I was thrilled to be joined by the founders of AHL, to celebrate their 30 year anniversay of founding AHL: Michael Adam who later co-founded Aspect Capital, David Harding also known as founder and CEO of Winton Capital and Marty Lueck also one of the co-founders of Aspect Capital.

We sat down in the famous Abbey Road Studios in London to talk about AHL’s beginnings, the revolutionary discoveries that AHL made, how MAN Group became the owner of AHL, as well as all the great things that Michael, David and Marty went on to create.

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50 YEARS OF TREND FOLLOWING BOOK AND BEHIND-THE-SCENES VIDEO FOR ACCREDITED INVESTORS - CLICK HERE

In This Episode, You’ll Learn:

• How AHL got it’s start
• Why Michael’s father was instrumental in the beginning of AHL
• What struck David when testing their early algorithms
• Why their “empiricist” outlook gave them an early advantage
• How technology’s limits pushed their ideas
• The breakthroughs of AHL’s early research and how it still applies today
• Why being a consultant gave AHL deep insight into trading the markets
• The crucial role the early clients had in AHL’s development
• The power of finding the right people to work with
• Why Michael preferred working with “unformed” employees
• How the original deal between MAN and MINT influenced AHL
• What the larger financial community initially thought about AHL
• How AHL brought in investors in those early days

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And you can get a free copy of my latest book “Ten Reasons to Add Trend Following to Your Portfolio” here.

Learn more about the Trend Barometer here.

Send your questions to info@toptradersunplugged.com

And please share this episode with a like-minded friend and leave an honest Rating & Review on iTunes or Spotify so more people can discover the podcast.

Learn more about Michael Adam and Mike Marlin and The Melomaniacs

Learn more about David Harding and Winton Group

Learn more about Marty Lueck and Aspect Capital

Copyright © 2024 – CMC AG – All Rights Reserved

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Niels

Welcome to another edition of Top Traders Round Table, a podcast series on managed futures and alternative investments. My name is Niels Kaastrup-Larsen and I'm delighted to welcome you to today's conversation with industry leaders and pioneers in managed futures, which is brought to you by CME Group.

Today is another very special episode, not just for me but for the whole managed futures industry. For the first time, in a very long time, we have brought together some extraordinary pioneers of systematic trading and trend following strategies who really have influenced the whole world, when it comes to rule based investing, and have inspired countless firms to mirror their success.

First of all, welcome and thank you very much for spending some time with me today. I think it's safe to say that most people in our industry have heard of you. Since we are sitting here in the famous Abbey Road Studios in London, famous for its association with rock stars like the Beatles, I think it's fitting to describe you all as rock stars of the systematic trading industry.

Now, like the Beatles, you worked very successfully together for several years before parting ways. So, today we're going to talk about the time before and after the split. Let me start with a slightly different question and that is, how does it feel being back together after all these years or have you in fact kept in touch on a regular basis?.

Marty

We do keep in touch. We follow one another's successes and areas of interest. Mike and I see each other often, David less often, but the three of us have gotten together a few times over the past few years.

David

Yeah, for the 20th and the 25th, is what I recall - two dinners in the last 10 years to celebrate AHL's founding.

Niels

Sure. Fantastic

Mike

David and I meet once a year, maybe, for lunch, to talk about Marty, obviously. (Laughter)

Niels

Of course, of course. Now, if my memory serves me right, Mike, your family business played an important role in the initial stages of AHL, when that was being born. So, take us back to the Oxford University days and how it all got started for you.

Mike

Well, like many successful outcomes it started from very unpromising beginnings. I dropped out of Oxford without a degree and thereby rendered myself, essentially, unemployable.

David

Like Bill Gates.

Mike

(Laughter) Yes, and there the similarity ends. (Laughter). For want of anything else to do, I ended up working in the family brokering business. At that time, in London, there were probably thousands of little broking businesses beavering away with their own franchises. The particular franchise of the family firm was selling the Mauritian sugar crop on the London market. In fact, a detail turned out to be quite relevant when we later got together with the Man Group with their historic connection to sugar.

