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

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Growth of 1,000 - VAMI

Monthly Performance

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

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.

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	245.00	243.00	240.00	234.00	228.00	222.00	210.00	198.00	186.00
Percent Profitable	55.92	58.85	57.50	68.80	71.93	75.23	86.67	90.40	95.70
Average Period Return	0.67	1.98	3.90	8.28	13.05	17.92	27.10	37.80	46.44
Average Gain	3.89	7.07	10.97	15.65	21.10	26.43	32.84	42.33	48.89
Average Loss	-3.42	-5.29	-5.66	-7.99	-7.58	-7.90	-10.28	-4.84	-8.13
Best Period	13.90	28.00	39.99	56.44	60.79	82.64	100.74	129.19	132.70
Worst Period	-9.86	-16.78	-20.06	-22.13	-19.81	-20.86	-21.48	-16.69	-14.18
Standard Deviation	4.56	7.99	10.89	15.03	18.37	21.16	25.25	30.08	31.02
Gain Standard Deviation	2.94	5.99	8.47	12.00	15.08	17.08	21.94	27.99	29.40
Loss Standard Deviation	2.50	3.73	4.74	4.64	5.11	5.75	6.13	5.18	4.68
Sharpe Ratio (1%)	0.13	0.22	0.31	0.48	0.63	0.75	0.95	1.12	1.33
Average Gain / Average Loss	1.14	1.34	1.94	1.96	2.78	3.34	3.20	8.74	6.02
Profit / Loss Ratio	1.44	1.91	2.62	4.32	7.13	10.16	20.78	82.37	133.89
Downside Deviation (10%)	3.03	4.81	6.14	7.76	8.73	9.77	10.30	9.61	10.26
Downside Deviation (5%)	2.85	4.28	5.06	5.64	5.52	5.69	5.33	3.20	2.90
Downside Deviation (0%)	2.81	4.15	4.81	5.15	4.83	4.85	4.35	2.16	1.91
Sortino Ratio (10%)	0.09	0.16	0.23	0.42	0.62	0.79	1.10	1.69	1.83
Sortino Ratio (5%)	0.20	0.41	0.67	1.29	2.09	2.80	4.51	10.53	14.27
Sortino Ratio (0%)	0.24	0.48	0.81	1.61	2.70	3.70	6.23	17.46	24.27

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.

^#4

Top Performer

DIVERSIFIED TRADER INDEX

APRIL
2018

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Aspect Diversified Fund - Class A (USD)	6.98%

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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