AH Credit UCITS Index

The Alternative UCITS Credit sector is one of the more difficult areas to develop a consistent analytical framework for, given the multiple dimensions across which credit funds can operate. Examples include the instruments they trade (sovereigns, corporate cash, etc), their sensitivity to factors such as duration, credit spreads, etc, and their targetted outcomes. With the express aim of capturing the wide breadth of sectors which are at the disposal of credit managers, we have developed a classification approach which clusters funds into five main sub-categories: 

1) Corporate Long/Short: this cohort of managers attempt to generate alpha predominantly from fundamental long and short positions in corporate credit. Despite the diversity of investment styles (Directional, Market Neutral) the majority of funds in this sub-category uses cash bonds, CDS, and derivatives on credit indices, and seek to generate alpha from these positions. 

2) Multi-Sector Credit: a Multi-Sector, and often Multi-Strategy, approach to global credit investing. Although fundamental analysis remains important, asset allocation remains a core driver of returns for these funds, with managers dynamically allocating capital to the most attractive risk-adjusted opportunities, depending on the prevailing macro environment.

3) Alternative Credit: this is, by far, the most diverse set of funds and includes those trading specialist sub-categories of the credit universe, typically from the long side. Examples include Structured Credit (ABS, CLOs, etc), Insurance Linked Securities (ILS) and Emerging Market Debt (EMD).

4) Fixed Income Arbitrage: this relatively small cohort of funds includes specialist managers who run pure RV fixed income strategies, where performance is predominately driven by the manager’s ability to exploit pricing relationships, e.g. curves’ trades, correlation trades and capital structure trades, etc.

5) Convertible Bonds: managers attempt to generate absolute returns using a variety of different strategies exploiting the asymmetry that comes with convertible bonds as well as the potential for various arbitrages to be exploited. Incremental gains can be generated through 'gamma trading' which monetises volatility by actively trading the underlying hedges. 


Strategy AUM
31 December 2023
£30.9b
-12.6% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 0.4 0.4 0.8
2023 1.6 -0.3 -0.1 0.4 0.1 0.4 0.9 0.1 0.0 -0.3 1.9 1.8 6.6
2022 -0.6 -0.9 0.0 -1.1 -0.5 -2.3 1.0 0.1 -1.8 0.1 1.4 0.5 -4.2
2021 0.3 0.4 -0.1 0.4 0.1 0.2 -0.1 0.2 0.0 -0.2 -0.5 0.3 1.0
2020 0.3 -0.1 -5.3 1.9 1.5 1.5 1.3 0.8 -0.1 0.1 2.1 0.9 4.8
2019 1.2 0.4 0.2 0.5 -0.3 1.0 0.3 -0.3 0.3 0.4 0.0 0.7 4.5
2018 0.6 -0.3 -0.5 0.0 -0.7 -0.2 0.3 -0.3 0.1 -0.6 -0.7 -0.4 -2.7
2017 0.4 0.3 0.0 0.2 0.1 0.1 0.3 0.0 -0.1 0.3 -0.1 0.0 1.5
2016 -0.7 -0.3 0.7 0.8 0.1 0.1 0.8 0.5 0.1 0.5 -0.5 0.6 2.6
2015 0.3 0.6 0.1 0.4 0.1 -0.6 -0.2 -0.5 -0.7 0.3 -0.3 -0.8 -1.2
