https://knowledgebase.aapryl.com Tue, 28 May 2019 19:40:48 +0000 en-US hourly 1 https://knowledgebase.aapryl.com/modules/crowding-thermometer-2/ Tue, 06 Nov 2018 14:58:49 +0000 https://knowledgebase.aapryl.com/?post_type=ht_kb&p=1373 This chart provides a heat map showing the overall crowding risk. The scale ranges from green, which indicates little crowding risk, to red, which indicates significant crowding risk. Below the thermometer, the chart shows the factors in the portfolio with both the highest and lowest amounts of crowding risk.

]]> https://knowledgebase.aapryl.com/modules/pairwise-correlation-analysis-2/ Sat, 03 Mar 2018 20:57:35 +0000 https://knowledgebase.aapryl.com/?post_type=ht_kb&p=1126 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 average correlation over time, with a higher correlation indicating that there is crowding risk. A lower correlation indicates relatively less crowding risk. The blue line displays the cumulative performance of the same portion of the portfolio used in the correlation analysis.

]]> https://knowledgebase.aapryl.com/modules/valuation-dispersion-analysis-2/ Sat, 03 Mar 2018 20:56:19 +0000 https://knowledgebase.aapryl.com/?post_type=ht_kb&p=1120 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 particular factor and the portion of a portfolio least exposed (bottom decile) to the same factor.  A higher dispersion indicates that the valuation of securities with high exposure to the factor may not reflect the securities’ underlying fundamentals and may be a warning sign that the factor is crowded.  The blue line displays the cumulative performance of the portion of the portfolio with high exposure to the factor.

]]> https://knowledgebase.aapryl.com/modules/fractal-dimension-analysis/ Sat, 03 Mar 2018 20:55:32 +0000 https://knowledgebase.aapryl.com/?post_type=ht_kb&p=1113 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 same activity differently. Too much short-term activity can create liquidity risk. Aapryl analyzes the equilibrium of long-term and short term activity of the portion of a portfolio most exposed to a particular factor. The red line displays the equilibrium of the activity against a threshold (green line).  When the red line touches or is above the green line it indicates that there is a high level of short term activity which may be an indication of crowding risk.  The blue line displays the cumulative performance of the portion of the portfolio with high exposure to the factor.

]]> https://knowledgebase.aapryl.com/modules/factor-portfolio/ Sat, 03 Mar 2018 20:54:28 +0000 https://knowledgebase.aapryl.com/?post_type=ht_kb&p=1326 This chart shows the growth of $100 for all of the factors in the portfolio.

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