AHL Macro

  • Systematic macro with a focus on behavioural models
  • Trades ~30 signals across multiple asset classes on liquid instruments
  • Excludes traditional premia such as trend, value or carry models
  • Low correlation to traditional investments, such as bonds and equities, as well as CTAs
  • Targets 10% net return volatility and a correlation to SG CTA index of <0.4
  • Draws on content across Man AHL and the Oxford-Man Institute of Finance

Approach

AHL Macro combines features of both traditional CTAs and conventional macro strategies. It shares with traditional CTAs a systematic approach, applied to a diverse set of liquid markets. But unlike many traditional CTAs, AHL Macro is designed to be lowly correlated to a CTA index because it explicitly does not trade price patterns using trend or carry signals. Like conventional macro strategies, AHL Macro derives its models from an understanding of economic drivers. However, conventional macro funds typically make their decisions in a discretionary manner and hold concentrated portfolios.

The overarching philosophy of AHL Macro is that human behaviour leads to inefficiencies in markets. These are exploited via three model styles:

Calendar: People tend to stick to the calendar, also when investing, which can lead to predictable flow and price pressure effects.

Lead-lag: People are often organized in particular groups (e.g. specialism by asset class), giving rise to lead-lag effects across market segments (e.g. stocks predicting currencies)..

Fundamental: People are limited in their ability to digest large volumes of data and data that is difficult to process, creating opportunities which a systematic fund like AHL Macro could benefit from.

This gives rise to a return stream which is generally uncorrelated to equity markets in the long term, but has the potential ability to perform strongly in times of stress, such as the equity bear market1 of 2000-2003 and the Credit Crisis2 of 2007-2009++.

Style Multi-strategy Systematic
Investment Approach Systematic Macro
Volatility Target+ 10%

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