The chart is used to provide insight into whether a particular factor in a portfolio is crowded and could potentially an extra dimension of risk. The red line shows the dispersion between the average price to book ratio between the portion of a portfolio most exposed (top decile) to a […]
Fractal Dimension Analysis
The chart is used to provide insight into whether a particular factor in a portfolio is crowded and therefore adds an extra dimension of risk. Aapryl’s fractal dimension analysis is based on research that shows that the time-horizon of different market participants is different and more importantly can view the […]
Factor Portfolio
This chart shows the growth of $100 for all of the factors in the portfolio.
Market Trend Analysis
The chart shows how a manager’s portfolio has historically performed in different market environments. Using the designated benchmark as the proxy, the market’s performance is separated into three distinct regimes: upward trending or rising, downward trending or falling and markets in which no trend could be determined. The performance of […]
Market Trend Analysis
This chart analyzes how a manager performs across different market environments, helping investors determine whether results are driven by repeatable skill or broader market conditions. Aapryl identifies market regimes—such as Rising Trends, Falling Trends, or No Trend periods—based on relevant market indicators. Performance statistics are then calculated separately within each […]