2014 0.3 0.7 0.2 0.3 0.3 0.2 -0.2 0.0 -0.3 -0.3 0.0 -0.6 0.6
2013 0.7 0.2 0.0 0.6 0.3 -0.8 0.6 0.1 0.5 0.8 0.1 0.3 3.4
2012 1.2 1.1 0.1 -0.2 -0.1 0.5 0.6 0.5 0.5 0.6 0.4 0.6 6.0
2011 0.4 0.5 0.4 0.2 0.2 -0.3 0.0 -1.3 -1.4 1.1 -0.6 0.3 -0.5
2010 0.7 0.4 1.9 0.6 -1.5 -0.1 1.3 0.4 0.7 0.4 -0.3 0.4 4.8
Show all
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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Name Inception Date Sub-Strategy 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
Aegon Absolute Return Bond Sep 2011 Global £204m 0.30% 0% 500,000 Daily 0.5 1.1 6.2 0.1 0.8 1.6 4.2 6.1 7.3 6.5 IE00B6SPX874 Daily Ireland Aegon Asset Management Stephen Snowden, Colin Finl... Article 6 74 48 23 56 94
Algebris Global Credit Opportunities Fund Jul 2016 Global £814m 0.90% 15% 500,000 Daily 0.9 3.1 11.8 0.3 1.3 3.6 8.2 14.8 15.2 8.2 IE00BYT35D51 Daily Ireland Algebris (UK) Limited Gabriele Foà, Samuel Sibony Yes Article 8 23 51 15 23 39
Allianz Credit Opportunities Nov 2016 Global £483m 0.27% 3,000,000 Daily 0.3 1.2 4.2 0.2 0.4 1.4 2.6 4.4 2.2 1.0 LU1505874849 Daily Luxembourg Allianz GI Herve Dejonghe, Gregoire Docq Yes Article 6 Yes 25 27 10 48 63
Alma MidOcean Absolute Return Credit Jan 2016 Global £77m 1.34% 20% No 100 Weekly 0.7 1.0 10.1 0.2 1.3 1.5 3.7 7.8 9.4 10.2 LU2382212186 Weekly Luxembourg MidOcean Credit Fund Manage... Yes Yes Article 8 Yes N/A Yes 62 65 8 26 57
Alma Platinum IV Prudence Asia Credit Aug 2023 Asia £50m 1.25% 15% Yes 100,000 Daily 0.6 4.2 0.2 1.5 4.3 8.1 LU2502329852 Daily Luxembourg Prudence Yes Yes Article 8 Yes N/A N/A
Alma Platinum IV Selwood Market Neutral Credit Mar 2016 Global £46m 1.39% 20% No 10,000 Weekly 0.2 0.5 16.3 0.0 0.2 1.2 3.8 17.7 11.0 10.6 LU1769346898 Weekly Luxembourg Selwood Asset Management Sofiane Gharred No No Article 6 No N/A N/A 45 59 11 4 10
Amundi Absolute Return Credit Oct 2019 Global £52m 0.40% 15% 5,000,000 Daily 0.8 1.1 4.8 0.2 1.2 1.8 6.3 8.5 9.9 4.6 LU2052288615 Daily Luxembourg Amundi Asset Management Gregoire Pesques, Raphael M... Article 8 36 27 86 47 51
Amundi Chenavari Credit Fund Jun 2015 Europe £481m 1.40% 20% 100,000 Daily 0.7 1.6 7.7 0.2 0.9 2.0 7.4 8.9 10.9 10.5 IE00BWBXTM69 Daily Ireland Chenavari Investment Managers Demian Brasil Article 6 85 62 47 56 90
Aperture Investors SICAV - Credit Opportunities Fund Aug 2019 Global £682m 0.39% 30% Yes 100,000 Daily 0.8 1.7 5.3 0.2 1.3 2.4 4.7 6.4 6.2 8.1 LU1958553072 Daily Luxembourg Aperture Investors Simon Thorp Yes Yes Article 8 Yes N/A Yes 82 54 46 64 91
Ardea Global Alpha Fund Mar 2021 Global £296m 0.55% 0% No 100,000 Daily 0.0 0.7 3.0 0.2 -0.2 0.5 2.2 3.0 7.3 IE00BMPRV397 Daily Ireland Ardea Investment Management Ben Alexander, Gopi Karunak... Yes Yes Article 8 Yes N/A N/A
ASI Absolute Return Global Bond Strategies Mar 2011 Global £490m 0.60% 0% No 1,000,000 Daily 0.9 0.8 6.6 0.6 0.7 1.5 6.4 7.9 5.2 -2.3 LU0548158830 Daily Luxembourg Standard Life Investments Katy Forbes, Thomas Maxwell... Yes Yes Article 6 Yes N/A N/A 21 18 91 63 48
