Systematic Macro

Strategy Research, 12 Oct 2020

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 -0.9 -0.1 0.5 0.1 0.5 0.0 0.6 0.2 1.1
2020 -0.9 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -0.7 -0.9 1.7 1.0 -1.8
2019 0.5 0.3 1.4 1.6 -0.3 0.6 0.7 0.7 -0.9 0.1 0.1 0.6 5.4
2018 1.8 -3.1 -0.4 0.9 -0.5 -0.9 -0.3 -0.7 0.0 -1.6 -0.4 1.1 -4.0
2017 -0.3 0.8 -0.2 -0.2 0.2 -1.9 0.8 1.2 -0.1 2.0 0.2 0.5 3.0
2016 2.6 2.1 -1.5 0.4 -1.8 2.3 -0.2 -1.5 1.3 0.0 -3.1 -0.3 0.2
2015 3.2 0.3 1.4 -2.4 -1.4 -3.3 0.8 -2.2 0.0 -0.6 0.4 -1.6 -5.5
2014 -1.7 0.4 -0.7 0.7 2.1 2.1 -2.1 2.0 -1.2 -0.5 2.5 0.7 4.2
2013 2.1 -1.3 0.6 1.2 -3.6 -2.1 -0.5 -1.4 0.3 1.9 0.6 0.5 -1.9
2012 1.8 1.7 -3.0 -0.6 0.7 -1.6 2.0 0.4 0.4 -2.6 0.8 0.3 0.2
2011 -1.5 1.1 0.5 2.1 -1.2 -2.6 2.3 -0.6 -0.4 0.0 0.0 -1.3 -1.6
2010 -3.5 0.1 3.1 2.6 -1.9 1.0 0.6 3.2 2.3 0.9 -0.3 1.7 10.0
Download Index Return Series

Top Funds YTD

YTD
PGIM QMAW Keynes Systematic Absolute Return Systematic 8.0
ADG Systematic Macro Systematic 6.7
DMS P/E FX Strategy Fund Systematic 6.4
Acadian Multi-Asset Absolute Return Systematic 6.1
Lyxor / Bridgewater Core Global Macro Systematic 4.4
Invesco Macro Allocation Strategy Systematic 2.7
LGT Alpha Generix UCITS Systematic 1.3
PrivilEdge - Graham Quant Macro Systematic -0.3
Two Trees Systematic Global Macro Fund Systematic -2.2
AXA World Funds - Chorus Systematic Macro Systematic -2.4

Bottom Funds YTD

YTD
Quantitative Fixed Income Macro UCITS Systematic -9.2
Aspect Systematic Global Macro Fund Systematic -6.1
AXA World Funds - Chorus Systematic Macro Systematic -2.4
Two Trees Systematic Global Macro Fund Systematic -2.2
PrivilEdge - Graham Quant Macro Systematic -0.3
LGT Alpha Generix UCITS Systematic 1.3
Invesco Macro Allocation Strategy Systematic 2.7
Lyxor / Bridgewater Core Global Macro Systematic 4.4
Acadian Multi-Asset Absolute Return Systematic 6.1
DMS P/E FX Strategy Fund Systematic 6.4

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £762m
River and Mercantile Global Macro £170m
AXA World Funds - Chorus Systema... £158m
Acadian Multi-Asset Absolute Return £134m
PGIM QMAW Keynes Systematic Abso... £115m

Largest Inflows (Q2'21 - Q2'20)

Change AUM
Acadian Multi-Asset Absolute Return £50m £134m
PrivilEdge - Graham Quant Macro £38m £64m
Two Trees Systematic Global Macr... £32m £37m
DMS P/E FX Strategy Fund £22m £86m
River and Mercantile Global Macro £17m £170m

Largest Outflows (Q2'21 - Q2'20)

Change AUM
AXA World Funds - Chorus Systema... £-175m £158m
GMO Systematic Global Macro Majo... £-84m £75m
Lyxor / Bridgewater Core Global ... £-83m £762m
Invesco Macro Allocation Strategy £-35m £36m
ADG Systematic Macro £-16m £3m

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.