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MAN rewrites AHL with Evolution

Man Group,  the world’s second largest hedge fund manager, has ‘re-written’ its flagship computerised momentum-driven AHL program named “Evolution” to overcome the impact of quantitative easing and the ongoing Eurozone crisis.  The fund lost 12% since quantitative easing began in 2009.  Prior to that, the fund delivered 15%p.a. With the new program, the fund which manages $16.3bn has made 18% this year (2012) and 16% last year (2011).

Like AHL, Evolution uses complex algorithms and mathematical models to automatically trade in and out of markets where it senses opportunities.  The different between AHL and Evolution is that AHL traditionally traded exclusively on futures contracts but Evolution;s focus is on liquid but more esoteric markets such as emerging market interest rate derivatives, credit indices and even electricity contracts.

The portfolio has been constructed by Man to try and target areas which have exhibited very low correlation to traditional markets and the effects of G10 central bank fiscal and monetary interventions.

Evolution is currently trading in around 100 different instruments. AHL’s management are said to be very pleased with its progress – not least because it also exhibits very low correlations to traditional equity markets.

Other big quant funds, such as Winton Capital, Man’s biggest rival, is also ‘fine tuning’ its trading systems. 

According to Hedge Fund Research, quant funds have lost, on average 3.46% so far this year, and lost 3.54% last year.

Reference:

Financial Times, Sam Jones, 2012-11-22, “Man’s ‘Evolution” fund aids AHL Losses”