I ended up in a back room doing the books by hand and drawing charts by hand. Then laziness drove me to automate my own job. A computer arrived in the office. There was no one else who was interested so they gave it to me and I created a database to draw the charts by computer on a flatbed plotter, and an accounting package to do the bookkeeping. That was the beginning of my interest in both computer programming and its application.

Marty

And making yourself redundant. (Laughter)

Mike

And making myself redundant - laziness. So that was the role that that played. I already knew Marty and met David. David was one of the few other people in London, along with the astrologists and other peripheral nut cases that, at that stage, said it was possible to trade markets systematically. We ended up working together for my father in the company. I think you should ask David and Marty, from their perspective, how that felt.

Niels

Absolutely. I was going to ask you, Marty. You only had a short time at NOMURA. What compelled you to join Mike?

Marty

So, I managed to hang on long enough to get a degree at Oxford. Then, in that era, we were launched into the milk round and it was pretty much expected that you would go to work for a bank, or an accounting firm, or something like that, so I wound up at NOMURA selling Japanese equities, and I didn't even know what an equity was. So, I did very well, so I'm told. I was the "young lion" of that year's intake of the equity trading desk.

I spent all my lunchtimes hanging out with my friend Michael, and during my summer holidays at University I learned to program - working in Washington DC for a Department of Defense contractor - and this was fascinating. This was just great fun, so rather than do a slog of a job, I went to have fun coding an early Hewlett Packard workstation with Michael working for his Dad. It didn't feel like work at the time.

Niels

Sure. This, I think, is before you meet with David. You started out trading a very small portfolio - I think 25,000 pounds, six markets (or something like that). How did that come about in terms of starting trading these markets using rules?

Marty

My recollection and Mike will correct me, was that Michael's father was pretty instrumental in saying why don't you boys see if there's anything in these technical trading models. So we bashed them around awhile and distilled it to what we thought was a useful model. At the time the only data that we had were physical commodity markets so the first portfolio was, as you described, cocoa, coffee, sugar and three base metals, and presented it to Michael's father and he sunk the family fortune - well, 25,000 pounds into that.

Niels

Sure. Now during this time, you meet David, and despite David being a Cambridge graduate you seem to hit it off straight away.

David, what were you doing at the time you met with Mike and Marty and how did you get to this point in your career?

David

I was working for another futures trading CTA, the biggest one in the UK which managed, I think, 4.5 million dollars and was called Sabre Fund Management. The job I had there - that was already my third job. I had started on the futures exchange, actually, I started trading the London International Financial Futures exchange but then moved to a commodity broker. When that went bust I went to work for a commodity trader. I had to draw hundreds of charts by hand every day - many more than I'm sure Michael had to draw. (Laughter) That was not really what I thought I was cut out for in life. It did give me a lot of time for reflecting on chart patterns.

Niels

Sure. Absolutely.

David

During my previous jobs I had become pretty interested in how you could make money by trading markets. It's not such a hard thing to be interested in when you're a young "sciency" sort of man: making a lot of money trading markets.

I read a lot of the books - I read all the books on technical analysis, and I had read all the books on bond math and so on, so I knew a fair amount about it. I had a pretty strong feeling that markets weren’t efficient and that there was some sort of point to trying to forecast them. When I started talking to Michael and Marty we were trying to engineer a sort of combination of... The firm I was working for - the giant 4.5 million dollar CTA, and the somewhat smaller 2.5 million dollar Brockham - it was clearly very amazing to me that these guys had written software that was well in advance of what you saw in most of the banks and institutions. My fantasy, at that stage, was that they'd take my ideas and test them and turn them into reality. Practically, they didn't need all that much of my ideas because they already had perfectly good ideas of their own.

