Aspect Capital : Aspect Diversified Fund - Class A (USD)

Year-to-Date
12.63%
Apr Performance
4.69%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.80%
Sharpe (RFR=1%)
0.44
CAROR
6.98%
Assets
$ 398.0M
Worst DD
-23.22
S&P Correlation
-0.13

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/1998
Aspect Diversified Fund - Class A (USD) 4.69 13.58 12.63 -6.89 -3.66 36.26 26.31 296.87
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 128.22
+/- S&P 500 0.76 4.64 -4.88 -18.14 -44.86 -18.52 -207.74 168.66

Strategy Description

Summary

The Aspect Diversified Programme (Aspect Diversified or the Programme) is the primary investment programme managed by Aspect. The Programme applies a systematic momentum-based investment strategy, which is applied to many of the most liquid global financial and commodity futures,... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

The Aspect Diversified Programme (Aspect Diversified or the Programme) is the primary investment programme managed by Aspect. The Programme applies a systematic momentum-based investment strategy, which is applied to many of the most liquid global financial and commodity futures, currency forwards and other derivative contracts. The Programme operates in over 220 contracts in over 170 markets across seven different asset classes. It is Aspect’s primary investment programme, with fund assets of USD1.2billion and a further USD2.9billion of assets in a series of segregated (or managed) accounts. The Aspect Diversified Fund (the Fund) has a continuous track record since launch on 15th December 1998. The Fund is incorporated in the Cayman Islands as an open-ended investment company and is a regulated mutual fund under the Mutual Funds Law of the Cayman Islands. Aspect maintains a significant number of separately managed accounts, which allow investors to access the Programme using bespoke portfolios, to use notional funding, to have daily liquidity and to specify volatility targets. Investors may also access Aspect Diversified through total return swaps, which offer investors many of the advantages of a managed account with reduced legal and back office requirements.

