Aspect Capital Limited

Aspect Systematic Global Macro Programme *QEP*


Monthly Performance (%)

Date Range: 04/16 - 08/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 1.28 5.25 -3.30 -1.42 -0.86 3.35 -2.38 0.08   1.72 
2019 -1.27 -0.94 -0.19 -2.81 6.45 -3.70 0.85 2.52 -1.15 -2.81 -0.61 0.69  -3.32 
2018 1.93 0.39 4.55 0.63 -2.02 2.72 0.50 -2.01 1.50 4.67 -0.22 1.03  14.28 
2017 -4.00 0.71 -3.34 0.53 1.37 0.57 3.21 0.68 -1.89 2.92 3.09 0.21  3.82 
2016 -1.37 -1.07 1.93 -0.50 0.75 3.11 -3.83 -1.38  -2.50 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Strategy Description

The Aspect Systematic Global Macro Programme (‘the Programme’) utilises a systematic, duration neutral / relative value approach to global fixed income, stock indices, currency and volatility investing. The Programme’s objective is to generate absolute returns by managing a diversified, risk-controlled portfolio with low correlations to traditional and alternative asset classes. The investment philosophy centres on the belief that fundamental, sentiment and technical variables drive asset returns. Through rigorous research, one can identify quantifiable indicators that can systematically be used to capture profitable opportunities. The Programme aims to utilise independent, additive investment models that have ex-ante sensibility, strong theoretical foundations, predictability across multiple market environments and consistency across assets and through time. Currently, the Programme utilises approximately 27 independent models to trade liquid fixed income, currency, equity and volatility markets.

Performance Statistics

Date Range: 04/16 - 08/20
  Program S&P 500 Coquest 40 
Total Return 13.76% 85.77% -3.75% 
Annualized Return 3.02% 15.05% -0.86% 
Annualized Std. Deviation 8.33% 14.52% 7.35% 
Correlation -0.38 -0.01 
Sharpe Ratio (rf=2.5%) 0.06 0.86 -0.46 
Worst Month -4.00% -12.35% -6.10% 
Date of Worst Month 01/2017 03/2020 02/2018 
Worst Drawdown -11.37% -19.60% -11.29% 
Date of Worst Drawdown 10/16 - 3/17 12/19 - 3/20 7/16 - 1/19 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 04/16 - 08/20
Year or YTD Program S&P 500 Coquest 40 
2020 1.72 9.75 -1.80 
2019 -3.32 31.50 7.53 
2018 14.28 -4.38 -4.29 
2017 3.82 21.84 1.24 
2016 -2.50 10.06 -3.51 

