New computer programs help hedge fund AHL's revival

Date: Friday, November 12, 2010
Author: Laurence Fletcher, Reuters

New computer programs designed to cope with choppy markets have helped Man Group's flagship hedge fund AHL produce stronger returns after last year's damaging losses, its manager told Reuters.

Tim Wong, chief executive of AHL, a $22.6 billion (14 billion pounds) computer-driven fund, said the new models had contributed to the fund's stronger performance this year by stabilising returns and limiting losses that could otherwise have been bigger.

"We've increased the diversification of trading models, which has made returns more stable," said Wong.

"Maybe some of the downward movements would have been sharper (under the old model)," he told Reuters on the sidelines of the Hedge 2010 conference in London on Wednesday.

NEW SYSTEM

AHL, named after 1980s founders Michael Adam, David Harding and Martin Lueck, aims to make money by latching onto market trends, but was hurt in 2009 when it lost 16 percent, its worst ever calendar year of performance.

The new programs, which Wong revealed in an interview in July, include a system to stop AHL's assets being eaten away in see-sawing markets, where a computer-driven fund can be 'fooled' into following a trend, only to see the market quickly change tack.

AHL's performance has picked up in this year, particularly in recent months, aided by trends in bond and currency markets, helping Man reveal higher-than-expected asset levels last week.

AHL itself is up around 15 percent so far this year to end-October.

Under the changes, AHL also reduced reliance on its traditional strategy of following market momentum.

Wong said in July that the new programs had been in the pipeline for years and were introduced in December.

This year Man (EMG.L) bought smaller rival GLG to boost assets and reduce reliance on computer-driven funds.