Aviva Investors Global Convertibles Absolute Return Dec 2009 Global £516m 0.75% 10% 500,000 Daily 1.0 2.3 5.2 0.1 1.3 2.8 5.5 5.9 -0.2 -5.8 LU0459997697 Daily Luxembourg Westwood Group David Clott, Shawn Mato Article 8 22 14 20 27 21
AXA IM Wave Cat Bond Fund Jan 2017 Global £147m 1.00% 0% No 1,000,000 Weekly 0.3 2.6 16.0 0.9 2.9 6.3 15.7 16.6 21.6 IE00BJXFRC58 Weekly Ireland AXA Investment Managers Yes Yes Article 6 Yes N/A N/A 78 62 40 53 75
BlackRock Global Absolute Return Bond Fund May 2012 Global £55m 0.50% No 10,000,000 Daily 0.4 1.2 -1.6 -0.1 0.7 1.3 4.0 1.2 0.3 -3.9 LU1129992563 Daily Luxembourg BlackRock Investment Manage... Simon Blundell, Joe Di Cens... Yes Yes Article 6 Yes Yes Yes 25 18 46 52 36
BlackRock Strategic Funds Fixed Income Strategies Sep 2009 Global £1.9b 0.60% 0% No 10,000,000 Daily 0.4 0.8 2.8 -0.2 0.5 1.1 3.8 4.3 4.9 1.3 LU0438336264 Daily Luxembourg BlackRock Investment Manage... Michael Krautzberger, Tom M... Yes Yes Article 6 Yes Yes Yes 46 46 58 53 50
BlueBay Emerging Market Unconstrained Bond Fund Jul 2010 Emerging Markets £374m 0.50% 10% Yes 500,000 Daily 1.3 2.5 15.6 -0.1 2.2 3.7 8.9 18.0 5.5 -3.9 LU1167329637 Daily Luxembourg BlueBay Asset Management LLP Polina Kurdyavko, Anthony K... Article 8 13 11 13 10 4
BlueBay Investment Grade Absolute Return Bond May 2011 Global £714m 1.00% 500,000 Daily 0.8 3.0 5.3 0.7 0.9 2.8 4.8 10.4 12.0 9.7 LU0627764474 Daily Luxembourg BlueBay Asset Management LLP Geraud Charpin, Raphael Rob... Article 8 71 39 52 54 69
BNY Mellon Absolute Return Bond Mar 2012 Global £253m 0.65% 500,000 Daily 0.5 2.7 8.2 -0.1 0.9 2.9 6.7 11.4 13.5 13.2 IE00B8G10T17 Daily Ireland BNY Mellon Asset Management Peter Bentley, Andrew Wickham Article 6 86 66 69 68 96
BNY Mellon Absolute Return Global Convertible Fund May 2019 Global £59m 0.75% 15% 15,000,000 Daily 0.5 1.9 -0.4 -0.1 1.1 2.0 4.2 3.8 -1.4 -3.0 IE00BJQR5F71 Daily Ireland Insight, a BNY Mellon Company Frank Campana, James Doolin Article 6 18 19 50 50 52
Boussard & Gavaudan Convertible Apr 2015 Europe £39m 0.80% 100,000 Daily 1.2 1.8 12.6 0.1 1.8 2.5 7.0 12.7 1.1 -0.3 LU1209144648 Daily Luxembourg Boussard & Gavaudan 25 28 2 4 10
Bramshill UCITS Income Performance Fund Mar 2018 US £168m 0.65% 0% No 100,000 Daily 0.2 0.7 6.9 -0.6 0.7 1.1 5.7 8.3 4.6 2.1 IE00BYVLFB58 Daily Ireland Bramshill Investments LLC Art DeGaetano Yes Yes Article 6 Yes N/A N/A 18 26 20 27 49
Butler Credit Opportunities UCITS Fund May 2017 Europe £788m 1.10% 20% 100,000 Daily 0.6 2.0 9.6 0.2 0.7 2.4 5.8 10.0 9.4 9.7 IE00BMVX1H59 Daily Ireland ML Capital Asset Management Laurent Kenigswald 62 59 8 39 74
Candriam Bonds Credit Opportunities Jul 2002 Global £516m 0.50% 20% Yes 0 Daily 0.2 0.7 5.8 0.1 0.2 0.8 2.8 5.9 4.8 3.4 LU0151325312 Daily Luxembourg Candriam Philippe Noyard, Patrick Ze... Yes Yes Article 6 No Yes Yes 38 36 5 30 52
Candriam Long Short Credit Oct 2009 Global £364m 0.50% 20% Yes 0 Daily 0.3 1.0 3.8 0.1 0.4 1.2 2.9 5.2 5.7 5.2 FR0010760694 Daily France Candriam Patrick Zeenni, CFA, Philip... Yes Yes Article 6 No Yes Yes 80 40 48 61 95
