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  • How data is driving quant hedge fund Aspect Capital’s global macro gains
    by hugh.leask on March 1, 2021 at 7:34 pm

    How data is driving quant hedge fund Aspect Capital’s global macro gains Submitted By Hugh Leask | 01/03/2021 - 7:34pm 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. Tags Results & performance Funds

  • EDI reports questions whether exchanges hold copyright in closing prices
    by mkitchen on March 1, 2021 at 2:03 pm

    EDI reports questions whether exchanges hold copyright in closing prices Submitted 01/03/2021 - 2:03pm Exchange Data International (EDI) has released a report that questions whether stock and derivative exchanges have copyright in closing prices, and whether they can license the redistribution of these closing prices. Read the full story at Institutional Asset Manager…   Author Profile Tags Markets Research & Analytics

  • Diginex's Bletchley Park fund generated a 35 per cent return in year to 31 Jan
    by mkitchen on March 1, 2021 at 10:31 am

    Diginex's Bletchley Park fund generated a 35 per cent return in year to 31 Jan Submitted 01/03/2021 - 10:31am Diginex Limited's flagship liquid alpha centric fund of crypto hedge funds, Bletchley Park Multi Strategy Fund (BPMSF), generated an estimated net 35 per cent return for the last twelve months, as of 31 January. BPMSF primarily invests in alpha strategies that generate returns with limited directional exposure to underlying crypto prices (eg, movements in the price of bitcoin). BPMSF has achieved this through investing in a range of carefully selected crypto hedge fund managers with the objective of being profitable in a range of market conditions, including periods of declining crypto currency prices.    Returns can potentially be generated from arbitrage, market making, short term trading opportunities, momentum, relative value strategies, and many other opportunities that are unique within crypto markets. This diverse composition of strategies has enabled the fund to generate positive returns in 10 out of the past 15 months, since inception in November 2019 and, notably, the fund has outperformed in each and every month when bitcoin has had a negative return.   The investment team has screened over 350 funds since research began on the fund in 2018, selecting the best and most investible managers within each style category. The Sharpe ratio of the fund is above two and the estimated 12 month net return of 35 per cent highlights the unique alpha available in this new asset class.   Thomas Chladek, Fund Manager of BPMSF, says: “I am delighted to have closed out the first full calendar year with strong investor returns. Our due diligence process is at the forefront of the industry and the expertise we’ve generated over three years of research allows us to identify strong managers for the future. We have analysed literally hundreds of potential managers so that we can find the absolute best in each class.”   Shane Edwards, Head of Investment Products, at Diginex, adds: “This is a truly unique fund proposition. Crypto markets offer opportunities that do not exist elsewhere. The market is still evolving, and smart traders have the opportunity to make real alpha. I believe 2021 is the year investors recognise this and understand the value it brings to a regular portfolio or even portfolios with significant allocations to conventional hedge funds.”   Richard Byworth, CEO of Diginex, says: “This is a great start for the fund’s track record, and a strong finish for 2020, which was a transformative year for Diginex. Across the board we are achieving a number of key milestones and are seeing an unprecedented level of interest as financial markets’ participants increasingly recognise the opportunity in digital assets.”   The fund is operated under the Bletchley Park brand, which is fully owned by Diginex, now under the management of Diginex SA, a member of the Association Romandedes Intermédiaires Financiers (ARIF), a Self-Regulatory Organization recognised by the FINMA in Switzerland. Author Profile Tags Results & performance Funds

  • IS Prime launches new multi-asset trading and risk system with Reactive Markets
    by mkitchen on March 1, 2021 at 9:24 am

    IS Prime launches new multi-asset trading and risk system with Reactive Markets Submitted 01/03/2021 - 9:24am IS Prime, part of ISAM Capital Markets, has launched a new trading GUI and risk system with Reactive Markets, particularly aimed at its growing client base of FX hedge funds and asset managers. This latest development from the FCA regulated Prime of Prime allows clients to combine their position management, charting, technical analysis, risk management and trading across FX, indices, cryptocurrencies and precious metals. Alongside this, clients are able to access trade analytics including slippage and latency statistics enabling them to trade more efficiently and effectively on IS Prime’s market leading liquidity.   The partnership with Reactive Markets combines features of IS Prime’s back office portal, Terminus, and gives clients a more streamlined trading experience. Clients can view and manage their risk in a single place, whether using IS Prime’s desktop or mobile app.   Jonathan Brewer, Managing Partner at IS Primem says: “This is a significant strategic development for IS Prime, enabling us to expand our ever growing number of FX hedge fund and asset manager clients in addition to providing an enhanced offering for our existing client base of banks, brokers and professional traders. It further cements our position as a global market leading Prime of Prime.”   Barry Flanigan, Head of Distribution and Liquidity, IS Prime, adds: “Reactive Markets offers cutting-edge, cloud-based technology which complements our own proprietary infrastructure. Our partnership with Reactive Markets enables us to provide a seamless user experience and expand into new asset classes. Simple to install, it also enables us to scale client distribution, including new trading via a REST API and analytical tools tailored to our client base. It is a great addition to our offering.”   Phil Morris, Co-Founder, Reactive Markets says: "Reactive Markets is delighted to be partnering with a market leader like IS Prime as we roll out Crossfire, our cloud-based high performance trader desktop. It's been a privilege to work with the IS Prime team whose input has been invaluable in helping us build our functionally rich multi-asset trading and analytics UI. We are very excited for what the future holds for this partnership and look forward to continuing to deliver innovative trading technology solutions for IS Prime."    Formed in 2019, Reactive Markets is an innovative trading technology company that specialises in ultra low latency price streaming for FX and Digital markets. Reactive Markets has built a cutting edge streaming network that helps banks, brokers and market makers scale with efficient liquidity distribution over API and UI. Trading desks can access all of their FX and cryptocurrency liquidity through a single API and a secure, globally accessible, cloud-hosted trader desktop.   IS Prime offers full service brokerage and execution via its cutting edge proprietary technology. As a Prime of Prime, IS Prime provides aggregated pricing sourced from Tier one institutions, settled through the group’s bank Prime brokers. ISAM Capital Markets also includes IS Prime Hong Kong (regulated by the SFC) and risk management specialist, IS Risk Analytics.  Author Profile Tags Trading & Execution

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