There were some... Eventually, when we got together, that was the attraction. I think I thought my ideas were better than they probably actually were. (We should all think our own ideas are good shouldn't we?) (Laughter) I don't think my ideas were useless, but the fusion of one of the amazing things was when I saw the places that... They put charts on the walls and you could see where the computer was saying buy, and sell, and it was almost the same places that the arcane science of technical analysis had taught me you should buy and sell. That was striking to me - that an algorithm could produce the same results as this body of expertise. That was very striking.

Niels

Indeed. If I could stay with you, David, for a little while. Science combined with finance is not uncommon today. I imagine, back then, this was not the usual cocktail that you would come across. When did you really realize that you could combine these two things successfully? I don't know whether it's science - in a sense that you initially thought of when you looked at the charts - or whether the science part came a little bit later?

David

The mathematical theories at the heart of finance were wrong. We were all physicists, none of us were mathematicians, and none of us - even Mike - he tried to escape but he had physics training to some extent. As physicists, you are trained to have an experimental look at the world and the software they'd written did enable us to do experiments. We were all well trained and we did some good experiments.

Marty

That's what I'd draw out. I don't think we went into it thinking, "Ah, this is a problem that lends itself to these particular techniques." But, we had a mindset - we had an inquisitive mindset. As you say, empiricist perspective on the world which was juxtaposed, or was different, from the managed futures industry as it was in that era in the States. I'm making a gross generalization which may not be true, but my sense of it was it was predominantly experienced traders, floor traders, who had encoded their rule set using a computer and that was it. It worked for them, and now they could head to the beach, or go and do other activities and that was good enough.

We, without thinking about it, our attitude was, " Well, I've done this, and it looks good enough, but what if I try that? What if I expand this? What if I add a new market? What if I go faster?" Mike was reminding us about moving to intra-day execution. There was a constant inquisitiveness. I think that was born... Maybe it's just the people we were, but also an element of that scientific perspective.

Mike

Also, we were very lucky because technology arrived just at the right time. For the first time, you could get... I still have got a proposal that we should buy a new Hewlett Packard computer and they were incredibly expensive (now that I think about it), but never the less, relative to history, it was plausible to get some pretty serious processing power. I think a lot of the things that we did we did them because we could. It turned out that that made us unusual because most people simply couldn't run the experiments that we ran.

David

In the first three years we were always waiting for a new, more powerful, Hewlett Packard model to turn up so that we could run the experiment that was now taking 36 hours to run. When the new computer came we would get the first one in the country and it would run in 1 hour instead of 36 hours and then we would find a bigger fund which would require more processing power, and then we'd be waiting for another six months for the next computer to turn up. These weren't even very big computers, were they? They had to be affordable.

Mike

Now they seem pathetically weedy, but at the time we were running experiments which, when we showed them to other people: the questions we were asking and the answers we were getting, as far as they were concerned it was magic. I don't think it's ever really ever been talked about, but at the beginning of what we did, we didn't make money as managers at all. We made money as consultants. So, we were answering other people's questions.

I think we learned a lot from looking at other people's market-related problems that otherwise we wouldn't have learned and some quite surprising insights followed from that. We didn't approach that, I didn't anyway, because I was interested in markets. For me, I was interested in the technology and the challenge of writing the code. I think the other thing that really worked, between the three of us, is that David was the one who was absolutely obsessed with markets, which is good really because one of us needed to be.

David

You set out to recruit me, you set out to recruit me for that reason actually.

Mike

That is true. You were literally the only candidate. (Laughter) Yes, probably the less said about that the better. (Laughter)

Niels

Absolutely. So, anyway, David, you do join the Adam family business. What happens next? When do you realize, really seriously, that you're on to something? Is it, even in these early days, that you come up with these ground breaking discoveries that you probably are responsible for, at the end of the day, in this field?

David

When you discover something important and true, you know you've discovered it. You don't know that you're going to be sitting there, 30 years later, talking about it. You just know, at that moment in time... Just reminiscing about Mike discovering something earlier to do with time varying volatility and he came back and produced this result which was a normalization that you could use for making historical time series simulation more robust. I was joking with the guys before, I said to them, "That's brilliant!" They didn't know then that it was brilliant, but I knew it was brilliant... they did... I didn't discover it but I could see its significance and it remains and is one of the things that I tell people when they say, "What are the memorable moments in your career?"

