Crisis Protection

Aspect Capital is a London-based investment manager which currently manages $6.1 billion in a range of systematic investment programs. The fund was established in 1997 and employs a team of over 130 professionals.

Website: https://www.aspectcapital.com/

Investment Approach Initial Investment Role in the Portfolio
The Aspect Core Diversified Program is a systematic momentum-based investment approach, which seeks to identify and exploit directional moves in approximately 70 of the most liquid global financial and commodity futures. By exploiting the momentum and price trends which are persistent but unpredictable feature of markets, the program seeks to generate returns which are uncorrelated to major asset classes.
  • $55,200,000 November 2017 Commitment, $54,200,000 December 2017 Commitment. Targets one-third of Systematic Trend Following target allocation of 5% of total plan assets
 This investment is part of the 10% ERSRI policy allocation to crisis protection strategies.

Crabel was founded in 1992 and specializes in futures and foreign currency trading, with a particular focus on the short-term, systematic trading space. The firm has offices in Century City, CA and Milwaukee, WI and had 85 employees at the time of investment.

Website: http://www.crabel.com/

Investment Approach Initial Investment Role in the Portfolio
Crabel Advanced Trend is a pure momentum strategy which is designed to capture long-term trend-following returns efficiently. The strategy trades in over 190 markets across the world and targets equal weightings to commodities, equities, interest rates and currencies.
  • $40,000,000 initial investment in the Crabel Advanced Trend Strategy (18% target volatility) in June 2017. Targets one-third of Systematic Trend Following target allocation of 5% of total plan assets.
 This investment is part of the 10% ERSRI policy allocation to crisis protection strategies.

Credit Suisse Asset Management (CSAM) operates as a division of Credit Suisse, a global and integrated bank founded in 1856 and headquartered in Zurich, Switzerland. CSAM is one of the largest global asset managers and provides access to traditional and alternative investment strategies. The firm had 748 investment professionals at the time of investment.

Website: https://www.credit-suisse.com/us/en/asset-management/about-am.html

Investment Approach Initial Investment Role in the Portfolio
The Credit Suisse Managed Futures Target Vol 18 Index seeks to capture trends across asset classes, geographies and time horizons while minimizing cost in order to improve net returns for investors. The strategy trades in 16 markets and targets equal risk contribution across asset classes.
  • $40,000,000 initial investment in the Credit Suisse Managed Futures Target Vol 18 Index in June 2017. Targets one-third of Systematic Trend Following target allocation of 5% of total plan assets.
 This investment is part of the 10% ERSRI policy allocation to crisis protection strategies.