Cheyne Global Credit Fund Apr 2012 Global £95m 1.00% 10% 1,000,000 Weekly 0.5 1.5 10.5 0.1 0.7 1.6 5.3 12.6 10.9 7.8 IE00B76XH336 Weekly Ireland Cheyne Capital Sean Boland 27 49 7 27 44
CIFC Global Floating Rate Credit Fund Jan 2019 Global £65m 0.70% 0% No 1,000,000 Weekly 0.8 3.7 20.0 0.1 1.2 4.6 9.3 21.7 IE0009SO3I10 Weekly Ireland CIFC Jay Huang Yes Yes Article 6 Yes N/A N/A 51 84 24 44 44
CIFC Long/Short Credit Fund Aug 2020 Global £449m 0.50% 10% 5,000,000 Daily 0.2 0.9 4.7 0.0 0.4 1.1 2.9 5.0 6.7 8.8 IE00BK7ZST21 Daily Ireland CIFC Jason Horowitz 100 56 26 65 100
Concise Short Term High Yield UCITS Fund Nov 2016 US £86m 1.00% 0% No 1,000,000 Daily 0.8 2.1 8.7 0.2 1.5 2.7 5.5 9.7 8.7 16.8 IE00BD046N77 Daily Ireland Concise Capital Management Tom Krasner No Yes Article 6 Yes N/A N/A 93 84 32 50 92
Federated Hermes Multi-Strategy Credit Fund May 2014 Global £174m 0.65% 100,000 Daily 0.7 1.0 8.8 0.0 0.9 1.6 6.9 8.9 4.6 0.1 IE00BKRCNH63 Daily Ireland Federated Hermes Fraser Lundie, Andrey Kuzne... Article 8 10 13 2 15 13
Federated Hermes Unconstrained Credit Fund Oct 2018 Global £982m 0.65% 100,000 Daily 0.7 0.7 9.3 -0.2 1.0 1.4 7.3 8.7 2.3 -1.6 IE00BFZMZF58 Daily Ireland Federated Hermes Fraser Lundie, Andrew Jacks... Article 8 2 7 0 11 8
Fidelity Absolute Return Global Fixed Income Sep 2020 Global £22m 0.70% 10,000,000 Daily 0.2 1.4 6.8 0.3 0.7 1.7 4.4 5.4 8.0 9.0 LU2207569984 Daily Luxembourg Fidelity International Claudio Ferrarese, Tim Foster Article 6 66 48 49 59 94
Fixed Income Allocator UCITS Nov 2010 Global £204m 1.50% 10% 5,000 Daily 0.2 0.4 2.1 -0.3 0.4 1.0 1.7 1.6 8.6 6.2 LU1376833346 Daily Luxembourg Lake Geneva Investment Part... Guner Turkmen, Marc Sormani 80 42 95 74 83
Franklin K2 Cat Bond UCITS Fund Jun 2021 Global £105m 0.75% 5,000,000 Daily 0.7 3.3 13.3 0.3 1.2 3.6 6.0 14.0 14.8 LU2303826973 Daily Luxembourg K2 Advisors Michael Rich Article 8
Franklin K2 Ellington Structured Credit UCITS Fund Sep 2019 Global £61m 1.00% 0% No 5,000,000 Daily 0.6 3.1 12.8 0.2 1.0 3.7 6.8 13.3 14.9 17.5 LU2164518305 Daily Luxembourg Ellington Global Asset Mana... Mark Tecotzky, Gregory Valli No No Article 6 No N/A N/A 89 68 57 70 90
FTGF Legg Mason Brandywine Global Credit Opportunities Jun 2014 Global £16m 1.15% 0% No 15,000,000 Daily 1.0 2.5 -1.1 0.1 1.4 3.2 5.2 2.8 3.5 3.1 IE00BMMV5W18 Daily Ireland Brandywine Brian Kloss, Tracy Chen Yes Yes Article 6 No N/A N/A 16 37 80 86 78
FTGF Legg Mason Brandywine Global Fixed Income Absolute Return Apr 2012 Global £152m 0.90% 0% No 15,000,000 Daily 0.3 -1.7 3.0 -0.9 0.3 -1.0 3.3 1.5 -0.3 -3.0 IE00B5M0G930 Daily Ireland Brandywine David F Hoffman, Jack McInt... Yes Yes Article 6 No N/A N/A 11 22 22 18 29
FTGF Legg Mason Brandywine Global Income Optimiser Fund Jun 2013 Global £936m 0.55% 15,000,000 Daily 0.8 0.5 7.2 -0.3 1.2 1.4 5.3 5.6 -3.1 -7.1 IE00BBT3JP45 Daily Ireland Brandywine Article 8 4 12 12 13 16
