Key Takeaways
- • Martin Lueck, co-founder and Research Director of Aspect Capital, traces the origins of AHL to 1983-1987, when he, Michael Adam and David Harding built systematic trading models that became a pillar of the managed futures industry.
- • AHL's first systematic portfolio was built on six commodity markets (cocoa, coffee, sugar, aluminum, copper and zinc) with £25,000 of Adam family money, according to Lueck's account in the interview.
- • AHL was founded in February 1987 after a split from the Adam family business, initially bridged by $100,000 of investor capital from a single client.
- • Lueck contrasts AHL's scientific, model-driven development approach with the rule-based floor-trader roots of the US CTA industry, citing Richard Dennis and John Henry as examples.
- • MINT, a pioneering systematic CTA distributed by Man Group through a 50/50 joint venture, was reportedly the first alternative investment manager to exceed $1 billion in assets by the end of the 1980s, per the interview.
Summary
In an interview published by The Hedge Fund Journal from Niels Kaastrup-Larsen's podcast Top Traders Unplugged (episode 37), Martin Lueck, co-founder and Research Director of Aspect Capital, recounts the origins of AHL, the systematic managed futures firm he co-founded in the mid-1980s. Lueck describes how a school friendship at Oxford led to his involvement. Michael Adam, whose family ran a London commodities business, began experimenting with technical trading models on a Hewlett Packard 9816 around 1983. Lueck left his first job at Nomura in January 1984 and joined Brockham Securities, the Adam family's small broking house, where the team distilled a range of trading strategies into fundamental rules.
The firm's first systematic portfolio covered six commodity markets, including cocoa, coffee, sugar, aluminum, copper and zinc, funded with £25,000 of Adam family money. Lueck says the team met David Harding, then working at Sabre Fund Management, a chartist-based manager whose rule set they sought to encode. Harding subsequently joined the Adam family business. After a disagreement over the direction of the business in early 1987, Lueck and Adam left and founded AHL in February 1987, bridged by $100,000 from one client that had stayed through the transition. Sabre initially provided office space and took a stake, which was later repurchased.
Lueck emphasizes that the team did not model their approach on the US Turtle experiment, which they were unaware of at the time, and instead treated model development as a scientific exercise. He contrasts this with the US CTA industry's roots in floor traders who encoded their own rule sets, citing Richard Dennis and John Henry. He also describes MINT, a pioneering systematic CTA that entered a 50/50 joint venture with Man Group, whose offices distributed the fund to a broad audience and embedded the programme in guaranteed structures. Lueck states that MINT was probably the first alternative investment manager to exceed $1 billion in assets by the end of the 1980s.
Lueck also discusses AHL's early model design, which was primarily a breakout system that scaled into positions. He acknowledges that the early team over-optimized models in backtests, and says the scaling feature limited that tendency. Moving-average approaches were explored later, probably in the late 1980s or early 1990s, and became part of the programme but not its entirety. Lueck credits the scientific methodology he helped introduce with shaping the AHL influence on the industry, which he describes as a significant feature of its evolution.
The firm's first systematic portfolio covered six commodity markets, including cocoa, coffee, sugar, aluminum, copper and zinc, funded with £25,000 of Adam family money. Lueck says the team met David Harding, then working at Sabre Fund Management, a chartist-based manager whose rule set they sought to encode. Harding subsequently joined the Adam family business. After a disagreement over the direction of the business in early 1987, Lueck and Adam left and founded AHL in February 1987, bridged by $100,000 from one client that had stayed through the transition. Sabre initially provided office space and took a stake, which was later repurchased.
Lueck emphasizes that the team did not model their approach on the US Turtle experiment, which they were unaware of at the time, and instead treated model development as a scientific exercise. He contrasts this with the US CTA industry's roots in floor traders who encoded their own rule sets, citing Richard Dennis and John Henry. He also describes MINT, a pioneering systematic CTA that entered a 50/50 joint venture with Man Group, whose offices distributed the fund to a broad audience and embedded the programme in guaranteed structures. Lueck states that MINT was probably the first alternative investment manager to exceed $1 billion in assets by the end of the 1980s.
Lueck also discusses AHL's early model design, which was primarily a breakout system that scaled into positions. He acknowledges that the early team over-optimized models in backtests, and says the scaling feature limited that tendency. Moving-average approaches were explored later, probably in the late 1980s or early 1990s, and became part of the programme but not its entirety. Lueck credits the scientific methodology he helped introduce with shaping the AHL influence on the industry, which he describes as a significant feature of its evolution.
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