There are two, or three, or four, discoveries like that which are really, really material. Unfortunately, another 10 great discoveries which have also been equally exciting which have all turned out to be wrong. So that sense of discovery is not necessarily confined to the things that ultimately turn out to be very important. I've had a few brilliant discoveries that have been wrong. What makes a discovery amazing is that it's elegant, and beautiful, and simple. If it's a very, very complicated piece of math leading to a very significant result it's probably wrong.

Mike

Yes, elegance and simplicity - that feeling that you've discovered something that once you've discovered it, it becomes completely obvious and useful and leads to great insight. So they're probably only two or three. I'm sure that David and Marty having continued at the cutting edge have discovered more since. I certainly feel that we were very lucky to be approaching this at a time when processing power came onboard, digital data - you get the data. We made very rapid progress in hindsight. But, I still only think we found three or four things.

Niels

Are these things we can talk about today?

Mike

They're pretty simple and they're all pretty obvious. I would perceive that they're well understood now.

Marty

Yeah, now it's finance 101, but we didn't have a framework for equalizing the risk across different markets.

Mike

So moving to using an exponential schema for assessing risk and for normalizing markets, which is now so widely used that it's now the regular true standard imposed on all market participants, which of course, is not what we had designed that measure for. So that would be one.

I think because we were doing work for Gilt market makers who were really struggling with the fact that they'd lost their franchises and no longer had a protected access to that market. We did some work for them and discovered that we could model their P&L to within +/- 1/2% per quarter by simulating it using a trend following trailing strategy. I always saw that as a huge insight because it told us that trend following is really a systematic way of thinking about market making.

In turn, I think that pointed us at, in which case, if that's what it is, we need to be concerned with the cost because we saw how important it was to market makers - what their cost of market access was - in a sense, they needed to be large and negative. They needed large spreads to make more money and if you squash those spreads they made less money and there's a strong relationship. That told us that market access costs were incredibly important.

We started measuring our full cost of market access from the point of sampling to the point of execution. We started looking at what we were paying to execute and that led us on a drive to set up a trading desk, to get close to the markets, to talk directly to the floor. So that insight made us focus on something that our competitors just weren't focused on, with real confidence that it was important. That also made us extremely unpopular with the brokerage community.

Marty

You're getting ahead in the story. (Laughter)

Mike

I think there are three of four things, but three or four simple things can lead to a whole set of subsequent insights that point you in a direction, give you confidence that you're worrying about the right things. There are probably a few others that I can think of, but those are the two big ones.

Niels

Sure.

Marty

We always hustled.

Mike

Well, we did consulting. I think it was fantastic that we did.

Marty

That’s right.

Mike

We did various bits of consulting and all of them taught us something. We did some research for a company in option replication and recycled that work when thinking about how to gear a guaranteed fund. It turned out to be really, really important. I don't think AHL would have been successful if we hadn't worked for other people. Also, I don't think Marty and I, because there was some question when we left Brockham, as to whether we would start a business at all. If David hadn't come riding back over the horizon saying, "You've got to be kidding! We've got to do something with this." Marty and I would have gone on...

Marty

Exactly, we were going to do computer consultancy or something like that. I think, as I look back on that, that there was an element of that we didn't know what we had discovered. Systematic trading, in those early days, felt like a happy accident. When things were going well you think, "Yes, we're so smart." When things are going badly it's miserable, and it did take many years to get the confidence in the underlying statistics and the body of work that we had all been involved in. I think we must have come off the back of some miserable period because we were ready to throw in the towel on the investment management business - this has to be done. Let's go start a business cleaning computers or something really entrepreneurial like that.

Mike

We had some really compelling accounting software and we sold that.

Marty

But David, you were very robust.

