Aspect Systematic Global Macro Fund

Investment Objective

The Fund utilises a systematic, duration neutral / relative value approach to global fixed income, stock indices, currency and volatility investing. The Fund’s objective is to generate absolute returns by managing a diversified, risk-controlled portfolio with low correlations to traditional and alternative asset classes.

Latest Meeting Note

Meeting 27 Apr 2020

Founded in 1997, Aspect currently run $7.5bn across a range of systematic strategies including trend following, currency hedging, alternative risk premia, short term trading and global macro, via several different structures including Ca... Read more

Founded in 1997, Aspect currently run $7.5bn across a range of systematic strategies including trend following, currency hedging, alternative risk premia, short term trading and global macro, via several different structures including Cayman offshore funds, UCITS and client specific managed accounts. The Aspect Systematic Global Macro fund is run by Dr. Anoosh Lachin and Asif Noor, and they have been running systematic global macro strategies together since the early 2000s, firstly at Deutsche Bank then at their own firm. Like prior strategies, the Aspect Systematic Global Macro fund is a systematic, relative-value fund that is typically duration and market neutral while exhibiting low correlation to other CTAs, discretionary macro funds and equity markets. The fund trades 40 highly liquid markets across fixed income, equity indices and currencies, with each major asset class broken down into several broader themes, ultimately creating a return stream derived from 31 independent models. For example, across fixed income, active themes include; implied inflation, the mean reversion of yield spreads, term structures and yield curve dynamics. While within currencies, themes are split between G10 models (the bulk of currency trades), with a smaller allocation to EM. Factor-timing is applied using three different approaches as an element of risk management. Regime conditioning is applied within the framework and is used to identify unfavourable regimes and is designed to exclude positions in individual markets (eg Turkey – high interest rate signals potential for carry, regime conditioning identifies wider issues (economic and political) with the trade). Other risk filters include a risk overlay, applied top-down at model level, based on external data this is expected to reflect market sentiment. While a thematic stop loss is also applied top-down and calibrates the probability of common factor unwinds and helps to immunise the portfolio to extended theme drawdowns. 

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 0.7 0.7 0.6 0.3 0.0 0.5 0.2 0.8 0.9 1.0 1.0 0.8 1.0
2021 0.4 0.3 0.9 0.6 0.6 0.0 0.7 0.8 0.2 0.2 0.6 0.6 0.5

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