GAM Star Cat Bond Oct 2011 Global £2.2b 1.10% 10% No 20,000,000 Biweekly 0.4 3.2 15.5 1.2 3.6 7.2 15.9 15.2 20.3 IE00B5BJCL51 Biweekly Ireland GAM Investments Fermat Capital Management LLC No No Article 6 No N/A N/A 75 79 34 51 68
Hermes Absolute Return Credit Fund May 2015 Global £236m 0.70% 100,000 Daily 0.5 1.0 4.9 0.0 0.6 1.4 4.7 5.5 3.6 0.7 IE00BWFRCV46 Daily Ireland Hermes Investment Management Fraser Lundie Article 8 22 27 1 33 46
HI Numen Credit Fund Oct 2012 Global £98m 1.50% 15% Weekly EURIBOR +1% 500,000 Weekly -0.4 0.2 -7.9 0.4 0.7 -9.4 -8.3 -10.3 -14.3 IE00B4ZWPV43 Weekly Ireland Hedge Invest SGR p.A. Filippo Lanza 18 13 58 28 11
HSBC GIF GEM Debt Total Return Jun 2007 Emerging Markets £67m 0.50% 20% 1,000,000 Daily 0.3 0.5 11.6 -0.5 1.0 1.7 6.8 10.0 5.9 -8.7 LU0283739885 Daily Luxembourg Halbis Capital Management Guillermo Osses Article 6 18 10 5 10 7
Ironshield High Yield Alpha Fund Aug 2022 Europe £37m 1.00% 15% No 100,000 Daily 9.3 0.1 3.2 7.6 IE000IZZWOT0 Daily Ireland Ironshield Capital Management No No Article 6 No N/A N/A
Janus Henderson Horizon Total Return Bond Fund Mar 2012 Global £311m 0.75% 0% No 1,000,000 Daily 0.5 -1.4 3.5 -0.8 0.3 -0.8 3.3 0.5 -7.9 -11.3 LU0756065164 Daily Luxembourg Janus Henderson Investors Andrew Mulliner, CFA, Hele... Yes Yes Article 6 Yes N/A N/A 3 8 11 20 23
JPM Income Opportunity Jul 2007 Global £877m 0.55% 20% 10,000,000 Daily 0.4 1.2 4.1 0.5 0.5 1.5 2.5 4.9 5.3 4.9 LU0323456201 Daily Luxembourg J.P.Morgan Asset Management Bill Eigen, Jeffrey Wheeler Article 6 55 35 68 72 87
Lazard Emerging Markets Total Return Debt Nov 2010 Emerging Markets £26m 0.75% 20% 250,000 Daily 0.4 -1.1 7.4 -0.3 0.7 0.0 5.0 5.2 -1.7 -11.4 IE00B4PRR915 Daily Ireland Lazard Asset Management Denise Simon, Arif Joshi Article 8 10 9 3 7 6
Lazard Rathmore Alternative Fund May 2018 Global £1.4b 1.25% 20% 1,000,000 Daily 0.7 2.7 6.0 0.0 1.2 3.0 3.0 6.4 3.9 5.8 IE00BG1V1444 Daily Ireland Lazard Asset Management Yes Yes Article 8 Yes Yes Yes 57 52 45 44 60
Leadenhall UCITS ILS Cat Bond Fund Dec 2015 Global £478m 1.00% 0% No 250,000 Biweekly 0.0 IE00BYTQ6H57 Biweekly Ireland Leadenhall Capital Partners... Luca Albertini, Lionel Dani... Yes Yes Article 8 Yes N/A N/A 76 82 64 81 33
Legal & General Strategic Bond Apr 2007 Global £519m 0.60% 0% 100,000 Daily 1.3 2.2 6.1 0.2 1.6 3.0 8.7 7.8 11.3 5.0 GB00B1TWMW95 Daily UK Legal & General Investment ... Richard Hodges 37 42 17 32 32
LGT (Lux) I – Cat Bond Fund Nov 2010 Global £396m 1.50% 100,000 Biweekly 2.6 13.3 0.5 3.0 6.0 13.3 12.6 15.0 LU0816332745 Biweekly Luxembourg LGT Capital Partners Christian Bruns, Hilary Pau... 88 67 65 69 93
Liontrust GF Absolute Return Bond Fund Jun 2018 Global £96m 0.40% 5,000,000 Daily 0.4 0.8 7.1 -0.1 0.5 1.2 4.0 6.3 6.1 4.0 IE00BD85PP71 Daily Ireland Liontrust Asset Management David Roberts, Phil Milburn... Article 8 31 36 4 39 66
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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.