Macro

Strategy Research, 12 Oct 2020

Index Research Funds

AH Macro UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.2 -1.4 -5.8 1.5 2.0 0.6 0.8 1.0 -0.7 0.0 2.4 1.1 1.0
2019 1.5 0.1 0.4 0.7 -0.4 1.0 0.3 0.3 0.9 0.5 -0.1 1.1 6.3
2018 1.3 -0.8 -0.7 0.4 -1.3 -0.6 0.4 -1.6 0.3 -0.6 -0.2 -0.3 -3.8
2017 -0.2 0.1 0.5 0.2 0.3 0.3 0.1 0.0 0.4 0.4 -0.3 -0.3 1.7
2016 -0.7 -0.7 0.3 0.5 0.0 -1.0 0.8 0.1 -0.4 1.1 -1.0 1.0 0.0
2015 0.9 0.7 0.2 0.1 0.4 -1.1 0.1 -1.2 -1.3 0.7 -0.1 -0.8 -1.4
2014 -0.8 0.4 0.1 -0.3 0.7 -0.5 0.1 0.0 0.7 -0.4 0.5 -0.7 -0.3
2013 1.2 0.0 0.1 0.5 0.8 -1.4 0.1 -0.7 0.2 0.8 0.1 0.5 2.3
2012 1.3 1.0 -0.3 -0.9 -1.1 -0.2 0.9 0.3 0.4 -0.2 0.1 0.4 1.7
2011 -0.5 0.6 -0.1 0.4 -0.7 -1.5 -0.2 -1.7 -1.5 1.1 -0.3 0.2 -4.1
2010 -0.2 0.8 1.9 0.4 -2.5 -1.0 0.4 1.1 1.3 0.0 0.1 1.4 3.7
Download Index Return Series

Top Funds YTD

YTD
H2O MultiReturns Opportunistic 2.1
KLS Arete Macro Opportunistic 2.0
ASI Global Focused Strategies Diversified 1.9
PGIM QMAW Keynes Systematic Absolute Return Systematic 1.8
HI Sibilla Macro Fund Opportunistic 1.7
PrivilEdge - Graham Quant Macro Systematic 1.7
Odey Odyssey Opportunistic 1.5
Invesco Macro Allocation Strategy Systematic 1.5
U Access (IRL) Trend Macro Opportunistic 1.4
Bellevue Funds (LUX) BB Global Macro Opportunistic 1.3

Bottom Funds YTD

YTD
Artemis Strategic Assets Opportunistic -2.6
Legg Mason Western Asset Macro Opportunit... Opportunistic -2.2
IPM Systematic Macro UCITS Systematic -1.3
DMS P/E FX Strategy Fund Systematic -1.2
Aspect Systematic Global Macro Systematic -0.8
GAM Star Emerging Market Rates Opportunistic -0.7
Aviva Investors Multi-Strategy Target Income Diversified -0.6
AXA World Funds - Chorus Systematic Macro Systematic -0.5
Acadian Multi-Asset Absolute Return Systematic -0.5
Aviva Investors Multi-Strategy Target Return Diversified -0.5

Strategy AUM

30 September 2020
£43.3b -21% YOY

Largest Funds

AUM
Invesco Global Targeted Returns £7.0b
Legg Mason Western Asset Macro ... £5.3b
ASI Global Absolute Return Strat... £3.9b
JPM Global Macro Opportunities (... £3.7b
Aviva Investors Multi-Strategy T... £3.4b

Largest Inflows (Q3'20 - Q3'19)

Change AUM
Lyxor / Bridgewater Core Global ... £288m £816m
KLS Arete Macro £282m £511m
Lemanik SICAV Global Strategy £105m £418m
Fulcrum Diversified Absolute Ret... £103m £186m
Graham Macro UCITS £102m £277m

Largest Outflows (Q3'20 - Q3'19)

Change AUM
Invesco Global Targeted Returns £-3,302m £7.0b
ASI Global Absolute Return Strat... £-3,066m £3.9b
Invesco Global Targeted Returns ... £-1,198m £1.7b
Aviva Investors Multi-Strategy T... £-948m £3.4b
IPM Systematic Macro UCITS £-770m £121m

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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.