, 75-100th (highest).
• Toggles: Static vs. Dynamic.

How It Works

Exposures from factor clones (static/dynamic) ranked vs. peer universe. Bars show distribution; manager diamond position indicates out/under-weight (top = overweight vs. peers). Applies to all 9 factors: Value, Core, Growth, Defensive, Economic Sensitivity, Momentum, Quality, Yield, Low Volatility (availability fund-dependent).

Key Insights to Spot

Diamond in top quartile signals overweight (e.g., Quality). Mid-stack = peer average. Benchmark dot divergence shows universe fit. Consistent top/bottom across factors reveals signature tilts. Low Volatility low rank flags riskier bets.

Actionable Uses

Benchmark relative tilts for universe fit. Screen top-quartile aligned factors. Probe “Overweight Defensive vs. peers?” in DD. Toggle Dynamic for recent shifts. Diversify underweights across managers.

Chart Elements

The layout uses simple grouped bars aligned to specific stress events on the X-axis, with the Y-axis scaling cumulative returns from roughly -50% to +50% to capture typical drawdown ranges. Every component serves a clear purpose:

• Stress Events (X-Axis, left to right): Factory presets include European Debt (04/2010-07/2011) for the sovereign crisis period, Flash Crash (06/2010) for the sudden volatility spike, March 2020 for the initial pandemic flash decline, COVID-19 (01/2020-03/2020) for the full early pandemic drop, and Great Financial Crisis (10/2007-02/2009) for the GFC meltdown. You create custom periods using the wizard when selecting managers—simply input start and end dates during manager setup to test tailored scenarios like rate hikes or sector shocks.
• Y-Axis (Return %): The total cumulative return from the period’s open to close. Negative numbers show the drawdown magnitude (e.g., -42% means a 42% peak-to-trough loss); positive values are uncommon but indicate relative outperformance or quick recovery.
• Bar Pairs (one black and one blue per event):
  • Black Bars: The manager’s actual returns during that window (e.g., -7.6% in the European Debt crisis, showing limited damage).
  • Blue Bars: The benchmark’s returns for the same exact period (e.g., MSCI World at -21.1% in March 2020, a much steeper fall).
• Legend:
  • Black: Selected manager (e.g., GQG Partners LLC – GQG Partners Global Equity).
  • Blue: Benchmark (MSCI World).
• Customization Path: Access via the manager selection wizard—define periods on-the-fly without separate platform tools.

The chart pulls data from inception (e.g., 10/2014 to 12/2025), only plotting events overlapping the track record.

How Stress Tests Are Calculated

All figures rely on the clone returns framework to ensure apples-to-apples stress analysis:

• Manager Actual: Straight cumulative return of the portfolio over the defined window.
• Benchmark: Identical calculation for the index.
• Clone Role (underlying attribution): Static and dynamic clones dissect if the manager’s style (e.g., high-quality stocks holding up in recessions) or skill (e.g., nimble selection/timing) explained relative strength. Windows are peak-to-trough standardized for fairness, and results aren’t annualized given the short, intense nature of crises.
  When you create custom periods in the wizard, the same rigorous clone methodology applies automatically.

Key Insights to Spot

Focus on the black bar versus blue bar height in each event pair to uncover patterns:

• Relative Protection: A black bar noticeably less negative than the blue one (e.g., manager -4% vs. benchmark -21%) demonstrates superior downside management—crucial for real-world portfolios.
• Pattern Across Crises: Consistent black-bar advantage in multiple events (e.g., 4 out of 5) points to a repeatable defensive process, not luck.
• Style or Skill Driver: If the manager significantly outperformed, cross-reference clones (available in detailed views)—was it passive factor resilience or active decisions?
• Custom Scenario Power: Your wizard-defined periods (e.g., 2022 bear market) reveal current relevance beyond historical defaults.
• Amplification Effect: Crises magnify small edges seen in normal times, validating or debunking skill claims.

Actionable Uses

This chart fits seamlessly into risk assessment and decision-making:

• Resilience Prioritization: Favor managers where black bars are shallower than blue across most events, especially customs matching your risk views.
• Due Diligence Prep: Reference specific bars like “Your -8% in COVID beat the benchmark’s -42%—walk us through the positioning.”
• Portfolio Stress Modeling: Aggregate top black-bar performers to simulate blended crisis returns.
• Custom Testing: Use the manager selection wizard for “what-if” periods like geopolitical flares, ensuring hires withstand your scenarios.
• Capacity Correlation: Combine with AUM charts—if strong black bars persist at high assets, the process scales through turmoil.

