Generating value Across generations
ASA Two Sigma Strategy
Investment objective
Deliver returns above short term interest rates irrespective of market environment. The strategy pursues this objective by investing in a quantitative multi-strategy absolute return oriented hedge fund. The underlying hedge fund is Two Sigma Spectrum Cayman Fund, Ltd.
Key Information
- Fiduciary Structure: Cayman Islands Segregated Portfolio Company
- Investment Manager: ASA Asset (Bahamas) Ltd.
- Benchmark: None
- Base Currency: USD
- NAV Calculation Frequency: Monthly
- Liquidity Terms:
- Subscription: Monthly
- Redemption: Quarterly
- Notice: 70 days
- Fund Level Gate: 10%
- Lock Up: None
Investment Strategy
A diversified quantitative multi-strategy fund focused on liquid strategies across global equity, futures, FX markets, exchange-listed and OTC options (and their underlying instruments), and other derivatives.
The strategy seeks to deliver low-correlated absolute returns through the application of fundamental, technical, alpha capture, and event-driven models.
Risk management is systematically integrated throughout the investment process with human oversight employed at multiple levels.
Portfolio Role
The Spectrum Fund was launched in 2004 and has delivered a historical return of 6.7% per year above the base interest rate in U.S. dollars (8.5% nominal per year), with historical volatility of 4.9% and a Sharpe ratio of 1.37. The strategy has $10.2 billion in assets under management. The Spectrum portfolio undergoes continuous optimization, ensuring closer alignment with its absolute return objective while mitigating risks and preserving performance consistency. Two Sigma is a global investment manager founded in 2001, with a presence across 10 offices worldwide and a team of approximately 1,700 professionals. Since inception, the firm has generated positive net alpha every year and today manages about $71.0 billion across absolute return, benchmark-relative, and private investment mandates. Roughly two-thirds of its workforce is dedicated to research and development, reflecting a strong emphasis on data-driven investing, innovation, and rigorous quantitative research.