Sub Index - Multi Strategy Systematic
This cohort of funds contains both Alternative Risk Premia (ARP) strategies and more actively managed quantitative multi-strategy offerings. As the name suggests, the underlying strategy allocations are systematic in nature, with the allocation to the underlying strategies generally rules based.
Strategy AUM
31 December 2023
£1.2b
-27.7% YoY
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.9 | 1.3 | 2.2 | |||||||||||
2023 | 0.2 | 1.2 | -1.0 | 0.8 | -0.2 | 1.1 | 0.1 | 0.8 | 0.9 | -0.2 | 0.4 | 0.4 | 4.5 | |
2022 | -0.3 | -0.5 | 0.6 | 1.4 | 0.3 | -1.1 | 0.2 | 0.1 | 0.5 | 1.4 | -0.3 | -0.3 | 2.0 | |
2021 | 0.1 | 0.0 | 2.2 | 0.8 | 1.5 | -0.3 | 3.1 | 0.3 | -1.1 | -0.2 | -0.5 | 1.8 | 8.0 | |
2020 | -0.3 | -2.8 | -4.5 | 0.3 | -0.4 | -0.8 | 0.9 | -0.2 | -0.2 | -1.0 | 0.5 | 1.1 | -7.2 | |
2019 | 0.9 | 0.1 | 0.9 | 0.4 | -1.3 | 1.5 | 1.3 | 0.1 | -0.5 | -0.7 | 0.3 | -0.5 | 2.4 | |
2018 | 1.3 | -2.3 | 0.0 | -0.1 | -1.0 | -0.5 | 0.1 | -0.3 | -0.2 | -1.2 | -0.6 | -0.4 | -5.3 | |
2017 | -0.1 | 2.0 | 0.2 | 0.4 | 0.2 | -0.8 | 0.8 | 1.1 | -0.5 | 1.4 | 0.5 | 0.3 | 5.3 | |
2016 | 0.5 | 0.5 | 0.8 | -0.9 | 0.2 | 1.4 | 1.0 | -0.1 | 0.5 | -0.4 | -0.5 | 0.7 | 3.8 | |
2015 | 2.2 | 0.9 | 1.2 | -1.1 | 0.6 | -2.2 | 1.6 | -2.0 | 0.9 | 0.2 | 0.3 | -0.4 | 2.1 | |
2014 | -2.2 | -0.6 | 1.6 | 1.0 | 2.9 | 1.5 | 0.0 | 1.4 | -0.8 | -1.2 | 2.1 | 0.0 | 5.6 | |
2013 | 2.4 | -0.3 | 0.3 | 0.7 | -1.3 | -3.3 | 0.1 | -2.2 | 1.0 | 2.7 | 1.3 | -0.7 | 0.6 | |
2012 | 2.9 | 2.6 | -1.7 | -2.6 | 0.7 | 0.0 | 1.8 | -1.8 | 3.1 | 0.9 | 1.1 | 0.5 | 7.3 | |
2011 | 0.3 | -1.4 | 1.5 | 1.8 | 0.6 | -1.5 | -1.1 | -3.6 | -1.4 | 6.2 | -5.5 | 2.7 | -1.9 | |
2010 | -2.5 | -2.7 | 1.6 | -3.6 | -4.1 | 0.0 | 3.1 | -1.8 | 2.7 | 2.4 | -3.4 | 2.7 | -5.9 | |
Show all |
Index Constituents
Name | Inception Date | Geography | AUM | AMC | Perf. Fee | Hurdle | Min Inv. | Liquidity | MTD | YTD | 2023 | 1W | 1M | 3M | 6M | 1Y | 2Y | 3Y | ISIN | Liquidity | Domicile | Inv. Adviser | Portfolio Manager | UN PRI Signatory | Companywide ESG Policy | SFDR | ESG Data Integration | Active Ownership | ESG Exclusion List | Return Consistency Percentile Rank |
Performance Percentile Rank |
Diversifier Percentile Rank |
Downside Protection Percentile Rank |
Low Risk Percentile Rank |
