October marks a milestone in the history of Man’s AHL Alpha Program. This month the program celebrates its 20th anniversary.
The program began trading in October 1995 and has since successfully traded through a variety of market conditions. This includes the Russian debt crisis, the tech boom and bust, the Asian financial crisis, 9/11 and the global financial crisis, to name a few.
To help visualise how the AHL Alpha Program has performed over its history to reach this milestone month, we have compiled the chart below.
It shows what a $10,000 investment made at the program’s inception would be worth today, net of fees (orange line). We contrast this with a similar $10,000 investment made to Australian equities (black line), international equities (green line) and Asian equities (grey line). The equity indices assume all dividends are re-invested.
20 years of performance
October 1995 to September 2015
Financial adviser use only. Past performance is not a reliable indicator of future performance.
Note: Australian stocks: S&P/ASX 300 (Accum.) Index. Global stocks: MSCI World Net Total Return Index. Asian stocks: MSCI Asia Pacific (Total Return) Index. The AHL Alpha Program, Global stocks and Asian stocks are denominated in USD and Australian stocks are denominated in AUD. The chart is expressed in log scale to uniformly illustrate percentage changes each month. To illustrate Man’s longest running AHL Alpha Program, the past performance of AHL Alpha plc from October 1995 to September 2012, AHL Strategies PCC Limited: Class Y AHL Alpha USD Shares from September 2012 to August 2014 and AHL Alpha (Cayman) Limited from August 2014 to September 2015 are used in this chart.All of these entities invest in the same way as the AHL Alpha Program. This chart does not show the performance of Man AHL Alpha (AUD). It is not designed to predict or forecast the future performance of the AHL Alpha Program or Man AHL Alpha (AUD). The fees and costs that will apply to an investment in Man AHL Alpha (AUD) will be in accordance with those set out in Section 5 of the PDS and are different from the fees and costs payable by the AHL Alpha Program. The final weekly valuation for a month is used to calculate the monthly return of the AHL Alpha Program. Performance figures are calculated net of all fees as at 30 September 2015. Source: Man Group database.
From a performance perspective, the AHL Alpha Program (holding now valued at $99,123) outperformed Australian equities ($54,611), international equities ($36,399) and Asian equities ($15,833). However, looking solely at the end-point return ignores an interesting observation: the journey in which the AHL Alpha Program reached its destination differs substantially from the equity markets.
The chart shows the AHL Alpha Program had periods of negative performance, flat performance and positive performance. What is important however is that during the 20 year period, the AHL Alpha Program behaved independently to the behaviour of the equity markets, and notably, did not suffer drawdowns as large as equities. The shaded areas highlight periods of equity market difficulty.
The largest drawdown experienced by the AHL Alpha Program was -13.6%, which is not insignificant, but to put this in perspective, we can measure this against the largest drawdowns experienced by Australian, Asian and global equities: -47.6%, -54.6% and -50.4% respectively.
Some financial advisers express hesitation in allocating to managed futures strategies, citing that they are typically new and risky investments. Perhaps the AHL Alpha Program’s 20th anniversary and the evidence above can help challenge such broad misconceptions.
