Shortlist: Best managed futures hedge fund

The Aspect Diversified Programme applies a fully systematic, momentum-based investment strategy. It offers exposure to a highly liquid and genuinely diversified portfolio of over 100 markets covering commodities, stocks, currencies and capital markets.

The fund continuously tries to improve its strategy and alpha-generating models through research and development. It emphasises forward-looking hypotheses about market behaviour.

The fund trades over 170 contracts in more than 140 markets across eight different sectors. Managers trade on over 20 exchanges in 16 countries on a 24-hour basis.

Over 90% of futures trading is executed electronically via direct market access.

The fund has significant risk allocation to commodities markets and has portfolio-level risk management systems incorporating market participant modelling that can rapidly reduce risk when necessary.

The currency trading strategy uses fundamental market data to modulate the momentum trading systems and combines inputs from all possible exchange rates within the traded universe in order to analyse each currency in absolute terms rather than as relative exchange rates.

The recently developed commodities trading strategy modulates the core trading strategy to exploit persistent market dynamics and relationships in the commodities sectors.

The proprietary alpha-generating models seek to identify quantitatively and capture systematically behaviour across multiple timeframes. Its proprietary trading systems are designed to translate trading signals into market positions.

Aspect’s investment philosophy has remained consistent since the company’s inception. It involves a scientific approach to investment. This is driven by Aspect’s belief that market prices are not random but that they display persistent, statistically measurable and predictable behaviour and idiosyncrasies. Through sophisticated quantitative research and a disciplined approach, these can be successfully identified and exploited for profit.

Aspect Diversified Fund is the company’s largest strategy with fund assets of $1.1 billion and a further $4 billion in a series of segregated accounts at the beginning of May 2011.

Net cumulative performance since inception was 254.56% with an annualised return of 10.73% at May 1, 2011.

Aspect maintains a significant number of managed accounts. These allow investors to access the programme using bespoke portfolios. The accounts offer daily liquidity and specific volatility targets.

Investors can also access Aspect Diversified through total return swaps. These offer investors many of the advantages of a managed account but with reduced legal and back office requirements.

Attention is also paid to efficient execution, low trading costs and low market visibility through the use of advanced position management and algorithmic execution tools.

Fund facts
Full name of fund: Aspect Diversified Fund
Name of portfolio manager: Anthony Todd
Name of investment/management company: Aspect Capital
Contact information: Marketing Team, 103 Wigmore Street, London W1U 1QS (+44 (0)20 7170 9700; marketingteam@aspectcapital.com; www.aspectcapital.com)
Fund launch: December 15, 1998
Assets under management: $1.1billion (fund); $4 billion (segregated account) (at May 1, 2011)
Net cumulative performance since inception: 254.56%
Annualised return: 10.73% (at May 1, 2011)
Annualised volatility: 16.83% (at May 1, 2011)
Sharpe ratio: 0.47
Strategy: managed futures
Share classes: US dollar, euro, Australian dollar, yen, sterling, Swiss franc
Administrator: Quintillion
Auditor: KPMG (Cayman Islands)
Custodian:  BNY Mellon
Legal counsel: Maples and Calder
Domicile: Cayman Islands
Management fee: 2%
Performance fee: 20%
Minimum investment: $500,000
Lock-in: none
Redemption/liquidity terms: weekly (fund); daily (managed accounts)