02/04/2016
Non-trend strategies launched separately
Trend-following CTAs have seen a resurgence in performance since 2014, and are, as of February 2016, producing strongly positive performance against a challenging backdrop for many hedge fund strategies. Some CTAs blame QE for their lacklustre performance between 2009 and 2013, but Aspect Capital argues that this phase was not an aberration. “QE has generated some strong trends including the US stock-market, the Nikkei, the Yen and the Eurozone crisis,” points out co-founder and CEO Anthony Todd.
The CTA community sponsors academic research and Aspect is no exception, having commissioned Mark Hutchinson and John O’Brien of Cork University to research a study called Is this time different: Trend following and financial crises. The research simulated trend following performance over 100 years and concluded that it is perfectly normal for the strategy to generate poor returns for around four years after a financial crisis. Reflects Aspect co-founder and Research Director Martin Lueck: “The early 1990s period in the US was analogous to QE in that there was substantial intervention to clean up the savings and loans crisis. Trend followers had a dull period but then it came roaring back.”
Aspect has been outperforming stocks, bonds and the CISDM index of managed futures, both recently and over much longer lookbacks, as shown below. The flagship programme marked a fresh high watermark with its 32% performance in 2014, and then advanced another 7.9% in 2015.