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Aspect Capital Limited

Aspect Core Diversified Program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-0.84%1.26%-0.94%-1.26%-0.64%       -2.41%
20162.67%1.35%-4.08%-3.07%-0.41%3.37%0.79%-1.48%-0.20%-2.70%-0.62%0.30%-4.27%
20153.12%-0.64%2.30%-4.05%0.19%-2.34%2.98%-1.21%1.13%-1.31%1.80%-0.76%0.92%
2014          3.03%2.78%5.90%

Performance statistics — Nov 2014 to May 2017

Cumulative total return -0.15%
Annualized compound return -0.06%
Annualized standard deviation 7.31%
Monthly correlation to S&P 500 TRI -0.21
Annualized sharpe ratio (0%) -0.01
Monthly maximum loss (Mar 2016) -4.08%
Maximum drawdown (Mar 2016 - May 2017) -8.28%

Annual performance (%) — Nov 2014 to May 2017

Year or YTD Aspect Capital Limited S&P 500 TRIBTOP50 Index
2017-2.418.66-2.46
2016-4.2711.96-4.44
20150.921.38-0.92
20145.90--

Performance comparison: Growth of $10,000 invested since inception — Nov 2014 to May 2017

Monthly returns — Nov 2014 to May 2017

Distribution of monthly returns — Nov 2014 to May 2017

Underwater curve — Nov 2014 to May 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Aspect Capital Limited (Aspect) is a London-based investment manager which currently manages USD 6.1billion in a range of systematic investment programmes. It applies a systematic and quantitative approach to investment management, with the aim of generating high-quality and diversifying alpha for its clients' portfolios. Aspect was established in 1997 by Anthony Todd, Martin Lueck, Michael Adam and Eugene Lambert and is currently managed by a senior team which has extensive experience in the development and implementation of systematic investment strategies. Two of Aspect’s founders, Michael Adam and Martin Lueck, were involved in the successful development of Adam, Harding & Lueck (AHL, now a part of Man Group plc), one of the pioneers in the application of quantitative techniques to investment management. Aspect employs a team of over 130 professionals and invests heavily in the on-going research-driven evolution of its quantitative alpha-generating systems and their efficient implementation across a wide range of liquid asset classes. The company emphasises strong corporate governance and the provision of first class investor service to a client base which includes many of the world's leading institutional investors.

Investment goal

The Aspect Core Diversified Programme applies a systematic momentum-based investment approach, which seeks to identify and exploit directional moves in approximately 70 of the most liquid global financial and commodity futures. The Programme aims to deliver pure momentum-based returns with a target annualized volatility level of approximately 10%. By exploiting the momentum and price trends which are a persistent but unpredictable feature of markets, the Programme seeks to generate returns which are uncorrelated to major asset classes.

Markets traded

Aspect Core Diversified operates in over 110 contracts in over 85 of the most liquid global financial and commodity futures and currency forwards.

Strategy

Aspect Core Diversified uses pure trend following strategies which are applied to many of the most liquid global financial and commodity futures and currency forwards.

Key personnel

Anthony Todd, Chief Executive Officer — Mr. Todd co-founded Aspect in September 1997 and is the Chief Executive Officer of Aspect. Mr. Todd’s responsibilities include taking Board level responsibility for both the oversight of market, model and operational risks and business development. Mr. Todd chairs Aspect’s Risk Management Committee and is a member of Aspect’s Investment Management Committee. Before establishing Aspect, Mr. Todd worked for five years (from March 1992 to October 1997) at Adam, Harding and Lueck Limited (AHL) initially as Director of Financial Engineering and Product Development, before moving to Switzerland as Director of Marketing and Institutional Sales. Prior to this role, Mr. Todd was a strategy consultant at Mars & Co., a Paris based consultancy, from September 1990 to March 1992. From July 1989 to July 1990, Mr. Todd studied at INSEAD in France, and from September 1982 to June 1989 he was with UBS, an international investment bank, in London as Assistant Director in the International Government Bond Group. Mr. Todd holds a B.A. in Physics from Oxford University and an M.B.A. from INSEAD in France.

 

Martin Lueck, Co-Founder and Research Director —Mr. Lueck co-founded Aspect in September 1997. As Research Director, Mr. Lueck oversees the Research team responsible for generating and analysing fundamental research hypotheses for development of all Aspect’s investment programmes. Mr Lueck chairs Aspect’s Investment Management Committee and is a member of Aspect’s Risk Management Committee. Prior to founding Aspect, Mr. Lueck was with Adam, Harding and Lueck Limited (AHL), which he co-founded in February 1987 with Michael Adam and David Harding. Man Group plc (a leading global provider of alternative investment products and solutions) completed the purchase of AHL in 1994 and Mr. Lueck left in 1996. At AHL, Mr. Lueck was instrumental in developing AHL’s trading systems and approach to research as well as the proprietary software language that provided the platform for all of AHL’s product engineering and implementation. From May 1996 through August 1997, Mr. Lueck was on gardening leave from AHL during which time he helped establish his wife’s publishing business Barefoot Books. Mr. Lueck was a Director of Research at Brockham Securities Limited, a London based commodity trading advisor, from October 1984 to February 1987 and an executive in the Japanese Equity Sales department of Nomura International, a provider of financial services for individual, institutional, corporate, and government clients, from January to October 1984. Mr. Lueck serves on the Board of the National Futures Association. He holds an M.A. in Physics from Oxford University and currently serves as Chair of the Oxford Physics Development Board.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656