How data is driving quant hedge fund Aspect Capital’s global macro gains

Financial data

With the shape of the post-pandemic recovery still in flux, London-based quantitative hedge fund firm Aspect Capital believes its computer-driven global macro strategy is well positioned to capitalise on both short-term market dislocations and medium-term trends this year, as well as benefitting from relative value opportunities amid the varying recovery speeds.

Despite the tumultuous events of 2020, the Aspect Systematic Global Macro Strategy generated positive returns during “multiple market environments” thanks to a diversified set of trading models.

Now, the long-running systematic manager says its relative value systematic macro fund can further capitalise on the differing responses and recovery speeds unfolding across the globe.

“While the fiscal and monetary responses to the pandemic crisis are still playing out, as we saw in 2020, conditions are ripe for significant moves across assets,” Aspect said.

The ASGM fund - which is run by co-portfolio managers Asif Noor and Anoosh Lachin, who earlier founded Auriel Capital Management in 2004 before joining Aspect in 2016 – is made up of 30 trading models across 14 investment themes, targeting shorter-horizon alpha opportunities in liquid financial futures and forwards markets. Specifically, it utilises a systematic relative value approach to global fixed income, stock indices, currency and volatility investing.

Gaining 6.35 per cent for the year, most of the fund’s first-half gains came from bonds amid investors’ rapid flight to safety and the subsequent stimulus packages influence on inflation expectations. The second-half returns meanwhile were dominated by trends in equity markets.

In a new deep-dive analysis of how its four main data types (alternative, options, survey, and traditional data) drove performance across different market conditions last year, Aspect noted how the strategy swiftly reacted to rapid changes in market narratives and influences at various points.

While alternative data – which reflects news sentiment, flows and certain economic activity – dominated Q1 last year, as news sentiment models locked onto the market schisms triggered by the pandemic, the “aggressive deleveraging” during March impacted traditional macro data, which consist of carry, curve and technical behaviour models.

Meanwhile, Q3 saw options data deliver gains, capturing the evolving equity market sentiment, and in Q4 traditional and alternative data models notched up the biggest returns, predominantly in slower time models.

Overall, Aspect noted that three of the four data types generated gains last year, with only survey data – which measures outlooks on broader economic activity and implied inflation – struggling, especially in Q2 as economic fundamentals faltered while markets soared amid the spring lockdown.

“The complementary nature of the different data types utilised within ASGM provides access to a diversified set of return drivers with the ability to generate returns in multiple market environments,” the firm said.

“With differing responses and recovery speeds across the globe, ASGM’s approach looks well placed both to provide rapid response to short-term dislocations, complementing medium-term trend capture, and to benefit from relative value opportunities.”

Established in 1997 by Anthony Todd and Martin Lueck, who earlier ran CTA pioneer AHL (now part of Man Group), Aspect today manages more than USD8 billion across a range of systematic hedge fund strategies, spanning managed futures, multi-strategy, alternative risk premia, and currencies.