Investment in research & technology
Driving AHL's excellent long-term returns is a world class research team and advanced trading infrastructure, which saw continued significant investment and development throughout the course of 2009. 15 people were added to AHL's research team, following the 27 new hires in 2008. AHL's research team now numbers 73, out of a total team of 116, which is one of the largest research teams in the managed futures industry. With this larger resource comes a richer research pipeline, and in 2008 and 2009 AHL made significant trading model developments, some of which are in the process of being deployed into client programmes.
Current research areas include developing new momentum predictors to enhance the quality of our signals. A new suite of momentum models using a predictor/optimiser framework has been rolled out and will receive an increased portfolio allocation in the coming months. The use of fundamental data is also being researched, which gives AHL a richer information set to advise trades whilst providing a source of uncorrelated returns.
All new trading ideas are extensively researched and rigorously tested before being introduced into client trading. As new strategies successfully transition into the final stages of development, one of the final checks is to test them in live trading with proprietary capital. This is a prerequisite before any strategy can trade with client capital, ensuring that only the very best trading ideas are deployed in clients' accounts.
AHL's pursuit of research excellence is shown more publicly by our unique collaboration with the University of Oxford, which continues to expand and develop. Currently there are 10 full time AHL researchers based at the Man Research Laboratory (MRL) co-located within the Oxford-Man Institute of Quantitative Finance (OMI). In 2009 the OMI held over 100 seminars, conferences and workshops presented by world leading academics. These seminars and the co-location of the MRL in the same purpose designed building have raised AHL's profile within the academic world and provided us with unique access to leading scholars across a range of disciplines. As a result, we often gain very early exposure to the latest academic developments before they reach open publication. Our close links with the University have also afforded us the opportunity to recruit many of the best and brightest graduates into AHL.
All of AHL's research areas are now represented in the MRL, with specialists particularly in the areas of automated trade execution and trading model development working jointly with their counterparts in our London office. Extensive work has been devoted to developing adaptive trade execution algorithms, and these have been deployed in 80 or so of the markets AHL trades, leading to significantly reduced transaction costs. Over the last year a major research project spanning both our London and Oxford offices was undertaken. The output of this is the next generation of systematic trading models, which are just entering our client portfolios. As a measure of the success of our Oxford initiative, in August 2009 both the OMI and MRL moved into larger shared premises.
Like the MRL, AHL's trade execution desk in Hong Kong continued to expand in 2009. The presence in Hong Kong enables AHL's execution traders and researchers to build stronger relationships with broker counterparties in the region, which has led to significant enhancements to our execution throughout the Asia region's markets. It also puts AHL in a strong strategic position to capitalise on innovations in Asian markets.
Investment in technology is an integral component of AHL's success, and several advances were made during the last financial year. Trading systems were upgraded and moved into a state-of-the-art global data centre located outside of London, while research computing facilities were increased three-fold. In addition, significant investments were made to improve AHL's research technology, which have resulted in the faster delivery of new strategies. All of these advancements have increased the robustness and resilience of AHL's infrastructure, which is integral to the continued operational efficiency of AHL.