||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQR Systematic Total Return UCITS Fund | Feb 2017 | Global | £225m | 1.25% | 0% | No | 100,000 | Daily | 4.1 | 11.1 | 12.9 | 3.3 | 5.7 | 11.4 | 11.9 | 27.2 | 36.5 | 71.7 | LU1532680888 | Daily | Luxembourg | AQR Capital Management | John Huss, Andrea Frazzini,... | Yes | Yes | Article 6 | Yes | Yes | Yes | 76 | 100 | 99 | 97 | 57 | ||
Assenagon Balanced EquiVol | Nov 2020 | Global | £93m | 0.60% | 0% | No | 125,000 | Daily | -0.2 | 1.4 | 7.8 | 0.2 | -0.4 | 1.4 | 2.3 | 5.3 | 0.4 | 8.9 | LU2249891487 | Daily | Luxembourg | Assenagon Asset Management ... | Daniel Jakubowski, Dorian R... | Yes | Yes | Article 8 | Yes | Yes | N/A | 63 | 54 | 59 | 42 | 64 | ||
BlackRock Systematic Multi-Strategy ESG Screened Fund | Jun 2021 | Global | £61m | 0.90% | Daily | 1.0 | 1.7 | 6.0 | -0.1 | 1.4 | 2.3 | 5.9 | 8.7 | 7.0 | IE00BKPSQG65 | Daily | Ireland | BlackRock Investment Manage... | BlackRock IM | Article 8 | ||||||||||||||||
BNP THEAM - Absolute Alpha | Aug 2015 | Global | £14m | 0.54% | 1,000,000 | Daily | 0.7 | 1.3 | -0.4 | 1.1 | -0.4 | 1.4 | -0.7 | 5.4 | -4.6 | -3.4 | LU1120439341 | Daily | Luxembourg | BNP Paribas Asset Management | Marie Barberot | 44 | 20 | 78 | 59 | 33 | ||||||||||
CS (Lux) Liquid Alternative Beta | Jul 2016 | Global | £371m | 0.85% | 500,000 | Daily | 0.0 | 1.9 | 3.5 | 0.0 | 0.7 | 2.3 | 3.0 | 6.2 | 1.3 | 3.2 | LU1394301409 | Daily | Luxembourg | Credit Suisse Asset Managem... | Credit Suisse Asset Managem... | Article 6 | 57 | 48 | 25 | 30 | 67 | |||||||||
Diversified Systematic Fund | Apr 2022 | Global | 0.00% | 0% | No | 0 | Daily | 0.0 | IE00001AGYX7 | Daily | Ireland | Santander Asset Management | Santander Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||||||||
EGA Systematic Alpha UCITS Fund | Global | 1.00% | 15% | Yes | 5,000,000 | Daily | 0.0 | IE0006IZ2J21 | Daily | Ireland | European and Global Adviser... | Article 6 | ||||||||||||||||||||||||
First Private Wealth | Nov 2008 | Global | £68m | 0.50% | 10% | Yes | 1,000,000 | Daily | 1.0 | 2.1 | 6.5 | -0.6 | 2.2 | 2.8 | 3.5 | 8.0 | 5.4 | 14.1 | DE000A0KFUX6 | Daily | Germany | First Private Investment Ma... | Yes | Yes | Article 8 | Yes | Yes | Yes | 88 | 81 | 30 | 47 | 88 | |||
Fortem Capital Alternative Growth Fund | May 2019 | Global | £30m | 0.60% | 0% | No | 1 | Daily | 0.6 | 1.1 | 0.1 | 0.0 | 0.7 | 1.5 | 3.3 | -0.1 | 2.1 | 1.0 | IE00BJ116W86 | Daily | Ireland | Fortem Capital | No | Yes | Article 6 | No | N/A | N/A | 51 | 28 | 59 | 85 | 81 | |||