Investment Strategy

Aspect Diversified seeks to generate sustainable, high-quality returns, which are uncorrelated with returns from major asset classes. The Programme applies a proprietary and systematic alpha-generating system, which deploys multiple strategies that seek to identify and exploit directional moves in a broad range of highly liquid global financial and commodity futures, currency forwards and other derivative contracts.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-23.22 35 - 2/1/2016 1/1/2019
-22.19 25 8 2/1/2012 3/1/2014
-21.52 11 14 2/1/2004 1/1/2005
-21.46 4 6 10/1/2001 2/1/2002
-17.14 5 15 2/1/2009 7/1/2009
-14.13 3 5 3/1/2015 6/1/2015
-13.38 2 3 6/1/2008 8/1/2008
-11.84 2 5 6/1/2007 8/1/2007
-11.51 10 2 12/1/1998 10/1/1999
-11.05 2 1 9/1/2002 11/1/2002
-9.41 4 4 4/1/2006 8/1/2006
-8.81 2 4 3/1/2001 5/1/2001
-8.71 2 2 2/1/2008 4/1/2008
-8.46 2 1 2/1/2003 4/1/2003
-8.23 2 2 4/1/2011 6/1/2011
-7.66 2 2 1/1/2007 3/1/2007
-4.98 2 3 5/1/2000 7/1/2000
-4.78 1 1 10/1/2010 11/1/2010
-4.52 1 3 9/1/2011 10/1/2011
-3.52 3 1 1/1/2000 4/1/2000
-3.10 1 3 5/1/2003 6/1/2003
-1.54 1 1 11/1/2015 12/1/2015
-1.33 1 1 2/1/2011 3/1/2011
-1.29 1 1 12/1/2010 1/1/2011
-0.92 1 1 10/1/2003 11/1/2003
-0.44 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
39.99 6 10/1/2000 3/1/2001
38.35 6 8/1/2014 1/1/2015
34.78 5 5/1/2002 9/1/2002
28.00 3 12/1/2002 2/1/2003
26.11 6 9/1/2008 2/1/2009
23.76 5 6/1/2001 10/1/2001
19.71 4 10/1/2017 1/1/2018
16.82 3 12/1/2007 2/1/2008
15.62 3 11/1/1999 1/1/2000
15.26 3 4/1/2007 6/1/2007
14.35 5 9/1/2006 1/1/2007
13.98 3 7/1/2015 9/1/2015
13.58 3 2/1/2019 4/1/2019
13.30 3 12/1/2003 2/1/2004
13.24 2 9/1/2007 10/1/2007
13.02 3 8/1/2010 10/1/2010
12.68 2 5/1/2008 6/1/2008
10.68 2 3/1/2006 4/1/2006
10.49 1 5/1/2003 5/1/2003
10.33 3 7/1/2011 9/1/2011
10.28 4 8/1/2004 11/1/2004
9.29 2 5/1/2005 6/1/2005
8.75 3 2/1/2010 4/1/2010
8.08 1 11/1/2009 11/1/2009
7.44 4 11/1/2011 2/1/2012
7.37 2 8/1/2009 9/1/2009
7.26 1 4/1/1999 4/1/1999
6.25 1 11/1/2015 11/1/2015
6.17 1 12/1/2010 12/1/2010
5.90 3 4/1/2014 6/1/2014
5.80 1 11/1/2005 11/1/2005
5.59 2 2/1/2005 3/1/2005
5.39 2 3/1/2018 4/1/2018
5.31 2 3/1/2013 4/1/2013
5.26 2 6/1/2016 7/1/2016
5.17 2 1/1/2016 2/1/2016
4.84 2 8/1/2005 9/1/2005
4.81 1 3/1/2002 3/1/2002
4.45 2 9/1/2003 10/1/2003
4.33 2 12/1/2012 1/1/2013
4.33 1 4/1/2011 4/1/2011
3.97 2 10/1/2013 11/1/2013
3.90 2 7/1/2017 8/1/2017
3.72 1 5/1/2000 5/1/2000
3.70 1 3/1/2015 3/1/2015
3.43 1 8/1/2000 8/1/2000
3.43 1 7/1/2012 7/1/2012
3.12 1 8/1/2018 8/1/2018
2.86 1 2/1/1999 2/1/1999
2.49 1 2/1/2011 2/1/2011
2.47 1 1/1/2006 1/1/2006
2.17 1 7/1/2003 7/1/2003
2.02 1 6/1/2018 6/1/2018
1.80 2 4/1/2012 5/1/2012
1.67 2 1/1/2017 2/1/2017
1.65 1 2/1/2014 2/1/2014
0.68 1 6/1/2010 6/1/2010
0.51 1 9/1/2016 9/1/2016
0.49 1 6/1/2006 6/1/2006
0.40 1 12/1/1998 12/1/1998
0.34 1 6/1/2013 6/1/2013
0.13 1 5/1/2017 5/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-21.46 4 11/1/2001 2/1/2002
-20.70 5 3/1/2004 7/1/2004
-17.14 5 3/1/2009 7/1/2009
-14.13 3 4/1/2015 6/1/2015
