Return Simulator

Overview

Aapryl’s Return Simulator module allows investors to extend a manager product’s track record in order to evaluate shorter track records. Not all managers will have a sufficiently long track record for evaluation. The industry standard for evaluating manager track records requires at least 5 years, which systematically excludes short-tracked record managers who otherwise have a verifiable longer track record with previous firms.

Using a minimum 36 months of results, as well as the manager’s peer groups’ historical performance, return simulator is a statistically robust method for extrapolating performance out to the 60-month minimum required for meaningful analysis. This allows investors to evaluate experienced and talented portfolio managers at new firms and helps to remove the inherent structural barrier to entry for short-tracked record managers when competing for an allocation.

Videos

No items

Whitepapers

Purpose: AAPRYL’s Return Simulator module provides users with the ability to backfill performance data for managers with shorter histories. This allows newer managers to be evaluated alongside managers that have longer histories. Histories generated using this module can be used in the other modules of Aapryl.

Glossary of Terms:

• Static Clone Portfolio- A portfolio derived by determining a manager’s long-term average exposure to various style factors over the life of a manager’s track record.
• Style- One of the primary classifications of managers in AAPRYL. Managers are separated into Value, Growth and Blend groupings based on their exposure to commonly used factors.
• Clone Portfolio- A hypothetical portfolio designed to emulate the market exposure of a portfolio. It is calculated to a style analysis is composed of the various factors that influence a manager’s return.
• Beta- The portion of a manager’s return derived from the market. Within Aapryl it is the return of a manager’s clone portfolio.

Description of Methodology: APPRYL’s Return Simulator backfills a manager’s performance history. To do so, a style analysis is done on the manager’s existing performance and a clone portfolio is determined. Each month’s backfilled return is the return of the clone portfolio for each month(the beta) adjusted for an expected excess return (alpha) that is calculated using statistical bootstrapping.

Information Provided: AAPRYL is able to use this information to provide users with charts and graphs that contain an abundance of useful information which includes the following:

• Simulated Returns- Users can see charts that show AAPRYL’s measure of total manager skill as well as a manager’s stock selection, Edge, Factor Timing and Opportunity Score
• Growth of $100 Chart- Users can see the long term backfilled history in a growth chart. While the entire history of the manager is shown, the simulated return is differentiated from the actual retun.
• Performance Charts- Users can see the long-term performance of a manager with the newly created performance history.

Additional Information

No items