Aspect Capital (Aspect), today launched the Aspect Alternative Markets Programme, a managed futures trend following strategy which invests in a range of non-traditional, and harder to access markets. From credit indices and emerging market currency forwards to European electricity futures, this new Cayman-domiciled vehicle provides investors with a new diversified and diversifying source of returns which is expected to be uncorrelated to traditional asset classes, and also have a reduced correlation to traditional systematic trend following strategies operating in major liquid futures markets.
The Aspect Alternative Markets Programme, which began trading proprietary capital late last week, identifies and sources opportunities from directional price trends across more than 160 markets. It includes allocations to interest rate swaps and Treasury Inflation-Protected Securities (TIPS), credit indices, emerging market currencies, commodities including iron ore and electricity, and equity sector indices. It accesses these markets through swaps, ETFs, forward contracts and futures. At inception, the capacity of the new vehicle is limited to $1 billion.
It aims to deliver momentum-based returns using Aspect’s existing trend following technology and rigorous risk management framework, targeting an annualised volatility of 12-15%. This vehicle’s headline charges are 1.5% management fee and 20% performance fee.
Anthony Todd, CEO of Aspect, said: “Investors are increasingly concerned about the current levels of bond and equity markets and whether they can continue to deliver recent performance levels over the long term. At Aspect, we do not anticipate returns from traditional asset classes to match historical averages over the next 10 years. This is why we continue to design new investment offerings that support investors in their search for more stable returns, by providing them with a new uncorrelated source of returns and proven diversification benefits. Today’s launch allows us to offer investors access to Aspect’s high quality, scientifically tested systematic models via an investment universe which has been difficult to access historically.”
Note: The vehicle is available to professional investors on a private placement basis.