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 04/16 - 08/20
Date: 8/31/2020
Perf: $987.25 Date: 7/31/2020
Perf: $998.54 Date: 6/30/2020
Perf: $979.82 Date: 5/31/2020
Perf: $992.53 Date: 4/30/2020
Perf: $1,004.28 Date: 3/31/2020
Perf: $1,000.97 Date: 2/29/2020
Perf: $1,000.37 Date: 1/31/2020
Perf: $1,015.51 Date: 12/31/2019
Perf: $1,005.35 Date: 11/30/2019
Perf: $1,011.62 Date: 10/31/2019
Perf: $1,001.81 Date: 9/30/2019
Perf: $1,024.45 Date: 8/31/2019
Perf: $1,053.63 Date: 7/31/2019
Perf: $1,016.82 Date: 6/30/2019
Perf: $983.29 Date: 5/31/2019
Perf: $964.01 Date: 4/30/2019
Perf: $983.28 Date: 3/31/2019
Perf: $956.97 Date: 2/28/2019
Perf: $923.80 Date: 1/31/2019
Perf: $917.93 Date: 12/31/2018
Perf: $934.94 Date: 11/30/2018
Perf: $931.03 Date: 10/31/2018
Perf: $942.34 Date: 9/30/2018
Perf: $966.21 Date: 8/31/2018
Perf: $970.58 Date: 7/31/2018
Perf: $946.44 Date: 6/30/2018
Perf: $953.59 Date: 5/31/2018
Perf: $945.65 Date: 4/30/2018
Perf: $958.01 Date: 3/31/2018
Perf: $947.77 Date: 2/28/2018
Perf: $948.63 Date: 1/31/2018
Perf: $1,010.25 Date: 12/31/2017
Perf: $976.84 Date: 11/30/2017
Perf: $966.31 Date: 10/31/2017
Perf: $965.06 Date: 9/30/2017
Perf: $926.25 Date: 8/31/2017
Perf: $946.21 Date: 7/31/2017
Perf: $930.76 Date: 6/30/2017
Perf: $927.14 Date: 5/31/2017
Perf: $955.03 Date: 4/30/2017
Perf: $953.22 Date: 3/31/2017
Perf: $958.97 Date: 2/28/2017
Perf: $973.18 Date: 1/31/2017
Perf: $952.42 Date: 12/31/2016
Perf: $964.87 Date: 11/30/2016
Perf: $957.59 Date: 10/31/2016
Perf: $968.24 Date: 9/30/2016
Perf: $993.88 Date: 8/31/2016
Perf: $1,006.87 Date: 7/31/2016
Perf: $1,034.70 Date: 6/30/2016
Perf: $1,024.26 Date: 5/31/2016
Perf: $982.50 Date: 4/30/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,850.52 Date: 7/31/2020
Perf: $1,726.40 Date: 6/30/2020
Perf: $1,634.23 Date: 5/31/2020
Perf: $1,602.34 Date: 4/30/2020
Perf: $1,529.53 Date: 3/31/2020
Perf: $1,355.73 Date: 2/29/2020
Perf: $1,546.75 Date: 1/31/2020
Perf: $1,685.47 Date: 12/31/2019
Perf: $1,686.14 Date: 11/30/2019
Perf: $1,636.71 Date: 10/31/2019
Perf: $1,579.38 Date: 9/30/2019
Perf: $1,545.84 Date: 8/31/2019
Perf: $1,517.46 Date: 7/31/2019
Perf: $1,541.82 Date: 6/30/2019
Perf: $1,519.93 Date: 5/31/2019
Perf: $1,419.84 Date: 4/30/2019
Perf: $1,516.11 Date: 3/31/2019
Perf: $1,457.10 Date: 2/28/2019
Perf: $1,429.37 Date: 1/31/2019
Perf: $1,384.91 Date: 12/31/2018
Perf: $1,282.21 Date: 11/30/2018
Perf: $1,409.48 Date: 10/31/2018
Perf: $1,381.30 Date: 9/30/2018
Perf: $1,482.72 Date: 8/31/2018
Perf: $1,474.32 Date: 7/31/2018
Perf: $1,427.77 Date: 6/30/2018
Perf: $1,376.56 Date: 5/31/2018
Perf: $1,368.08 Date: 4/30/2018
Perf: $1,335.89 Date: 3/31/2018
Perf: $1,330.83 Date: 2/28/2018
Perf: $1,365.51 Date: 1/31/2018
Perf: $1,417.83 Date: 12/31/2017
Perf: $1,340.99 Date: 11/30/2017
Perf: $1,326.27 Date: 10/31/2017
Perf: $1,286.77 Date: 9/30/2017
Perf: $1,257.47 Date: 8/31/2017
Perf: $1,232.09 Date: 7/31/2017
Perf: $1,228.28 Date: 6/30/2017
Perf: $1,203.49 Date: 5/31/2017
Perf: $1,196.07 Date: 4/30/2017
Perf: $1,179.44 Date: 3/31/2017
Perf: $1,167.42 Date: 2/28/2017
Perf: $1,166.02 Date: 1/31/2017
Perf: $1,121.50 Date: 12/31/2016
Perf: $1,100.58 Date: 11/30/2016
Perf: $1,079.22 Date: 10/31/2016
Perf: $1,040.71 Date: 9/30/2016
Perf: $1,060.00 Date: 8/31/2016
Perf: $1,059.79 Date: 7/31/2016
Perf: $1,058.31 Date: 6/30/2016
Perf: $1,020.65 Date: 5/31/2016
Perf: $1,018.00 Date: 4/30/2016
Perf: $1,000.00 Date: 8/31/2020
Perf: $1,137.58 Date: 7/31/2020
Perf: $1,136.67 Date: 6/30/2020
Perf: $1,164.38 Date: 5/31/2020
Perf: $1,126.64 Date: 4/30/2020
Perf: $1,136.41 Date: 3/31/2020
Perf: $1,152.78 Date: 2/29/2020
Perf: $1,192.12 Date: 1/31/2020
Perf: $1,132.66 Date: 12/31/2019
Perf: $1,118.34 Date: 11/30/2019
Perf: $1,110.68 Date: 10/31/2019
Perf: $1,117.50 Date: 9/30/2019
Perf: $1,149.81 Date: 8/31/2019
Perf: $1,163.18 Date: 7/31/2019
Perf: $1,134.59 Date: 6/30/2019
Perf: $1,125.03 Date: 5/31/2019
Perf: $1,168.25 Date: 4/30/2019
Perf: $1,097.47 Date: 3/31/2019
Perf: $1,129.20 Date: 2/28/2019
Perf: $1,131.35 Date: 1/31/2019
Perf: $1,142.08 Date: 12/31/2018
Perf: $1,156.77 Date: 11/30/2018
Perf: $1,144.98 Date: 10/31/2018
Perf: $1,147.51 Date: 9/30/2018
Perf: $1,096.31 Date: 8/31/2018
Perf: $1,080.11 Date: 7/31/2018
Perf: $1,102.26 Date: 6/30/2018
Perf: $1,096.78 Date: 5/31/2018
Perf: $1,067.74 Date: 4/30/2018
Perf: $1,089.75 Date: 3/31/2018
Perf: $1,082.93 Date: 2/28/2018
Perf: $1,035.80 Date: 1/31/2018
Perf: $1,031.77 Date: 12/31/2017
Perf: $1,012.24 Date: 11/30/2017
Perf: $1,010.12 Date: 10/31/2017
Perf: $979.84 Date: 9/30/2017
Perf: $952.04 Date: 8/31/2017
Perf: $970.38 Date: 7/31/2017
Perf: $963.83 Date: 6/30/2017
Perf: $933.85 Date: 5/31/2017
Perf: $928.56 Date: 4/30/2017
Perf: $916.01 Date: 3/31/2017
Perf: $911.18 Date: 2/28/2017
Perf: $942.66 Date: 1/31/2017
Perf: $936.02 Date: 12/31/2016
Perf: $975.02 Date: 11/30/2016
Perf: $988.66 Date: 10/31/2016
Perf: $1,028.04 Date: 9/30/2016
Perf: $997.03 Date: 8/31/2016
Perf: $989.61 Date: 7/31/2016
Perf: $994.58 Date: 6/30/2016
Perf: $975.75 Date: 5/31/2016
Perf: $986.30 Date: 4/30/2016
Perf: $1,000.00