Goldman Sachs Absolute Return Tracker Portfolio | Jan 2015 | Global | £707m | 0.65% | 1,000,000 | Daily | 0.4 | 2.6 | 10.6 | -0.1 | 1.1 | 3.3 | 6.1 | 11.7 | 9.8 | 9.7 | LU1103307580 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 48 | 57 | 6 | 17 | 56 | ||||||||||
GS Alternative Beta | Jun 2008 | Global | £221m | 0.50% | Daily | 0.4 | 1.0 | 8.3 | 0.0 | 1.1 | 1.7 | 4.4 | 9.3 | 5.0 | 10.0 | LU0370038324 | Daily | Luxembourg | Goldman Sachs Asset Management | Willem Van Dommelen | 48 | 67 | 8 | 18 | 65 | |||||||||||
LFIS Vision UCITS - Diversified Market Neutral | May 2014 | Global | £53m | 1.25% | 15% | Yes | 0 | Daily | 2.6 | 2.6 | 3.7 | 7.2 | 12.3 | 13.1 | LU1162198839 | Daily | Luxembourg | LFIS Capital | Guillaume Dupin | No | Yes | Article 6 | No | No | No | 87 | 61 | 87 | 82 | 97 | ||||||
LFIS Vision UCITS – Quant Global Allocation | Jul 2015 | Europe | £40m | 0.60% | 15% | Yes | 0 | Daily | 0.6 | 0.6 | 6.7 | -0.3 | 1.1 | 1.0 | 4.6 | 7.3 | 6.1 | 11.2 | LU1966095553 | Daily | Luxembourg | LFIS Capital | Edouard Laurent-Bellue, Ach... | No | Yes | Article 8 | No | No | Yes | 86 | 70 | 18 | 32 | 85 | ||
LGT Dynamic Protection UCITS | Jan 2017 | Global | £51m | 0.75% | 0% | No | 1,000,000 | Daily | 0.4 | -1.3 | -2.3 | -0.3 | 0.8 | -0.3 | -1.4 | 0.0 | -5.0 | -15.1 | IE00BD365334 | Daily | Ireland | LGT Capital Partners | LGT Capital Partners | Yes | Yes | Article 6 | No | N/A | N/A | 9 | 4 | 52 | 80 | 19 | ||
Man AHL Target Growth Alternative | Jan 2021 | Global | £28m | 0.60% | 0% | No | 1,000,000 | Daily | 1.2 | 3.4 | 10.9 | 0.1 | 2.5 | 4.9 | 8.9 | 13.0 | 8.2 | 5.0 | IE00BNDVWZ94 | Daily | Ireland | Man Group Plc | Russell Korgaonkar, Otto va... | No | Yes | Article 6 | No | N/A | N/A | |||||||
Nomura Fixed Income Risk Premia | Jul 2018 | Global | £1m | 0.50% | 10% | 1,000,000 | Daily | -0.6 | 4.4 | 7.7 | 1.4 | 1.9 | 5.6 | -0.7 | 20.6 | 42.9 | 51.4 | IE00BF51ZC98 | Daily | Ireland | Nomura Alternative Investme... | 61 | 96 | 91 | 95 | 43 | ||||||||||
Nordea 1 - Alpha 10 | Sep 2009 | Global | £3.3b | 1.00% | No | 75,000 | Daily | 0.2 | 1.2 | -2.8 | 0.2 | -0.6 | 0.9 | -1.7 | -2.0 | -1.3 | 4.5 | LU0445386955 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 37 | 30 | 68 | 31 | 51 | |||
Nordea 1 - Alpha 15 | Aug 2011 | Global | £3.2b | 1.20% | No | 75,000 | Daily | 0.3 | 1.3 | -5.5 | 0.3 | -1.0 | 0.9 | -2.9 | -4.5 | -4.0 | 4.3 | LU0607983383 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 30 | 37 | 67 | 19 | 34 | |||
