Mulvaney Capital Management Ltd., a $127 million managed futures fund based in London, rose 57 percent in the first two months of 2008, the most recent data available. The same program was down 33 percent in July and August. “This time the boot is on the other foot,” said Colin Lloyd, head of investor relations at Mulvaney Capital. “For a systematic manager one of the greatest difficulties is to resist the temptation to say the world has changed and start recalibrating the model.” Managed futures suffer their worst performance when markets suddenly reverse, explaining why some funds gave up gains in March when crude oil, wheat and gold fell from highs. David Harding, one of the original partners in AHL, said an “agnostic” approach to investing often has critics ready to pounce. “Most people believe it doesn’t work, or it did it soon won’t work,” said Harding, founder of Winton Capital, which oversees $13.6 billion. “We almost never do anything based on our opinions. If we do, it’s based on opinions about mathematical phenomenon and statistical distribution, not opinions about Fed policy.”
Mulvaney and Winton are both systematic trend traders.