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Monthly Returns

Date Range: 04/16 - 08/20
Date: 8/31/2020
Return: 0.08 % Date: 7/31/2020
Return: -2.38 % Date: 6/30/2020
Return: 3.35 % Date: 5/31/2020
Return: -0.86 % Date: 4/30/2020
Return: -1.42 % Date: 3/31/2020
Return: -3.30 % Date: 2/29/2020
Return: 5.25 % Date: 1/31/2020
Return: 1.28 % Date: 12/31/2019
Return: 0.69 % Date: 11/30/2019
Return: -0.61 % Date: 10/31/2019
Return: -2.81 % Date: 9/30/2019
Return: -1.15 % Date: 8/31/2019
Return: 2.52 % Date: 7/31/2019
Return: 0.85 % Date: 6/30/2019
Return: -3.70 % Date: 5/31/2019
Return: 6.45 % Date: 4/30/2019
Return: -2.81 % Date: 3/31/2019
Return: -0.19 % Date: 2/28/2019
Return: -0.94 % Date: 1/31/2019
Return: -1.27 % Date: 12/31/2018
Return: 1.03 % Date: 11/30/2018
Return: -0.22 % Date: 10/31/2018
Return: 4.67 % Date: 9/30/2018
Return: 1.50 % Date: 8/31/2018
Return: -2.01 % Date: 7/31/2018
Return: 0.50 % Date: 6/30/2018
Return: 2.72 % Date: 5/31/2018
Return: -2.02 % Date: 4/30/2018
Return: 0.63 % Date: 3/31/2018
Return: 4.55 % Date: 2/28/2018
Return: 0.39 % Date: 1/31/2018
Return: 1.93 % Date: 12/31/2017
Return: 0.21 % Date: 11/30/2017
Return: 3.09 % Date: 10/31/2017
Return: 2.92 % Date: 9/30/2017
Return: -1.89 % Date: 8/31/2017
Return: 0.68 % Date: 7/31/2017
Return: 3.21 % Date: 6/30/2017
Return: 0.57 % Date: 5/31/2017
Return: 1.37 % Date: 4/30/2017
Return: 0.53 % Date: 3/31/2017
Return: -3.34 % Date: 2/28/2017
Return: 0.71 % Date: 1/31/2017
Return: -4.00 % Date: 12/31/2016
Return: -1.38 % Date: 11/30/2016
Return: -3.83 % Date: 10/31/2016
Return: 3.11 % Date: 9/30/2016
Return: 0.75 % Date: 8/31/2016
Return: -0.50 % Date: 7/31/2016
Return: 1.93 % Date: 6/30/2016
Return: -1.07 % Date: 5/31/2016
Return: -1.37 % Date: 4/30/2016
Return: 0.00 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 04/16 - 08/20
Return: 6.00 %
Count: 1 Return: 5.00 %
Count: 3 Return: -2.00 %
Count: 4 Return: -3.00 %
Count: 4 Return: -4.00 %
Count: 3 Return: 3.00 %
Count: 7 Return: 1.00 %
Count: 13 Return: 2.00 %
Count: 2 Return: -1.00 %
Count: 10 Return: 0.00 %
Count: 6