Nordea 1 - Alpha 7 | May 2018 | Global | £407m | 0.90% | No | 75,000 | Daily | 0.2 | 1.1 | -1.2 | 0.2 | -0.3 | 1.0 | -0.5 | -0.5 | 0.1 | 3.7 | LU1807426629 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 56 | 36 | 65 | 37 | 72 | |||
Schroder GAIA Two Sigma Diversified | Aug 2016 | Global | £283m | 1.40% | 20% | 500,000 | Weekly | 0.9 | 4.5 | 12.5 | 0.1 | 2.0 | 4.0 | 11.3 | 13.1 | 17.6 | 35.6 | LU1429039115 | Weekly | Luxembourg | Two Sigma | Geoff Duncombe | Article 6 | 80 | 86 | 79 | 89 | 66 | ||||||||
Schroder ISF Cross Asset Momentum Component | Jul 2018 | Global | £371m | 0.60% | 5,000,000 | Daily | 0.5 | 3.2 | 0.8 | 0.7 | 0.8 | 3.4 | 1.4 | 6.2 | 7.9 | 11.8 | LU0487285610 | Daily | Luxembourg | Schroders | Multi-Asset Investment Team | Article 6 | 87 | 56 | 71 | 85 | 89 | |||||||||
SEI Liquid Alternative | Nov 2015 | Global | £713m | 0.75% | Daily | 0.6 | 4.4 | 4.3 | 0.7 | 1.5 | 4.5 | 5.3 | 11.8 | 17.7 | 18.2 | IE00BYXVWD44 | Daily | Ireland | DBi | Dynamic Beta Investments | 60 | 76 | 93 | 81 | 76 | |||||||||||
THEAM Quant-Cross Asset High Focus | Nov 2021 | Global | £806m | 0.76% | 0% | No | 100,000 | Daily | 1.7 | -1.1 | 2.3 | 1.3 | 0.8 | -2.6 | -7.5 | 0.9 | 16.0 | LU2346216455 | Daily | Luxembourg | BNP Paribas Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||
Trium Alternative Growth Fund | Sep 2021 | Global | £83m | 0.80% | 0% | No | 5,000,000 | Daily | -0.5 | -0.4 | 2.7 | -0.1 | -2.0 | -0.4 | 0.7 | 2.0 | 4.2 | IE00BP2C4N93 | Daily | Ireland | Trium Capital | Toby Hayes | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||
U Access (IRL) Campbell Absolute Return UCITS | Jun 2020 | Global | £283m | 1.05% | 15% | Yes | 100 | Daily | 2.0 | 6.8 | 1.0 | 1.1 | 4.0 | 8.1 | 2.8 | 5.2 | 21.1 | 38.7 | IE00BKYBHH48 | Daily | Ireland | Campbell & Company | Campbell & Company Investme... | No | No | Article 6 | No | N/A | N/A | 76 | 96 | 81 | 99 | 78 | ||
VIA Absolute Return | Mar 2016 | Global | £25m | 0.87% | 10% | 200,000 | Daily | 0.6 | 3.0 | 3.1 | 0.3 | 1.2 | 3.3 | 3.8 | 6.2 | 3.6 | 5.4 | LU1369534786 | Daily | Luxembourg | Veritas Investment Associates | Guillaume Dolisi, Laurent Pla | Article 6 | 73 | 46 | 29 | 39 | 77 | ||||||||
Winton Diversified Fund (UCITS) | Jul 2017 | Global | £79m | 0.85% | 18% | Yes | 50,000 | Daily | 0.6 | 6.1 | 5.0 | 1.2 | 1.3 | 5.5 | 4.0 | 13.4 | 16.5 | 29.9 | IE00BYWTYX35 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 96 | 91 | 60 | 92 | 84 |
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