The Aapryl Quarterly Market Insight offers a lens on how active managers in general performed in various markets and sub-segments. Using Aapryl’s proprietary methodology, we measure manager skill by using the manager’s static clone (long term factor profile) as a measure of skill instead of the broad market benchmark. Manager skill is calculated by using the manager’s raw return less their static clone return.
4Q2022 continued volatility benefited aggressive value managers, while their aggressive growth counterpart was challenged. Median managers within Aapryl’s peer groups managed to post outperformance relative to their respective static (style) clones led by U.S. Small Cap Aggressive Value posting +3.38% with Emerging Markets Aggressive Growth posting the least at -1.36%. High Quality and GARP managers outperformed across markets during the quarter.
Below are the top three winners and bottom three losers based on the performance of their respective peer group medians for the prior quarter:
Aapryl Peer Group Manager Skill Performance Matrix
Quarter Ending 12/31/2022
The performance spread between the top and the bottom quartile within their respective peer groups varied for each Aapryl peer group is shown below. The biggest performance spread between the peer groups top quartile vs bottom quartile occurred in the US Large Cap aggressive growth peer group, with the lowest spread occurred in the U.S. Small cap GARP peer group for the quarter
Top Quartile vs. Bottom Quartile
Quarter Ending 12/31/2022
Fixed Income Manager Performance During the Quarter
Active managers in Fixed Income continued to be challenged during the 4th quarter of 2022. Only five public fixed income Aapryl peer group medians were able to deliver positive manager skill (manager’s raw return less static clone return). Global Bond Intermediate Term Low Risk peer group median performed the worst -0.76%) with Bank Loans All All peer group median performing the best (+0.40%). Spreads range as high as 2.45% in Global Bonds Intermediate Term Low Risk and as low as 0.25% in Short Term Investment Grade Intermediate Term All peer group median.