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Underwater Curve

Date Range: 04/16 - 08/20
Date: 8/31/2020
Drawdown: -4.58 % Date: 7/31/2020
Drawdown: -4.65 % Date: 6/30/2020
Drawdown: -2.33 % Date: 5/31/2020
Drawdown: -5.49 % Date: 4/30/2020
Drawdown: -4.67 % Date: 3/31/2020
Drawdown: -3.30 % Date: 2/29/2020
Drawdown: 0.00 % Date: 1/31/2020
Drawdown: -3.05 % Date: 12/31/2019
Drawdown: -4.27 % Date: 11/30/2019
Drawdown: -4.93 % Date: 10/31/2019
Drawdown: -4.34 % Date: 9/30/2019
Drawdown: -1.58 % Date: 8/31/2019
Drawdown: -0.43 % Date: 7/31/2019
Drawdown: -2.88 % Date: 6/30/2019
Drawdown: -3.70 % Date: 5/31/2019
Drawdown: 0.00 % Date: 4/30/2019
Drawdown: -5.13 % Date: 3/31/2019
Drawdown: -2.38 % Date: 2/28/2019
Drawdown: -2.20 % Date: 1/31/2019
Drawdown: -1.27 % Date: 12/31/2018
Drawdown: 0.00 % Date: 11/30/2018
Drawdown: -0.22 % Date: 10/31/2018
Drawdown: 0.00 % Date: 9/30/2018
Drawdown: -0.54 % Date: 8/31/2018
Drawdown: -2.01 % Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: 0.00 % Date: 5/31/2018
Drawdown: -2.02 % Date: 4/30/2018
Drawdown: 0.00 % Date: 3/31/2018
Drawdown: 0.00 % Date: 2/28/2018
Drawdown: 0.00 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: -1.54 % Date: 11/30/2017
Drawdown: -1.74 % Date: 10/31/2017
Drawdown: -4.69 % Date: 9/30/2017
Drawdown: -7.39 % Date: 8/31/2017
Drawdown: -5.61 % Date: 7/31/2017
Drawdown: -6.25 % Date: 6/30/2017
Drawdown: -9.16 % Date: 5/31/2017
Drawdown: -9.68 % Date: 4/30/2017
Drawdown: -10.90 % Date: 3/31/2017
Drawdown: -11.37 % Date: 2/28/2017
Drawdown: -8.30 % Date: 1/31/2017
Drawdown: -8.95 % Date: 12/31/2016
Drawdown: -5.16 % Date: 11/30/2016
Drawdown: -3.83 % Date: 10/31/2016
Drawdown: 0.00 % Date: 9/30/2016
Drawdown: -0.30 % Date: 8/31/2016
Drawdown: -1.04 % Date: 7/31/2016
Drawdown: -0.54 % Date: 6/30/2016
Drawdown: -2.43 % Date: 5/31/2016
Drawdown: -1.37 %

Note: Estimated returns are used for the most recent reported monthly ROR or appear in italics. All performance data is since program inception.

Manager Information

Manager Name:  Aspect Capital Limited
Address: 10 Portman Square
City: London
State:
Zip: W1H 6AZ
Country: United Kingdom

Key People

Key People

Employee information is not available.

Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Other Futures Yes 
 Investment Methodology
 Fundamental Analysis Yes 
 Macro-economic Yes 
 Systematic Yes 
 Sector Specialist Yes 
 Mean-reversion Yes 
 Market Neutral Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum:  
 Margin / Equity Ratio: 30% 
 Managed Account Availability: Open 
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