AHL Dimension

  • Multi-strategy quantitative approach
  • Highly diversified range of systematic strategies trading liquid instruments
  • Aims to perform in a variety of market conditions
  • Historically uncorrelated with many major asset classes
  • Targets Sharpe ratio of greater than 1+
  • Long-term track record
  • Dedicated research team with full access to one of the world’s largest quantitative research units

Approach

AHL Dimension Programme comprises a broad mix of high-conviction systematic strategies, spanning technical, fundamental, and momentum styles.

These utilise a wide universe of highly liquid instruments – currently around 400 futures and forwards spanning the major asset classes of equity, FX, fixed income and commodities – as well as options, interest-rate swaps, credit derivatives and over 2000 single-name equities.

Around half of the Programme’s momentum allocation is to the AHL Evolution Programme which trades momentum on instruments not typically traded by CTAs, such as interest-rate swaps, credit and power derivatives, and cash equities.

Technical strategies seek to capture risk premia associated with a wide variety of sources.

They potentially include seasonality patterns, predictable price moves around major economic events, the mean-reverting nature of fixed income yield curves, and machine learning, for example.

Fundamental strategies use non price-based information to determine trading signals. These might be, for example, carry strategies in FX, fixed income, commodity instruments and long-short equity models based on fundamental data. Man AHL has been a pioneer in momentum strategies for over a quarter of a century and historically momentum itself has been shown to persist in markets for well over a century. Momentum strategies have holding periods of between two and three months.

Style Multi-strategy systematic
Investment Approach Balanced Allocation
Volatility Target+ 10%

 

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