David

I had more confidence with what they had done, in terms of the computer software, was a significant finding. I had been out there and there were a number of jobs that had more exposure. So I was confident that they had developed, on personal computers, good color graphics and, for example, heat maps and this wasn't even that much of an innovative technique then. It was innovative on a personal computer in finance, but they were using it in weather and this sort of thing and it wasn't unheard of. You will see people using heat maps today when they're trying to blind you with science. Three directional graphs in which color is... That is still, today, used to be impressive. So when I did demonstrations, for my friends in the city, with the heat maps, they...

Marty

It's the only color screen that they'd ever seen attached to a personal computer.

David

Yeah, they were very, very impressed. It's also fair to say that we had some loyalish clients who traded with us from the very, very, beginning. There were one or two clients who were extremely supportive of getting the company going because they had already gotten themselves into bed with the old company, and the old company folding was a nuisance for them because they'd done all sorts of work. We had clients who conspiratorially wanted us to succeed and start a new company. So, I guess I had clients on my side as well, though not enough, as Mike said, to support the new business, but enough to create continuity in the track record.

Marty

We never borrowed any money. We used some office space from my Dad. We had friends that would join the company and did some of the donkey work that we promised to pay later.

Mike

And still remind me, occasionally, that they never ended up earning any of the business and barely speak to me... No that's not true (Laughter), not true.

David

Well, the six months, looking back on history, passed in a flash. At the time there was lots of stuff that happened in six months. We had people join, fall out, leave.

Marty

We hopped offices. We went from my Dad's office to a serviced office in the basement, to Sabre's. We sat.

David

Certainly six or eight offices in the first two years.

Marty

So we were very mobile. (Laughter)

Mike

The other thing that was so unusual was I don't think any of the three of us knew anyone of our age who would even contemplate starting a business. There was no sense that we were doing the right thing starting our own business. We just didn't know anyone else who was. So, there just wasn't that culture.

Marty

In fact, it was the other way around. All of our cool friends were getting fancy jobs in big institutions so we were the... the unemployable. (Laughter)

Marty

In fact, it was the other way around. All of our cool friends were getting fancy jobs in big institutions so we were the... the unemployable. (Laughter)

Mike

We were the unemployables doing the crazy thing, which is another huge cultural shift that is almost hard to remember the way that it felt to be starting our own business as three people in their mid-twenties who had no idea what they were doing back in those days. It clearly felt as if you were doing the wrong thing, or at least if you listened to advice. The world has changed so much.

Niels

Just about starting businesses, are there some of the challenges that you had back then, that you can relate to as you grow your businesses today?

Mike

Yes, it still, to me, feels uncomfortable to start something new. But, at least when I meet other people they think it's the right thing to do and assume you're going to be successful, so the difference is how it feels. The challenges are the same - trying to persuade people to work for you when all you've got is an empty room and that idea. It's really quite difficult. What do you think David, if you were starting Winton again today?

David

Well, the situation is different now, isn't it? Obviously, I like to say, generally, about my own career, if I'd known what it entailed I wouldn't have started it, roughly speaking. If we'd known what we were going to have to go through the answer is you wouldn't have done it again. You would have gotten a safe job. It's great to have been successful but it can be a bit of a bruising experience. Just the sheer... You think you just don't have an adequate level of foresight. If people knew what starting a new business would entail, no one would ever start a new business.

Marty

I think that's true. There is an element of...

Mike

We were certainly naive. We had that going for us.

David

Yeah, it's impetuosity, or recklessness, or naivety, or even (dare I say) a sort of greed, or something which gets you over the hump of doing something which is essentially not a rational decision.

Marty

The only thing I'd say probably seems to be a persistent feature every time you start a new business is the people. That's what has been the perennial feature, both for good and bad. If you pick the wrong egg it can be remarkably disruptive. If you get the right group of people it can be remarkably empowering.