By enabling wizard-based custom periods, this chart evolves from historical review to forward-looking stress validation.

Chart Elements

The chart uses stacked horizontal bars for each time period, with the Y-axis showing annualized skill return percentages (e.g., -20% to +10%) and the X-axis listing horizons. Here’s exactly what comprises each element:

• Time Horizons (X-Axis, left to right): QTD (shortest, most volatile), CYTD, 1YR, 3YR, 5YR, ITD (longest, most reliable). Parentheticals note peer count per period (e.g., QTD: 246 funds).
• Y-Axis (Ann Skill Return %): Annualized return specifically attributed to manager skill (peer-adjusted alpha from decomposition: stock selection + style timing, after clones). Positive = skill generated excess; negative = skill detracted. Zero line marks peer average.
• Stacked Bars (color-coded peer percentiles, bottom to top):
  • Dark Brown (75th-90th Percentile – Worst): Bottom 25% of peers (weakest skill).
  • Light Brown (50th-75th Percentile): Middle 25% (below average).
  • Yellow (50th-25th Percentile): Middle 25% (above average).
  • Green (Top 10th-25th Percentile – Best): Strong performers.
  • Blue (Top 10% – Best): Elite top decile.
• Orange Horizontal Line: Your manager’s exact skill return for that period (e.g., 2.78% in 3YR). Its height and stack position show rank.
• Universe Context: Data as-of (e.g., 12/2025), peer group name.

How Skill Return Is Calculated

The “Ann Skill Return %” on the Y-axis represents peer-adjusted alpha—annualized excess return from skill components only:

• Skill Return = (Manager – Static Clone) for long-term + timing adjustment, ranked and normalized vs. peers.
• Positive values mean skill beat peer average; derived from decomposition excluding benchmark/style effects.
  Bars show full peer distribution; orange line overlays manager’s contribution.

Key Insights to Spot

Scan the orange line’s position within stacks across periods:

• Consistent Top Placement: Orange consistently in blue/green (top 25%) signals persistent skill advantage.
• Rank Evolution: Deterioration from QTD green to ITD brown warns of fading edge.
• Peer Spread: Tall stacks indicate variable skill universe; short stacks mean homogenization.
• Negative Skill: Orange below zero across horizons flags systematic underperformance.
• Fund Count Changes: Shrinking peers (e.g., 84 ITD) may reflect survivorship—interpret cautiously.

Actionable Uses

Leverage this for efficient relative evaluation:

• Rank Snapshot: All orange lines in top 25%? High conviction for shortlisting.
• Persistence Check: Strong short-term but weak ITD? Probe for capacity or process shifts.
• Universe Validation: Large consistent fund counts ensure robust percentiles.
• Comparisons: Align with scatter plot—top stack matches top-right quadrant.
• Decision Triggers: Bottom-half ITD orange line + negative skill = deprioritize or investigate.

Chart Elements

The chart uses a standard scatter plot format with these core components:

• X-Axis (Style Timing Skill %): This measures the manager’s peer-relative performance in tactically rotating between factors or styles, such as shifting from value to growth at the right times. Values range from negative (underperformed peers) to positive (outperformed peers), for example from -7% to +5%. A dot further to the right indicates stronger timing skill compared to the peer group.
• Y-Axis (Stock Selection Skill %): This captures peer-relative outperformance from individual security picks after adjusting for style. Positive values (e.g., up to +10%) mean the manager selected stocks that beat what their dynamic style clone would predict; negative values (down to -20%) show underperformance in picks.
• Data Points:
  • Blue Dots: Each represents one peer fund in the universe. The cloud of dots shows the full distribution—dense clusters indicate common skill levels, while outliers highlight exceptional or poor performers.
  • Orange Dot: Your selected manager. Its position relative to the blue cloud tells the story of competitive standing.
• Zero Crosshairs: Vertical and horizontal lines at 0% divide the chart into four quadrants. The top-right quadrant is ideal (strong in both skills), while bottom-left signals weakness across the board.
• Labels and Context: The title notes the universe size (e.g., 245 funds), data as-of date (e.g., 12/2025), and current period (e.g., 3 Year).
• Interactive Features:
  • Hover over blue dots: A tooltip bubble appears with the peer fund’s name and exact skill values, letting you quickly identify competitors.
  • Double-click any dot: Opens the full Aapryl Dashboard in a new browser tab with that specific manager (peer or your own) pre-selected for deeper analysis.
• Period Dropdown: Switch between QTD (shortest, most volatile), 1YR, 3YR, or 5YR (longest, tests durability). Longer periods smooth out noise and better reveal sustainable skill.

