Hedge Fund of the Decade: Shortlisted

Best Directional Fund over 10 Years: shortlisted

The AHL Alpha Fund is the flagship institutional program of systematic investment manager AHL, part of Man Investments.

AHL was established in 1987 and is based in London, Oxford and Hong Kong. The company's trading strategy is quantitative and wholly systematic. AHL describes its approach as "primarily directional" and has systems sampling thousands of prices daily to identify and profit from momentum opportunities across a broad range of sectors, including currencies, bonds, stocks, energies, interest rates, metals and agriculturals.

Further diversification is achieved by using multiple models, some of which monitor spread relationships or relative value opportunities based on technical and fundamental inputs.

The strategy trades around-the-clock and real-time price information is used to respond to price movements across a diverse range of over 150 instruments on around 36 exchanges. The underlying investment programme looks to capitalise primarily on upward and downward price trends and offers the potential for returns independent of traditional forms of stock and bond investments.

Central to the success of the company has been its commitment to research and refinement of its trading systems to enhance its systematic trading approach. This has resulted in Man Group, along with AHL, establishing a collaborative relationship with Oxford University through the creation of the Oxford-Man Institute of Quantitative Finance. AHL has a research laboratory located on the same premises as the institute.

Using its systematic program the fund aims to achieve medium-term growth of capital while restricting the associate risks through targeting annualised return of Libor +10% against an annualised volatility of around 10% over the medium term.

AHL Alpha has generated a total return of 651% since inception in 1995. Annualised return since inception is 14.9%.

With a track record dating back to 1987, alongside the combination of investment philosophy, disciplined investment process and ongoing research, the company cites rigorous risk control as a key area of differentiation in the market. The risk system focuses on areas including value at risk, stress testing, implied volatility, leverage, margin-to-equity ratios, net exposures to sectors and different currencies.

The company trades a large number of global markets and across a broad range of sectors. Its research facility has also enabled it to be one step ahead of the market,. It has become an innovative early trader of new areas. An example is South Korea equity futures and credit default indices. These are markets the company has traded before its competitors.

As part of Man Group, AHL has the advantage of being able to outsource areas such as distribution and marketing to that group and focus purely on investment management and research.

Fund facts: AHL Alpha

Full name of fund: AHL Alpha
Name of portfolio manager: AHL
Name of investment/management company: Man Investments
Contact information: Sugar Quay, Lower Thames Street, London, EC3R 6DU (+44 (0) 207 144 1000; www.maninvestments.com)
Launch date: October 17, 1995
Strategy: managed futures/CTA
Assets under management: $62.6 millon (at March 29 2010)
Net cumulative performance since inception: 651% (at March 29 2010)
Annualised return since inception: 14.9% (at March 29 2010)
Annualised volatility since inception: 13.7% (at March 29 2010)
Sharpe ratio: 0.81
Share classes: US dollar
Administrator: Man Corporate Services (Ireland)
Auditor: Ernst & Young
Custodian: BNP Paribas Securities Services (Dublin)
Prime brokers: MF Global UK, Credit Suisse (Sydney), the Royal Bank of Scotland, JP Morgan
Domicile: Ireland
Listing: Irish Stock Exchange
Management fee: 2%
Performance fee: 20% subject to a high watermark
Minimum investment: $250,000
Redemption/liquidity terms: weekly three business days prior to the relevant dealing day