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Aspect Capital

Six new systematic products


Aspect Capital celebrates its 20th anniversary this year. The firm’s CEO Anthony

Todd reckons that investors have had it too easy for the past 20 years, when a straightforward 60% equities, 40% bonds, portfolio – and indeed a risk parity approach that might have applied substantial leverage to the bond sleeve – generated remarkable returns. “Now, with compressed yields and potentially stretched equity valuations, there is deep concern about where to find steady returns of 4-6% above cash over the next cycle. That’s where quantitative multi-strategy approaches play a role,” he argues.

Back (L-R): Dr Anoosh Lachin, Dr Constantin Filitti, Anthony Todd, Dr Panos Dafas Front (L-R): Asif Noor, Martin Lueck, Anna Hull

Aspect was founded in 1997, though its principals had been among the founding fathers of Europe’s CTA industry in the 1980s, and for many years the firm only did medium term trend-following, via its flagship Aspect Diversified programme, albeit with a growing number of “modulating factors” which now form a new product. “This strategy provides portfolio diversification, risk mitigation, and crisis risk offsets,” says Todd.

1. Trend Following Programmes: Aspect Core Diversified

In addition to its flagship Aspect Diversified programme, which is also available in an awardwinning UCITS format, Aspect has launched a lower cost strategy, Aspect Core Diversified, derived from the flagship. Aspect’s Research Director, Marty Lueck, stresses that both Aspect Diversified programmes remain predominantly trend-following, and there is no desire to morph them into multistrategy quant programmes. “We want to stick to the utility of medium term trend-following, while our new programmes, research and techniques offer a different utility function that investors can choose”. Investors are in the driving seat, ordering from an a la carte menu of strategies, and can treat many of them as building blocks for devising bespoke mandates. For now the new strategies will be offered in offshore funds and in managed accounts, but any of the new strategies could be put into a UCITS format if there is sufficient demand.

2. Multi Risk Premia: Aspect Absolute Return Programme (AARP)

Trend-following has a very strong long-term pedigree over decades and centuries but its annual return profile is less consistent and there can be multi-year stretches when the strategy struggles to keep pace with the risk-free rate. Aspect has therefore greatly augmented its suite of non-trend strategies and the teams that develop them. “The aim is to build a strong, robust, diversified, multi-strategy capability,” says Todd. Most of Aspect’s new programmes are the mirror image of its flagship in terms of the exposure to trend. For instance, “While Aspect Diversified has an 80% risk allocation to multi-frequency trend-following models and 20% in the modulating factors, such as term structure, seasonality, value and relative value, the new Aspect Absolute Return Programme has only 20% in momentum, with 80% in the other strategies for maximum diversification over a broad range of strategies,” says Lueck. The other new programmes have similarly low proportions of their risk budgets in trend strategies. Some key attributes of the strategy range appear in Table 1.

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