How Skill Components Are Calculated

Both axes show annualized, peer-relative z-scores derived from Aapryl’s return decomposition model:

• Style Timing Skill: The difference between the dynamic clone (recent 36-month style) and static clone (fixed inception style), ranked against all peers in the universe. It isolates value added from factor rotations.
• Stock Selection Skill: Manager returns minus dynamic clone returns, ranked vs. peers. This pure residual measures idiosyncratic security-level decisions.
  These are normalized so the peer average sits near zero, making positioning intuitive.

Key Insights to Spot

Look for these patterns to draw meaningful conclusions:

• Quadrant Dominance: An orange dot in the top-right quadrant means your manager beats most peers on both dimensions— a strong buy signal. Conversely, bottom-left placement warrants caution.
• Relative Outlier Status: If the orange dot sits far above or right of the blue cloud, the manager has a differentiated edge. Check if it’s consistently there across time horizons.
• Peer Dispersion: A tight cluster of blue dots suggests commoditized skill levels in the universe (harder to stand out). Wide spreads create more opportunities for alpha.
• Changes Over Time: Toggle from QTD to 5YR— if the orange dot migrates toward top-right in longer periods, it indicates improving or persistent skill rather than luck.
• Universe Robustness: With 245 funds, rankings are statistically meaningful; smaller universes require more scrutiny.

Actionable Uses

This chart shines in comparative and due diligence workflows:

• Competitive Scouting: Hover over top-right blue dots to note rival names, then double-click to open their Dashboards and compare processes head-to-head.
• Conviction Building: A stable top-right position across 3YR and 5YR horizons supports allocation decisions, especially with positive peer-adjusted alpha from other charts.
• Skill Gap Analysis: If your manager skews left (weak timing), ask targeted questions like “How do you handle factor rotations?” during meetings.
• Persistence Screening: Use the dropdown to filter managers who maintain strong quadrants over multiple periods, avoiding one-hit wonders.
• Quick Navigation: Double-click your own orange dot anytime for a full Dashboard view, or explore peers without leaving the analysis flow.

By combining hover details, double-click navigation, and time toggles, this chart turns peer benchmarking into an efficient, interactive tool for manager selection.

Table Elements

Column Headers (Time Horizons, left to right):

• Peer Group: Specific Aapryl universe (e.g., Global Large High Quality Blend).
• QTD, CYTD, 1YR, 3YR, 5YR, ITD: Return periods—Quarter-To-Date (shortest), Calendar YTD, 1/3/5 Years, Inception-To-Date (longest). All annualized where applicable.

Row Breakdown:

• Manager Composite: The manager’s total return for each period (e.g., 0.84% CYTD).
• Static Clone (Long-Term Style Adj Bench): Passive long-term style replication return (e.g., 2.93% QTD)—what holding fixed factors yields.
• Benchmark (e.g., MSCI World): Broad index return (e.g., 3.12% QTD).
• Manager vs Benchmark: Excess return (Manager – Benchmark; e.g., -3.17% QTD).
• Style Effect (Clone Bench): Factor tilts’ contribution (e.g., -0.19% QTD).
• Peer Adjusted Alpha (Manager – Static Clone): Style-neutral skill excess (e.g., -2.99% QTD).
• Peer Quartile Rank (1 best, 4 worst): Manager’s percentile position (e.g., 5th percentile = top 5%, very strong).
• Peer Funds: Universe size per period (e.g., 246 funds QTD).
• R-Squared: Style explanation % (bottom row; e.g., 75% overall).

How It Works

Returns are gross or net composite (firm-wide), vs. benchmark and clones. Peer ranks use survivorship-free universe matching style. Alpha = Manager – Static Clone (pure skill). Positive ranks (1-2) + alpha confirm edge; R-squared validates decomposition reliability.

Key Insights to Spot

• Persistence Across Horizons: Consistent top-quartile ranks (1-2) signal repeatable skill vs. short-term luck.
• Alpha Drivers: Peer Adjusted Alpha >0 with good ranks shows skill beyond style.
• Style Impact: Negative Style Effect but positive alpha means manager overcame factor headwinds.
• Universe Context: Large # peers (200+) make ranks robust; watch shrinkage signaling universe changes.
• R-Squared Fit: 70-90% typical—high means style explains most; low flags unique strategy.

Actionable Uses

• Quick Screening: Scan for all 1-2 ranks + positive ITD alpha.
• Narrative Test: Strong ranks but negative style effect? Credit to skill.
• Capacity Check: Deteriorating ranks over longer horizons warn of scale issues.
• Comparisons: Benchmark against peers in same columns for relative bets.
• DD Deep Dive: Drill into periods with rank jumps for process questions.

