Aspect Capital : Aspect Diversified Fund - Class A (USD) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.00% Feb Performance 2.24% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 15.50% Sharpe (RFR=1%) 0.42 CAROR 6.58% Assets $ 387.0M Worst DD -23.22 S&P Correlation -0.11 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since12/1998 Aspect Diversified Fund - Class A (USD) 2.24 8.76 1.00 -3.06 2.08 -9.27 19.90 312.89 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 193.41 216.80 +/- S&P 500 -3.70 0.11 -3.76 -36.25 -42.90 -110.84 -173.50 96.09 Strategy Description SummaryThe 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 SummaryThe 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 USD376 million and a further USD2.5billion 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 StrategyAspect 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 17.31 3 6/1/2019 8/1/2019 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 13.68 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 7.68 1 12/1/2020 12/1/2020 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 2.24 1 2/1/2021 2/1/2021 2.17 1 7/1/2003 7/1/2003 2.02 1 11/1/2019 11/1/2019 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 1.11 3 1/1/2020 3/1/2020 0.91 1 7/1/2020 7/1/2020 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 Show More 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 -7.78 4 8/1/2020 11/1/2020 -7.66 2 2/1/2007 3/1/2007 -7.27 3 7/1/2013 9/1/2013 -7.25 2 9/1/2019 10/1/2019 -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 -4.68 3 4/1/2020 6/1/2020 -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 -3.29 1 5/1/2019 5/1/2019 -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 -1.21 1 1/1/2021 1/1/2021 -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 -0.74 1 12/1/2019 12/1/2019 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods267.00265.00262.00256.00250.00244.00232.00220.00208.00 Percent Profitable55.0657.7457.2567.9771.2075.4184.4885.9192.31 Average Period Return0.631.923.797.9412.2916.8324.7934.0042.44 Average Gain3.847.0410.8315.3620.1824.7530.9940.3046.62 Average Loss-3.29-5.08-5.64-7.81-7.20-7.47-8.96-4.44-7.79 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 Deviation4.477.8410.7714.7417.8620.5725.1330.7632.03 Gain Standard Deviation2.935.898.4111.7214.8917.1622.1828.5729.70 Loss Standard Deviation2.443.654.634.634.995.706.124.204.09 Sharpe Ratio (1%)0.120.210.310.470.600.720.870.971.17 Average Gain / Average Loss1.161.391.921.972.803.313.469.085.98 Profit / Loss Ratio1.431.892.574.176.9310.1618.8355.3471.77 Downside Deviation (10%)2.974.736.117.778.649.5810.7411.5112.67 Downside Deviation (5%)2.794.195.025.635.385.485.293.593.77 Downside Deviation (0%)2.754.064.765.134.694.654.262.282.43 Sortino Ratio (10%)0.080.150.220.380.540.690.841.081.17 Sortino Ratio (5%)0.200.400.661.232.002.704.118.349.90 Sortino Ratio (0%)0.230.470.801.552.623.625.8214.9317.50 Top Performer Badges Index Award Type Rank Performance Period IASG CTA Index Month 10 4.30 7/2019 Diversified Trader Index Month 10 4.30 7/2019 Systematic Trader Index Month 10 4.69 4/2019 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 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel