Is Man Group algorithm out of step?

Is Man Group's black box on the blink ? AHL is the computer-run fund that underpinned the group's transformation from commodity broker to hedge fund in the 1990s. It aims to identify and follow momentum in markets such as commodities, shares and bonds using various algorithms. On the whole, it has been a good advert for removing emotion from investment – an annualised return of 11.2% since 1998 is excellent. But now AHL is spilling out bad news: last week's investment performance was -3.6%. That makes a fall of 18.1% since December 2008, the biggest "drawdown" (peak-to-trough decline) in the fund's history. What's gone wrong? Nothing, says Man – the performance is "within our statistical expectations". History is on its side. The last time the "on the blink?" question was asked seriously – in 2004 – AHL bounced back strongly. Yet the suspicion lingers that trading by algorithms is now so common that the game is harder. AHL alone runs a colossal $21.7bn. It's tricky, even for a computer, to be nimble at that size.