Our monthly performance report highlights the ten best and worst performing funds in each strategy, both for the prior month and the year to date. Featured funds this month include:
BANOR SICAV Greater China Equity
For the full report, please download below:
A multi-asset macro fund which aims to generate returns of cash plus 5% from a multi-strategy, multi asset investment approach. Since inception, the fund has generated an annualised return of 1.7% with a volatility of 4%. Compared to its stated aim of cash +5%. Having said that, the volatility of the fund has also been significantly below its stated objective of half of the volatility of equity markets. Attribution data from Aviva Investors highlights that the weaker period of returns experienced recently is largely due to the ‘hit rate’ of ideas in the portfolio which has dropped below the long run average, with more losers than winners.
The firm’s flagship strategy, Millburn Diversified Program, has one of the longest track records of any systematic strategy back to 1977. What started out as a simple trend following strategy has evolved over time and now combines multi-factor statistical learning using both traditional and non-traditional data sources with trend following. The multi- factor models look to exploit a range of different approaches and data sources including fundamental, seasonality, and volatility. In aggregate these strategies show low correlation to trend following (0.4) helping to smooth out the often volatile nature of pure momentum strategies while driving returns during range bound or choppy market environments.
After a very difficult October, alternative strategies have continued to suffer in November. Managed Futures are having a particularly tough time, with the AH Managed Futures Index down an estimated 2.0% MTD following a fall of 3.2% in October. In this flash performance report we look at MTD returns from across the alternative UCITS universe.
Monthly Fund Performance Report - November 2018
Aviva Investors Multi-Strategy Target Return
MLIS Millburn Diversified UCITS
Flash Performance Report - November 2018 MTD
AH UCITS Index
|AH Global Index||-0.67||-0.6||-3.9||-3.7||3.6|
|AH Credit Index||-0.68||-0.2||-2.2||-2.2||1.5|
|AH Equity Long / Short Index||-0.57||-1.1||-3.1||-2.6||6.9|
|AH Event Driven Index||0.33||-0.7||-2.3||-1.7||1.5|
|AH FX Index||-1.77||0.6||-3.5||-3.3||-3.8|
|AH Macro Index||-0.17||-0.4||-3.4||-3.7||1.7|
|AH Managed Futures Index||-1.42||0.0||-10.2||-9.8||2.6|
|AH Market Neutral Index||-1.69||0.2||-3.4||-3.5||1.4|
|AH Multi Asset Index||-0.16||-1.0||-4.6||-4.0||6.2|
Top Funds Last 30 Days
|Assenagon Alpha Volatility||Volatility Arbitrage||5.7|
|Garraway Financial Trends||Managed Futures||4.9|
|Polar Capital UK Absolute Equity||Equity Long / Short||4.2|