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The Automated Trader Interview

Published in Automated Trader Magazine Issue 22 Q3 2011

Sonia Schulenburg is CEO of Level E Capital, and thus the principal human intelligence behind the MAYA Fund, which uses 'cutting-edge advances' in artificial intelligence to make its investment decisions. The fund has been fully invested since January 2011. Dr Schulenburg says: "Since then we have been proud to be ranked consistently in the Top 10 Long/Short Equity funds by the global hedge fund databases we report to, both in performance and low volatility." That's quite something, and William Essex went to find out more.

Sonia Schulenburg is CEO of Level E Capital

William Essex: Tell us a bit about your background. You're widely described as a 'former academic'. What took you from there to here?

Sonia Schulenburg: I joined an investment bank after I graduated with a BEng in Computer Engineering because I wanted to learn more about fund management. My interest was to model the behaviour of financial traders and develop a fully systematic investment management process, but as the problem is fairly complex, I quickly realised I needed to learn more about artificial intelligence. I felt the answer was there, but did not know exactly how to get to it.

So I left the Bank, completed a PhD in AI, became a scientist, and then went back to fund management.

I chose Edinburgh University for my PhD because it is one of the world's leading artificial intelligence research centres, and Edinburgh is also very strong in fund management, so I thought it was the perfect place to bridge the gap between these two quite distinct areas.

William Essex: Could you talk about performance to date? Also, what upgrades, enhancements, plain old changes (if any) have you made to the overall process since the fund began live trading?

Sonia Schulenburg: Since the initial production phase in 2007, the MAYA technology has undergone several significant stages of development. We have gone through these stages in parallel with stages of beta testing, paper trading and live trading.

It was like building a 300 bedroom hotel but having to operate it commercially while it was being built. We had to 'rent the rooms' that were available (2 or 3 at a time) while the rest of the infrastructure - like pools, restaurants and more rooms - were being developed. And we also had to raise finance to build the hotel at the same time! This, as you can appreciate, makes the challenge so much harder. I cannot begin to describe how hard conditions have been for us.

However, managing change is key and I am proud of how we have performed considering the difficulties we had to overcome. Now, let me leave the analogy and go back to the fund.

Live trading with a managed account for Sir Peter Burt, our long-term backer and investor, began in June 2008. This account had a limited amount of funds and therefore we could only trade one or two of our strategies, but we kept trading the fund. Then in August 2009 we started a second live trading phase with a larger pension fund account from another of our long-term backers, my husband Mark Calvert.

Then with seed capital from Baillie Gifford, the MAYA Fund officially went live in mid-April 2010. Despite significant financial limitations during this period (June 2008 to April 2011), which did not allow us to launch with the fully developed infrastructure that we have today, the fund has produced highly competitive real time results that are in line with back tested performance, as well as exhibiting low volatility and low correlation with the market.

The full technical infrastructure has been in place and the fund has been fully invested since January 2011. Since then we have been proud to be included in the Top 10 Long/Short Equity funds for our category in global hedge fund data bases.

This year, which is a difficult one not only for quant and CTA funds but also for long-only funds, our returns.....

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