Six! Aspect Capital’s systematic global macro strategy fields strong performance in 2018

Systematic global macro strategies have become a more popular feature in recent years as quant managers leverage improved technology and modelling tools to generate uncorrelated returns. Anoosh Lachin and Asif Noor, co-portfolio managers of Aspect Capital’s Systematic Global Macro programme talk to Hedgeweek about the current market environment and why 2018 proved to be a smash to the boundaries for the programme.

A recent study by Barclays Capital found that systematic macro strategies attracted USD19 billion of net inflows between 2016 and 2018, while in comparison, discretionary macro strategies registered net outflows of USD30 billion. The findings are just one small snapshot into how investors have thought about global macro strategies but they reinforce the fact that quantitative funds, which run sophisticated models and trade on signals without requiring human input, have become more popular and easier to understand. 

In today’s marketplace, discretionary managers find themselves competing with armies of sophisticated algorithms seeking out the best ways to capture ephemeral alpha. Quant funds deploy a range of techniques including risk filters, natural language processing algorithms that scrape key words from data sets (both traditional and alternative) and innovative trading models to build systems that learn to think for themselves based on pre-defined parameters.