-13.43 5 9/1/2018 1/1/2019
-13.38 2 7/1/2008 8/1/2008
-11.84 2 7/1/2007 8/1/2007
-11.66 4 8/1/2012 11/1/2012
-11.39 6 5/1/1999 10/1/1999
-11.08 3 3/1/2016 5/1/2016
-11.05 2 10/1/2002 11/1/2002
-10.26 2 12/1/2004 1/1/2005
-9.86 1 2/1/2018 2/1/2018
-9.29 1 5/1/2018 5/1/2018
-8.81 2 4/1/2001 5/1/2001
-8.71 2 3/1/2008 4/1/2008
-8.46 2 3/1/2003 4/1/2003
-8.23 2 5/1/2011 6/1/2011
-7.66 2 2/1/2007 3/1/2007
-7.27 3 7/1/2013 9/1/2013
-7.00 2 12/1/2009 1/1/2010
-6.44 1 5/1/2013 5/1/2013
-5.65 2 12/1/2013 1/1/2014
-5.50 3 10/1/2016 12/1/2016
-5.31 1 6/1/2012 6/1/2012
-5.12 2 7/1/2006 8/1/2006
-4.98 2 6/1/2000 7/1/2000
-4.98 1 5/1/2006 5/1/2006
-4.88 1 1/1/1999 1/1/1999
-4.84 1 3/1/1999 3/1/1999
-4.78 1 11/1/2010 11/1/2010
-4.53 1 10/1/2009 10/1/2009
-4.52 1 10/1/2011 10/1/2011
-4.44 1 9/1/2017 9/1/2017
-4.21 1 11/1/2007 11/1/2007
-3.52 3 2/1/2000 4/1/2000
-3.34 1 5/1/2010 5/1/2010
-3.25 1 2/1/2013 2/1/2013
-3.10 1 6/1/2003 6/1/2003
-3.07 2 3/1/2017 4/1/2017
-2.94 1 4/1/2005 4/1/2005
-2.85 1 8/1/2016 8/1/2016
-2.73 1 4/1/2002 4/1/2002
-2.67 1 6/1/2017 6/1/2017
-2.62 1 3/1/2012 3/1/2012
-2.42 1 10/1/2015 10/1/2015
-2.01 1 7/1/2010 7/1/2010
-1.68 1 3/1/2014 3/1/2014
-1.54 1 12/1/2015 12/1/2015
-1.43 1 10/1/2005 10/1/2005
-1.33 1 3/1/2011 3/1/2011
-1.31 1 2/1/2006 2/1/2006
-1.29 1 1/1/2011 1/1/2011
-0.92 1 11/1/2003 11/1/2003
-0.87 1 7/1/2005 7/1/2005
-0.77 1 7/1/2018 7/1/2018
-0.57 1 8/1/2003 8/1/2003
-0.44 1 2/1/2015 2/1/2015
-0.28 1 12/1/2005 12/1/2005
-0.16 1 9/1/2000 9/1/2000
-0.07 1 7/1/2014 7/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods245.00243.00240.00234.00228.00222.00210.00198.00186.00
Percent Profitable55.9258.8557.5068.8071.9375.2386.6790.4095.70
Average Period Return0.671.983.908.2813.0517.9227.1037.8046.44
Average Gain3.897.0710.9715.6521.1026.4332.8442.3348.89
Average Loss-3.42-5.29-5.66-7.99-7.58-7.90-10.28-4.84-8.13
Best Period13.9028.0039.9956.4460.7982.64100.74129.19132.70
Worst Period-9.86-16.78-20.06-22.13-19.81-20.86-21.48-16.69-14.18
Standard Deviation4.567.9910.8915.0318.3721.1625.2530.0831.02
Gain Standard Deviation2.945.998.4712.0015.0817.0821.9427.9929.40
Loss Standard Deviation2.503.734.744.645.115.756.135.184.68
Sharpe Ratio (1%)0.130.220.310.480.630.750.951.121.33
Average Gain / Average Loss1.141.341.941.962.783.343.208.746.02
Profit / Loss Ratio1.441.912.624.327.1310.1620.7882.37133.89
Downside Deviation (10%)3.034.816.147.768.739.7710.309.6110.26
Downside Deviation (5%)2.854.285.065.645.525.695.333.202.90
Downside Deviation (0%)2.814.154.815.154.834.854.352.161.91
Sortino Ratio (10%)0.090.160.230.420.620.791.101.691.83
Sortino Ratio (5%)0.200.410.671.292.092.804.5110.5314.27
Sortino Ratio (0%)0.240.480.811.612.703.706.2317.4624.27

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 4 3.13 4/2018
Systematic Trader Index Month 9 3.13 4/2018
IASG CTA Index Month 10 3.13 4/2018
Diversified Trader Index Month 4 3.13 4/2018
IASG CTA Index Month 10 3.13 4/2018
Systematic Trader Index Month 8 3.13 4/2018

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.