AHL Dimension A USD
Executive Summary
AHL Dimension employs a multi-strategy quantitative approach across a range of diversified systematic strategies trading liquid instruments, aiming to perform in a variety of market conditions. The Strategy seeks to capture risk premia resulting from persistent behavioral biases and structural inefficiencies in financial markets.
AHL Dimension has a dedicated research team with full access to AHL's entire research unit. The Strategy's portfolio manager is Nick Granger.
The cornerstone of AHL's investment philosophy is that financial markets frequently experience inefficiencies that are demonstrated as price trends, which may be identified through careful statistical analysis. AHL Dimension is comprised of a broad mix of high-conviction systematic strategies, spanning technical, fundamental and momentum styles. Portfolio construction methods target a maximum diversification approach which may enable the Strategy to deliver positive returns over a variety of market conditions. We believe this makes it suitable as a standalone quantitative fund, or a potential diversifier for an existing portfolio.
AHL Dimension Program's models include the following:
-Technical: Strategies designed to capture risk premia associated with a wide variety of sources: seasonality patterns, predictable price moves around major economic events, the mean-reverting nature of fixed income yield curves, for example. These will typically have holding periods of less than one month.
- Fundamental: Strategies using non price-based information to determine trading signals. These might be, for example, carry strategies in FX, fixed income, and commodity instruments and long-short equity models based on fundamental data. These will typically have holding periods of three to six months.
- Momentum: AHL has experience in these models for over a quarter of a century and momentum itself has been shown to persist in markets for well over a century. Momentum strategies have holding periods of between two and three months.
AHL Dimension is represented by AHL Strategies PCC Limited: Class B AHL Dimension USD Shares from 3 July 2006 to 31 May 2014, and by AHL Dimension (Cayman) Ltd - F USD Shares Class from 1 June 2014. Fees are simulated 1.5% Management Fee and 20% Performance Fee.
NICK GRANGER is Portfolio Manager of AHL Dimension, Man AHL's ('AHL')'s systematic multi-strategy product. He also has responsibility for cross asset-class research across AHL, including development of AHL's systematic volatility trading strategies. Nick joined AHL in 2008 from JP Morgan where he worked as an equity derivatives strategist developing quantitative trading strategies. Nick holds a BA in mathematics from the University of Oxford and a PhD in Mathematical Logic from University of Manchester.
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