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Digital Subscriptions > The Hedge Fund Journal > Issue 134 – Aug 2018 > Augmenting Alternative Data

Augmenting Alternative Data

Aspect Systematic Global Macro UCITS and dynamic currency hedging

HAMLIN LOVELL

PROFILE

The Hedge Fund Journal first highlighted Aspect Systematic Global Macro (ASGM) in our 2017 feature celebrating the 20th anniversary of Aspect Capital, which runs $7.6 billion and belongs to The Hedge Fund Journal’s Europe 50 ranking. Now it is opportune to revisit the evolving strategy and take stock of new developments. ASGM has grown assets to $150 million, including a recently launched UCITS. ASGM is performing well, up 8.4% (net of fees) in the first half of 2018, and is demonstrating its differentiated return profile.

(L-R): Asif Noor, Portfolio Manager; Anoosh Lachin, Portfolio Manager.

ASGM was always intended to be very lowly correlated to traditional trend-following CTAs. Over 90% of ASGM signals are based on non-price or macro fundamental data, whereas traditional trend followers use price or technical data – and trade commodities, which ASGM does not. ASGM is also un-correlated to other systematic macro managers that use fundamental data, judging by the SG Macro Trading Index (Quantitative). ASGM has as well shown no meaningful correlation to discretionary macro managers and does not have the hard-wired long currency carry trade bias that has caused losses for some strategies in 2018.

ASGM also aims to avoid correlation to conventional asset classes, such as bonds and equities, and the strategy, including the managers’ previous track record at Auriel dating back to 2004, has delivered minimal equity and bond correlations, says co-portfolio manager, Anoosh Lachin. ASGM has had a 0.3 correlation to bonds since Aspect hired the Auriel team and re-launched it in May 2016, partly because its relative value trades have tended to have long exposure to the US and European bonds that dominate bond indices.

Over the past year, five inter-related ASGM developments have been: broadening the investment universe; adding and deleting models; accelerating trading speeds; proving the value of factor timing in risk-off regimes; and increasing use of alternative data. The latter is emphasised not only because it is fashionable, but also as Aspect’s approach is rather distinctive.

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