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37 How to Build a Multi-Billion$ Trend-Following Firm with Martin Lueck of Aspect Capital – 1of2

“It felt a little bit like revenge of the nerds, it wasn’t something that physicists or scientists thought about doing in those days.” – Martin Lueck (Tweet)

In this episode, we get an exciting behind-the-scenes story of one of the most famous systematic trading firms of its time, AHL. Our guest is one of the firms founders and takes us from the company’s birth to its acquisition by Man Group. We also discuss how he started his next company, Aspect Capital, how he creates his trading models, and how to build and run a successful multi-billion trend-following firm. This episode is full of insights and stories that you won’t hear elsewhere.

Thank you for listening and please welcome our guest, Martin Lueck.

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In This Episode, You’ll Learn:

  • About Quantitative Investment research.
  • About Martin’s background in physics.
  • Martin’s time at his first company, AHL and how it had a profound effect on the whole managed futures industry.

    “What we and others in the industry have managed to do is democratize a new form of investment.” – Martin Lueck (Tweet)

  • How Martin met his future AHL co-founders at university.
  • Why AHL was a happy accident.

    “Michael and David and I didn’t know there was an industry doing this in the States.” – Martin Lueck (Tweet)

  • How he met his friend Michael Adam and went to work for his dad after studying in Oxford.

    “The three of us were over enthusiastic and distractible kids. Through none of this story did we have the laser-like focus that we would like to claim.” – Martin Lueck (Tweet)

  • Martin started working for Michael’s dad as well, investigate many trading models and distilling them into key concepts.

    “We typed in the back history by hand. The brokers would send us the print out of historic prices.” – Martin Lueck (Tweet)

  • In 1987 they founded AHL with David Harding after leaving Michael’s father’s business.
  • They started with $100k of investor money that bridged their split from the family business.
  • About MINT, a pioneering systematic CTA in the early 80s.
  • How they tried to articulate their trading patterns in the form of a computer trading model.
  • What the initial AHL model looked like back then.
  • How they over optimized in the beginning and had to learn things as they went along.
  • How AHL got involved with Man Group.
  • The skills that each of the 3 Founders brought to the table.
  • In 1989 Man Group took a stake in AHL.
  • How the Man buy changed their business.
  • What happened after Man’s IPO.
  • How Michael, David, and Martin went their own ways after they left AHL.

    “We all felt that that it was one chapter that had closed and it was time to move on, there was no debate.” – Martin Lueck (Tweet)

  • How Martin started Aspect Capital with Anthony Todd, Eugine Lambert and Michael Adam.
  • Why he parted ways with his other AHL founders initially and did not start AHL 2.0.
  • What he does when he is not working.
  • Aspect was founded on bringing managed futures to the institutional side of things.

    “Aspect was predicated on the belief that managed futures was too well kept a secret.” – Martin Lueck (Tweet)

  • What it looks like running 100-person+ organization.
  • What he looks for when adding new researchers and staff to his team.
  • The lessons he has learned and the mistakes he’s made in building a culture of an organization.

    “It’s an attitude and it’s a cultural fit that are the most important  features.” – Martin Lueck (Tweet)

  • About their track record and how it should be viewed.
  • Martin’s persistence in using trend following models.
  • How his models have changed and how he has dealt with risk management over the years.
  • What it means to change his models from a binary implementation to an analog implementation.

Resources & Links Mentioned in this Episode:

This episode was sponsored by Swiss Financial Services:

Connect with Aspect Capital:

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Call Aspect Capital: + 44 20 7170 9700

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“If you could just get rid of the noise, then there was a lot of information available in what the price had done that could inform what the right thing to do was.” – Martin Lueck (Tweet)