- 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
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++.
|Investment Approach||Systematic Macro|
++ The periods selected are exceptional and the results do not reflect typical performance.
1. Equity bear market: 1 April 2000 to 31 March 2003.
2. Credit Crisis: 1 July 2007 to 28 February 2009.
Man offers a comprehensive suite of investment solutions and formats that can be tailored and optimised to meet specific client needs.
Our investment solutions offer optionality including; liquidity, control, investment restrictions, investor customisation and transparency.
Visit man.com where you can find products available in your jurisdiction.
Access to investment products and mandate solutions are subject to applicable laws and regulations including selling restrictions and licensing requirements. Investment solutions listed above may not be compatible for all investment strategies and may be subject to minimum subscription requirements. Regional Funds: In addition to UCITS and AIFs registered across the EEA, a number of investment strategies are available in vehicles registered in Chile, Netherlands, Hong Kong, Japan, Singapore, South Korea and Switzerland.
One should carefully consider the risks associated with investing, whether the strategy suits your investment requirements and whether you have sufficient resources to bear any losses which may result from an investment:
Market Risk - The Strategy is subject to normal market fluctuations and the risks associated with investing in international securities markets and therefore the value of your investment and the income from it may rise as well as fall and you may not get back the amount originally invested.
Counterparty Risk - The Strategy will be exposed to credit risk on counterparties with which it trades in relation to on-exchange traded instruments such as futures and options and where applicable, ‘over-the- counter’("OTC","non-exchange") transactions. OTC instruments may also be less liquid and are not afforded the same protections that may apply to participants trading instruments on an organised exchange.
Currency Risk - The value of investments designated in another currency may rise and fall due to exchange rate fluctuations. Adverse movements in currency exchange rates may result in a decrease in return and a loss of capital. It may not be possible or practicable to successfully hedge against the currency risk exposure in all circumstances.
Liquidity Risk - The Strategy may make investments or hold trading positions in markets that are volatile and which may become illiquid. Timely and cost efficient sale of trading positions can be impaired by decreased trading volume and/or increased price volatility.
Financial Derivatives - The Strategy will invest financial derivative instruments ("FDI") (instruments whose prices are dependent on one or more underlying asset) to achieve its investment objective. The use of FDI involves additional risks such as high sensitivity to price movements of the asset on which it is based. The extensive use of FDI may significantly multiply the gains or losses.
Emerging Markets - The Strategy may invest a significant proportion of its assets in securities with exposure to emerging markets which involve additional risks relating to matters such as the illiquidity of securities and the potentially volatile nature of markets not typically associated with investing in other more established economies or markets.
Model and Data Risk - The Investment Manager relies on quantitative trading models and data supplied by third parties. If models or data prove to be incorrect or incomplete, the Strategy may be exposed to potential losses. Models can be affected by unforeseen market disruptions and/or government or regulatory intervention, leading to potential losses.
Commodity Risk - The Strategy may have exposure to commodities, the value of which can be volatile may carry additional risk. Commodity prices can also be influenced by the prevailing political climate and government stability in commodity producing nations.