Skill Analysis Module  ·  Chart Reference Guide

Reading the Stress Test Chart

The Stress Test Chart evaluates how a manager performed relative to the benchmark during specific, well-defined historical market crises. Unlike rolling return comparisons that assess performance across all market conditions, stress testing deliberately focuses on tail events — the periods when market conditions were most adverse and when the true resilience of an investment process is revealed.

In the Skill Analysis module, stress test results are clone-adjusted, meaning each crisis return is decomposed into the portion attributable to passive factor exposure (what the manager’s clone would have returned) and the residual from active decisions. This makes the Aapryl stress test analytically richer than a simple manager-versus-benchmark return comparison.

The Chart

What the Chart Shows

Each stress period is displayed as a pair of side-by-side bars representing the cumulative return for the manager (black) and the benchmark (blue/light) over the full duration of that crisis window. The y-axis shows cumulative percentage return — values below zero represent losses sustained during the period, values above zero represent gains.

The Five Preset Stress Periods

Aapryl preloads five widely recognized market stress events. The table below shows the date range for each, the sample manager and benchmark returns from the chart above, and a brief description of each event.

Custom stress periods can be defined using the manager selection wizard by specifying any user-defined start and end date. Custom results appear alongside the preset periods as additional bar pairs in the same chart.

Reading Each Pair of Bars

When the Black Bar is Less Negative Than the Blue Bar

This is the primary signal to look for. A manager who lost less than the benchmark during a crisis — especially across multiple, structurally different crises — has demonstrated repeatable downside management. In the sample chart, the manager outperformed the benchmark in four of five preset periods, with the most notable protection during the Great Financial Crisis (−37.4% vs. −55.0%) and the European Sovereign Debt Crisis (−9.9% vs. −18.4%).

When the Black Bar is Positive and the Blue Bar is Negative

This signals that the manager generated an absolute gain during a period when the benchmark declined — a strong indicator of genuine defensive positioning or active risk management. In the sample chart, the Covid-19 extended period (01/2020 – 06/2023) shows both bars in positive territory, reflecting the V-shaped recovery included in that window’s definition rather than a purely defensive outcome.

Magnitude of the Gap Between Bars

Not all outperformance is equal. A manager who lost 37% when the benchmark lost 55% during the GFC provided 18 percentage points of downside protection — a material cushion for institutional investors managing drawdown risk and liability constraints. Pay close attention to the absolute gap between bars, not just the direction of the relative outcome.

N/A Benchmark Entry

An N/A in the benchmark bar indicates that return data for the selected benchmark was unavailable or not applicable for that specific window. In the sample chart, the March 2020 period shows N/A for the benchmark. Selecting a different benchmark from the interactive controls may resolve this.

Clone-Based Attribution in Stress Testing

A critical distinction in the Aapryl Stress Test is that results are derived using clone attribution — the same RBSA engine that underlies the entire Skill Analysis module. Each crisis return is decomposed into two components:

• Clone Return: The portion of the manager’s stress period performance attributable to passive style factor exposures. This is what the manager’s clone portfolio — a hypothetical passive replication of their factor mix — would have returned during the crisis.
• Active Skill Return: The residual above or below the clone. This is the contribution from stock selection and style timing decisions made during the stress period, above and beyond what passive style exposure alone delivered.

This decomposition allows users to distinguish between a manager whose resilience was structurally driven — because their factor exposures (e.g., quality, low volatility) happened to be defensive during that specific crisis — versus a manager whose active decisions genuinely added protection above what their style alone would have provided. The latter is a far stronger signal of repeatable skill.

Interpreting the Sample Chart

The sample chart displays an EAFE High Quality Growth Manager benchmarked against the MSCI World Ex USA IMI over the period 01/2008 – 09/2025. The five preset stress periods reveal a consistent pattern of downside protection:

• Great Financial Crisis: Manager lost 37.4% versus a benchmark loss of 55.0% — a gap of 17.6 percentage points. For an EAFE strategy, this level of relative protection during a global credit crisis is a strong signal. The High Quality Growth style bias likely contributed to the clone-level protection, but the magnitude of the gap warrants examination of the active skill contribution above the clone.
• European Sovereign Debt Crisis: Manager lost 9.9% versus 18.4% for the benchmark — nearly halving the drawdown during a period of acute stress for European-focused strategies. This is notable because the crisis directly affected the manager’s investment universe.
• Flash Crash: Manager lost 9.8% versus 13.3% — consistent with the pattern of downside protection, even during a brief, liquidity-driven event rather than a fundamental economic crisis.
• March 2020: Manager lost 14.8% with no valid benchmark comparison available for this window. The absolute loss of 14.8% during the fastest equity decline on record is relatively contained, though context requires a benchmark to assess properly.
• Covid-19 (Extended): Manager returned +23.0% versus +14.0% for the benchmark over the full 2020–2023 window. Both results are positive because this extended period includes the V-shaped recovery and subsequent bull market, not just the initial drawdown.

