Pairwise Correlation 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 calculates the average correlation of the holdings in the portion of the portfolio most exposed to a particular factor. The red line displays the […]

Valuation Dispersion Analysis

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 […]

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

The chart shows how a manager’s clone 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 […]