David

You don't have that much power when you start a business - you don't have that much power. These days, when you fill a position, you can interview... like Mike joked earlier, I was the only candidate. (Laugh) For filling a senior position in your company now you'd interview 47 people, you get a short list, then you narrow it down and you get 6 people who you interview, then you have a better chance of ending up with a person doing the job who wants to do the job.Page Break

Mike

As three twenty-five-year-olds we were obviously making it up as we went along. I think that was a happy accident as well. We ended up... We couldn't possibly have recruited people with vast experience in banking and trading because, A, we couldn't afford them, and B, they were going to be older than us and therefore they were almost certainly not going to want to work for us. That's how we perceived it at the time.

So we were almost forced to recruit new graduates, young, unformed people. I think that turned out to be an advantage. Certainly, subsequently, whenever we employed anyone who had experience in markets we would really struggle to train them to unlearn all the things that they'd been taught that actually were completely destructive and inappropriate and clearly an obstacle to progress. Right from the early days, it meant we were recruiting raw talent and then inventing the ways in which we wanted them to work from scratch. I think that turned out to be a good thing, but it didn't feel like such a good thing at the time. It was an advantage we had.

Niels

Sure. Now, clearly, you had the scientific approach to trading. Is that what attracted Man Group to you in the beginning, or what happened and how and when did this all start taking place?

Mike

Well, the Man Group already had a very successful relationship with Mint - that was Hite, Matthews, and Delman. I don't think it's entirely accidental that there were three of them - Hite, Matthews, and Delman, that they were systematic and the Man Group had built a great franchise around a branded product that wasn't branded Man. They built a big organization around it. They're based in London. They saw three people - Adam, Harding, and Lueck - and they said, "We've been here before, we know how to do this." I think part of what attracted the Man Group to us is the analogy with Mint. We were valuable internal competition for Mint.

David

They bought 51% of AHL. I remember the meeting where they said, "You wouldn't consider selling 51%?" At least two of us, if not three, said, "Yes we would!" (Laughter) They bought 51% of AHL where they had 50% of Mint and Mint was a deadlock. So, it was in the minds of the deal makers at Man that they would buy a majority stake and use that to control the investment management half of the enterprise, which is what they did. It was an extremely well-executed manoeuvre.

Mike

There were two things that were in our minds: one was the obvious one which was distribution, which we needed to raise money and the Man Group clearly had a machine for raising money, so that was attractive to us. At least as big a motivation for us was market access. We figured out, as an outsider, we simply couldn't get cost effective access to markets. Whereas the Man Group was plugged into the market. So those were our motivations.

Marty

That created quite a tension because (my recollection) the original deal with Mint was forged by the brokerage division of the Man Group. So, it really was a case of the Mint model spitting out the orders which got faxed across to the brokerage unit and they just executed in their own good time. So, everyone was happy. It was spilling off money. It was over a billion dollars and it was at capacity. They really couldn't execute more. You say an element of internal competition. It was a case of that they were onto a good thing and could they find some more product which we looked like we represented. So, they got a surprise when we said, "Yes, absolutely, but we’re asset managers and this brokerage bit of the business has to get sharper”.

Mike

Yes, in hindsight, you talk about the tensions, we then had an uncomfortable few years, or I certainly did. It felt... We were on the fifth floor and they were on the fourth floor. It felt to me like a constant war of attrition because we were constantly driving to reduce the time between sample and execution; to reduce the cost per round turn of what we were doing so that we could trade faster. If you've got a tiny edge, then one of the ways to increase the probability of success is to roll the dice that you've got that's got the edge more quickly, but you can only do that if the cost of each roll is low enough. So, that worked completely counter to the natural instincts of the brokerage division who understood that having the freedom to execute with a secure order flow was highly profitable for them, as it was for any broker.

It seems strange now, but of course, everyone is now obsessed with the speed of market access and costs. No broker would ever say, "Send me your orders and I'll let you know when I've executed them at some stage tomorrow”.

Niels

When you heard about Mint, is that the first time that you realized that there was actually an industry for what you were doing across the pond?

Mike

David already knew.

David

I knew.

Mike

David was aware of that.

