A Tale of Risk and Reward

21 March 2019

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In this paper, we aim to shed some light on some powerful and interesting features of the Aspect Systematic Global Macro Programme. We examine its behaviour during periods of differing risk appetite. We find that the strategy copes well in most market environments but, importantly, is able to deliver strong performance during periods of higher risk aversion and particularly subsequent to risk shocks. We discuss how it is able to achieve this and demonstrate its more dynamic reactions during high risk aversion states.

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