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
2021 -0.4 0.8 0.6 0.3 0.3 0.0 -0.6 0.5 1.4
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
KLS Arete Macro Opportunistic 9.3
BH Absolute Return Government Bond Fund Opportunistic 8.3
H2O MultiReturns Opportunistic 8.3
PGIM QMAW Keynes Systematic Absolute Return Systematic 8.0
GAM Star Global Rates Opportunistic 7.4
ADG Systematic Macro Systematic 6.7
Ninety One Global Macro Allocation Diversified Multi Asset 6.5
DMS P/E FX Strategy Fund Systematic 6.4
Acadian Multi-Asset Absolute Return Systematic 6.1
Prosper Global Macro Diversified Multi Asset 6.0

Bottom Funds YTD

YTD
Odey Odyssey Opportunistic -13.6
Lemanik SICAV Global Strategy Opportunistic -11.4
Quantitative Fixed Income Macro UCITS Systematic -9.2
Aspect Systematic Global Macro Fund Systematic -6.1
BlueBay Global Sovereign Opportunities Opportunistic -4.7
Manulife Macro Currency Fund Opportunistic -3.7
GAM Star Emerging Market Rates Opportunistic -3.7
Goldman Sachs Strategic Macro Bond Opportunistic -2.9
Amundi Global Macro Bonds & Currencies Diversified Multi Asset -2.8
Manulife Absolute Return Opportunities Fund Diversified Multi Asset -2.8

Strategy AUM

30 June 2021
£37.6b -17% YOY

Largest Funds

AUM
JPM Global Macro Opportunities (... £5.0b
Legg Mason Western Asset Macro ... £4.6b
Aviva Investors Multi-Strategy T... £3.9b
ASI Global Absolute Return Strat... £2.8b
Invesco Global Targeted Returns £2.5b

Largest Inflows (Q2'21 - Q2'20)

Change AUM
JPM Global Macro Opportunities (... £1.3b £5.0b
JPM Global Macro Opportunities £602m £2.0b
BH Absolute Return Government Bo... £507m £534m
Allianz Fixed Income Macro £453m £458m
Graham Macro UCITS £340m £551m

Largest Outflows (Q2'21 - Q2'20)

Change AUM
Invesco Global Targeted Returns £-5,007m £2.5b
H2O Adagio £-2,137m £1.3b
ASI Global Absolute Return Strat... £-996m £2.8b
Legg Mason Western Asset Macro ... £-756m £4.6b
Invesco Global Targeted Returns ... £-693m £1.1b

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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.