Market Neutral Systematic

Strategy Research, 18 Jun 2020

Index Research Funds

Sub Index - Market Neutral Systematic

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.5 -1.6 -4.3 0.8 -0.6 -0.3 0.8 -0.7 0.2 -6.2
2019 0.5 -1.6 -0.4 -1.7 0.5 -0.1 -0.5 -0.7 -0.7 -0.7 -0.5 -0.6 -6.4
2018 0.7 -1.2 0.3 0.2 0.2 -1.1 -0.1 0.1 -0.3 -1.1 -2.2 0.9 -3.6
2017 0.2 1.0 0.0 0.1 -0.9 -0.3 0.8 1.0 -0.6 1.1 -0.1 -0.4 2.0
2016 -0.3 -0.1 0.8 -1.4 -0.7 -1.0 0.6 -1.2 0.6 0.0 -0.3 0.1 -2.8
2015 0.8 -0.3 0.4 -1.4 0.8 0.2 0.8 0.2 1.6 -0.7 0.5 1.7 4.7
2014 1.1 0.4 0.2 -0.4 0.3 0.0 0.1 0.0 0.9 0.8 0.8 1.3 5.7
2013 1.2 1.7 1.3 1.6 -0.1 1.0 0.3 -0.6 0.3 1.0 0.6 0.4 9.2
2012 -0.1 0.7 0.9 0.2 0.1 0.5 0.6 0.1 0.5 0.9 0.0 -0.6 4.0
2011 0.5 0.7 0.6 0.6 0.8 0.2 1.2 0.8 -0.6 -0.3 0.5 1.2 6.5
2010 0.5 0.2 0.5 -0.1 -0.8 -0.8 -0.5 0.0 1.0 0.6 0.9 -0.1 1.5
Download Index Return Series

Top Funds YTD

YTD
AXA World Funds - Chorus Equity Market Neu... Systematic 10.8
Marshall Wace - MW Systematic Alpha UCITS ... Systematic 7.4
Seven Fortress Fund Systematic 5.5
Quantology Absolute Return Systematic 5.3
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 4.0
Osmosis Resource Efficient Equity Market N... Systematic 2.5
RAM Long/Short Global Equities Systematic 1.2
Merian Global Equity Absolute Return Systematic -0.9
BNP THEAM Quant - Equity World DEFI Market... Systematic -1.1
RAM Long/Short European Equities Systematic -1.8

Bottom Funds YTD

YTD
Invesco Global Equity Market Neutral Systematic -23.9
KLS Zebra Global Equity Beta Neutral Systematic -17.9
Schroder ISF QEP Global Equity Market Neutral Systematic -13.0
Plato Global Market Neutral Fund Systematic -11.4
FORT Global UCITS Equity Market Neutral Systematic -7.8
Schroder GAIA Two Sigma Diversified Systematic -5.7
RAM Long/Short Emerging Markets Equities Systematic -5.7
ERAAM Long/Short Equity Market Neutral Systematic -5.0
JL Equity Market Neutral Systematic -4.0
Blackrock Americas Diversified Equity Abso... Systematic -2.2

Largest Systematic Funds

AUM
Schroder GAIA Two Sigma Diversified £1.1b
Merian Global Equity Absolute Re... £1.1b
Marshall Wace - MW Systematic Al... £1.0b
Lumyna - Marshall Wace TOPS (Mkt... £831m
Blackrock Americas Diversified E... £734m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
ERAAM Long/Short Equity Market N... £30m £31m
Osmosis Resource Efficient Equit... £4m £49m
Osmosis Resource Efficient Equit... £0m £49m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
Merian Global Equity Absolute Re... £-5,686m £1.1b
Merian Global Equity Absolute Re... £-3,753m £1.1b
Lumyna - Marshall Wace TOPS (Mkt... £-1,202m £831m
Lumyna - Marshall Wace TOPS (Mkt... £-939m £831m
Marshall Wace - MW Systematic Al... £-457m £1.0b

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