David

Mike

As an industry, then, it was - I was going to use the word ridiculed, but it pretty much was. We were definitely at the edge of finance and were considered to be eccentric. In our first year of existence, the Economist wrote an article saying that we were wrong, doomed to fail, that the markets were efficient, and that we were essentially wasting our time

Marty

It placed us along side some institutions in the states that were doing pioneering work employing computers to measure and predict the financial markets, and the tone of the article was quite sceptical.

Mike

Completely. They completely bought into the fact that the markets were efficient and therefore what we were doing couldn't possibly work. The industry then was very much... If you used astrological charts to predict markets then you would be at the same conference as the early trend followers.

David

Well, efficient market theory was the orthodoxy and trading systems was the heresy.

Mike

Absolutely. It was right at the lunatic fringe. (Laughter)

Niels

Now, David, I got the impression from an earlier conversation with Marty that you were out talking to potential investors in the early days and I'm curious what were the conversations like back then? What arguments did you use to make them interested in what AHL was doing? This, of course, was a few years after Dr. Lintner came out with his white paper which, to some extent, still stands today. So, was this already part of your sales pitch?

David

Yeah, I took the software that they had developed and turned into a presentation which made an excellent sales pitch. From the brokerage community, we had instant interest - all the brokers were interested and a lot of people from the commodity markets were interested. There's a kind of schism, particularly in hedge funds, people who come from the securities houses, which is the investment banks and that's generally much more respectable. Then there are people who come from the commodities background and that's much more spivvy, generally.

Mike

We charged Alexander Laing & Cruickshank 60,000 pounds to do a piece of research to explain to them why they were going to go out of business. They paid us, and then they went out of business. (Laughter)

Marty

Not as a direct result.

Mike

No. We did absolutely tell them they were doomed, but luckily they paid us before we gave them those results. Yes, and they were doomed. Their business model simply couldn't work in the new world they were in. We did it because we needed the 60,000.

David

Mike

It's sort of unsurprising because you get a world in which markets are opening up at least... Financial regulations, that's a whole other story. It's what happened next in regulations, and the emergence of technology and access to relatively cheap (though it seems expensive now) relatively cheap compared to history... It's unsurprising that simultaneously, all over the world, a number of people with similar sorts of backgrounds were doing this. I think the reason why quite a lot of that work comes from the commodities side is simply because the market structures in commodities happened to become a model for the way that other highly liquid markets then evolved. So, that became a template.

So, if you had experience in those markets you knew what to do when suddenly there was a Treasury Bond futures contract. Whereas if you're in the Treasury Bond market, you hadn't seen such a thing before and you didn't necessarily know what to do with it. We immediately knew what to do when a new financial futures market opened. There was one new one a week. We had a way of normalizing the data, so we could add it to our portfolio immediately and see an immediate diversification benefit, and know exactly how to exploit it.

I think that's the reason why people from a commodities background were involved in this around the world, in systematic trading, and that's because of the long history of futures markets and commodities.

Niels

Marty

I do remember us having the conversations about building something that would outlast us, but I don't think we thought too hard about whether it would or not. There was an element both of being able to encode the rule sets of the money management that was more robust than any discretionary trader shooting from the hip. I think we also institutionalized the research and development process. I think there was a bit of a feeling of that's a nice looking business. We went on to do the different things that each of us did..

David

I think, at that stage in life, I assumed when I left the room everyone else disappeared. (Laughter)

Mike

I certainly didn't think that AHL would go on to great success. Not particularly because I thought the Man Group wouldn't do a good job. That was clearly part of it. More, because at every stage in the life of AHL the dominant thought for me was always, "This can't last. We've found some things here and we've encoded them and surely that edge is going to be taken away from us at any moment." That always gave all of us a great sense of urgency. So we were always in a tearing hurry because we assumed that this would be taken away from us if we didn't keep moving and moving fast. I assumed that there was a very limited life in what we were doing.

When we sold to the Man Group I was extremely relieved because I didn't think there would be more than three or four more years in which it would work. Whether we were involved in it or not. Yes, I'm very surprised it's still going.