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Aspect Launches Alternative Markets Fund

Extra diversification from trend-following in new markets

PROFILE

The imperative to diversify is viewed with increasing urgency by investors, including Aspect Capital CEO Anthony Todd. He does not expect that the past decade of historically very high returns from equities and bonds is likely to be repeated in the coming years.

Higher correlations between and within markets and asset classes, post-crisis, have also forced investors and managers to widen and deepen their search for new sources of diversification. Applying trendfollowing models to new markets is one research avenue that has yielded rewards for a number of systematic managers. Trend-following in alternative markets exhibits the hallmark CTA quality of low and asymmetric correlations to traditional long only assets – meaning that traditional ‘crisis alpha’ remains intact. It also provides another layer of diversification because momentum strategies in alternative markets have only a moderate correlation – of around 0.6 – to those in traditional liquid futures markets.

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