Manager Sample Comparison

Transcription

1 Manager Research Report Sample Comparison

2 Aapryl Manager Selection 217 Total Return Dissection Aapryl Manager Skill Score 25.25% Benchmark.4 Timing Skill Selection Skill Long Term Style Negative Skill 18.75% % Brady Capital Management 2.73% Wentz Advisors 19.22% Manning Investments 19.1% Values /211 1/211 1/212 4/212 7/212 1/212 1/213 4/213 7/213 1/213 1/214 Carson Capital Management, LLC Focused Palmer Investment, LLC Value Equity 4/214 7/214 1/214 1/215 4/215 7/215 1/215 1/216 4/216 7/216 1/216 1/217 4/217 7/217 1/217 Luck Investment Partners, LLC Large Cap Core Equity Prescott Advisors, Inc. Ultra Screening Results HQ Custom Universe Manager Product predicted style adjusted excess return percentile rank Filters used.29% 55.5 Manning Investment.16% 36.57% Brady Capital Management (.56) 5.14% Universe: Custom US Universe AUM between 5M & 2.5B Inception date prior to 1/1/215 Expense ratio below 2.5%

3 Consistency Score Product Composition date consistency score (stock selection) consistency score (factor timing) edge score (stock selection) 1.19 % 56.34% 3/31/ /3/ /31/ /3/ /31/ /31/ /3/217 1/31/ % Economic Sensitivity Quality Yield Crowding Analysis Current Status 6 Total Number Of Crowded Factors Benchmark Composition Russell Midcap Value 6.63% 2.6% Risk On Warning Threshold Least Crowded Factors Most Crowded Factors Momentum Earning Yield 45.73% 35.99% Size Leverage Book to Price 9.6% Value Defensive Economic Sensitivity Yield Volatality

4 Trend Analysis Batting Average: 74% Factor Exposures Momentum Average Return (Annualized) Standard Deviation (Annualized) Sharpe Ratio Period Count (In Months) Upside Capture Downside Capture Skewness Excess Kurtosis Manager Clone Benchmark Manager Trend Analysis Manager Trend Analysis Total Rising Falling Sideways Total Rising Falling Sideways 1.78% 12.58% % 66% % % 73% % % 65% % 9.68% % 36% % 15.25% % 12.86% % % 9.68% Values /215 1/216 3/216 5/216 7/216 9/216 11/216 1/217 3/217 5/217 7/217 9/217 Breeze SM Cap Wilson Sm Cap Rodgers Sm Cap Dominant Cluster Exposures High Quality Value 2 High Quality Blend 2 High Quality Histogram of Recent Exposures 6 High Quality Style Analysis Over Time 45% Low Quality Value GARP Blend Low Quality 3 15% Manning Investment Manning Investment HiQ Value LoQ Value HiQ LoQ HiQ Blend GARP Blend Low Quality Value Rodgers Sm Cap Gannon Sm Cap Dominant Cluster

5 Custom Optimized Portfolio Cycle Phases Inflationary Pressure EARLY MID LATE RECESSION Manning Investment Options Selected: Red=High Aapryl Score maximized Tracking Error minimized Benchmark Russell 25 + Economic - Manning Investment Relative Performance of Economical Sensitive Assets Recovery Expansion Slow Recession Green=Strong Deep Value Relative Value GARP to Mania Defensive Dynamic Most Dominant (Static) PORTFOLIO Projected Alpha historical return Long Term Clone return Standard Deviation TRACKING ERROR DOWNSIDE TRACKING ERROR Turnover % Factor Composition 2.6% 6.63% PRODUCT Optimized Weight ALLOCATION AMOUNT Long Term Clone return INFO RATIO TRACKING ERROR Total ALPha ToTAL Return Marginal Contribution to Alpha Marginal Contribution to RISK Carson Capital management LLC - Focused 13.13% $ 3,19,9 -.2% Palmer Investment, LLC - Palmer- Value Equity 7 $ 3,64,9 -.3% Luck Investment Partners LLC - Large Cap Core Equity 1.4% $ 239, % 45.73% Prescott Advisors, Inc. - Small Cap Ultra 15.83% $ 16,1, -.15% % Total Allocation: $ 2,, Value Defensive Economic Sensitivity Yield Volatality

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