Actionable Uses

Manager Due Diligence — Downside Risk Assessment

Use the Stress Test Chart as part of a structured manager review to assess whether claimed downside protection is supported by data. A manager who markets themselves as risk-aware should show consistent relative outperformance (smaller losses or positive returns) across multiple crisis types — not just in a single event that may be explained by a coincidental factor bias.

Distinguishing Skill from Style in Crisis Periods

Use the Strategy Toggle (see Interactive Controls below) to switch from actual manager returns to clone returns for each stress period. If the clone also significantly outperformed the benchmark during a given crisis, the protection was structurally driven by the manager’s factor exposures. If the actual manager outperformed the clone by a wide margin, the active decisions — stock selection or style timing — added genuine crisis-period value above the passive style baseline.

Cross-Crisis Consistency Testing

A manager who outperformed in the 2008 GFC but underperformed during the 2011 Sovereign Debt Crisis or the Flash Crash may have benefited from a specific regime alignment rather than a repeatable process. The most credible stress test records show consistent relative protection across crises that differ in their origin — credit events, liquidity crises, rate shocks, and pandemic disruption each stress a portfolio in different ways.

Portfolio-Level Stress Testing

When evaluating a multi-manager fixed income or equity portfolio, review the Stress Test Chart for each manager and note which periods each manager protected against most effectively. In portfolio construction, a combination of managers with complementary stress period profiles — where one manager’s strength compensates for another’s weakness in a given regime — creates a more resilient overall allocation.

Interactive Controls

• Strategy Toggle: Switch between the actual manager return and the manager’s clone return for each stress period. This isolates whether crisis outperformance was driven by active decisions or by the passive factor exposures embedded in the manager’s style.
• Benchmark Selection: Change the comparison benchmark to any index, custom benchmark, or peer average available in the platform. The light bars update to reflect the selected benchmark’s stress period return.
• Custom Period Definition: Use the manager selection wizard to specify any start and end date as a custom stress period. Results appear as an additional bar pair alongside the five presets.
• Zoom / Export: The magnifier icon (top right) expands the chart to full screen. The menu icon provides export options including PNG, SVG, and CSV data download.

Common Questions

Q: Why does the March 2020 period show N/A for the benchmark?

N/A appears when the selected benchmark does not have return data available for the specified window, or when the benchmark is not applicable to the manager’s asset class for that period. Try selecting a different benchmark using the interactive controls. For EAFE strategies, the MSCI World Ex USA IMI is the default, but other EAFE or global benchmarks may have data for this specific window.

Q: The Covid-19 window shows positive returns for both manager and benchmark. Is that correct?

Yes. The Covid-19 preset period runs from 01/2020 to 06/2023 — a three-and-a-half year window that includes the initial drawdown, the V-shaped recovery, and the subsequent post-pandemic bull market. Because the recovery and bull market are included in the window, cumulative returns over the full period are positive for most strategies. This is by design: the extended window captures the full economic impact of the Covid cycle, not just the initial shock. To isolate the acute drawdown phase, use the March 2020 preset (03/2020 – 09/2020) or define a custom period.

Q: A manager outperformed the benchmark in every stress period. Should I weight this heavily?

Consistent outperformance across structurally different crisis types — a global credit collapse, a sovereign debt crisis, a liquidity event, and a pandemic — is a strong signal. However, always cross-reference with the Style Analysis module to confirm the outperformance reflects active skill rather than a structural style bias. Use the Strategy Toggle to compare the actual manager return to the clone return in each period. If the clone also outperformed in every crisis, the protection was primarily style-driven; if the active skill return (actual minus clone) was also consistently positive, the evidence for repeatable active skill is much stronger.

Q: How does Aapryl define the start and end dates for each preset period?

Aapryl uses the peak-to-trough or event window most commonly referenced in institutional investment practice for each preset. The GFC runs from the equity market peak in October 2007 to the trough in February 2009. The Flash Crash uses the April–June 2010 window of maximum intraday and near-term volatility. Custom periods can replicate any date range a user defines — allowing comparison against firm-specific or client-specific market events.

For more information, visit www.aapryl.com  |  info@aapryl.com