Systematic Macro

Strategy Research, 12 Oct 2020

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.9 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -0.7 -0.9 -4.5
2019 0.5 0.3 1.4 1.6 -0.3 0.6 0.7 0.7 -0.9 0.1 0.1 0.6 5.4
2018 1.8 -3.1 -0.4 0.9 -0.5 -0.9 -0.3 -0.7 0.0 -1.6 -0.4 1.1 -4.0
2017 -0.3 0.8 -0.2 -0.2 0.2 -1.9 0.8 1.2 -0.1 2.0 0.2 0.5 3.0
2016 2.6 2.1 -1.5 0.4 -1.8 2.3 -0.2 -1.5 1.3 0.0 -3.1 -0.3 0.2
2015 3.2 0.3 1.4 -2.4 -1.4 -3.3 0.8 -2.2 0.0 -0.6 0.4 -1.6 -5.5
2014 -1.7 0.4 -0.7 0.7 2.1 2.1 -2.1 2.0 -1.2 -0.5 2.5 0.7 4.2
2013 2.1 -1.3 0.6 1.2 -3.6 -2.1 -0.5 -1.4 0.3 1.9 0.6 0.5 -1.9
2012 1.8 1.7 -3.0 -0.6 0.7 -1.6 2.0 0.4 0.4 -2.6 0.8 0.3 0.2
2011 -1.5 1.1 0.5 2.1 -1.2 -2.6 2.3 -0.6 -0.4 0.0 0.0 -1.3 -1.6
2010 -3.5 0.1 3.1 2.6 -1.9 1.0 0.6 3.2 2.3 0.9 -0.3 1.7 10.0
Download Index Return Series

Top Funds YTD

YTD
LGT Alpha Generix UCITS Systematic 3.2
Invesco Macro Allocation Strategy Systematic 2.2
Aspect Systematic Global Macro Systematic 1.8
PGIM QMAW Keynes Systematic Absolute Return Systematic -0.6
AXA World Funds - Chorus Systematic Macro Systematic -2.6
DMS P/E FX Strategy Fund Systematic -3.4
Acadian Multi-Asset Absolute Return Systematic -3.8
ADG Systematic Macro Systematic -4.1
Quantitative Fixed Income Macro UCITS Systematic -5.3
IPM Systematic Macro UCITS Systematic -5.4

Bottom Funds YTD

YTD
GAM Systematic Core Macro Systematic -7.6
AQR Global Macro Opportunities UCITS Systematic -5.5
Lyxor / Bridgewater Core Global Macro Systematic -5.4
IPM Systematic Macro UCITS Systematic -5.4
Quantitative Fixed Income Macro UCITS Systematic -5.3
ADG Systematic Macro Systematic -4.1
Acadian Multi-Asset Absolute Return Systematic -3.8
DMS P/E FX Strategy Fund Systematic -3.4
AXA World Funds - Chorus Systematic Macro Systematic -2.6
PGIM QMAW Keynes Systematic Absolute Return Systematic -0.6

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £816m
AXA World Funds - Chorus Systema... £338m
GMO Systematic Global Macro Majo... £244m
IPM Systematic Macro UCITS £121m
PGIM QMAW Keynes Systematic Abso... £113m

Largest Inflows (Q3'20 - Q3'19)

Change AUM
Lyxor / Bridgewater Core Global ... £288m £816m
PGIM QMAW Keynes Systematic Abso... £89m £113m
River and Mercantile Global Macro £71m £98m
DMS P/E FX Strategy Fund £51m £109m
Acadian Multi-Asset Absolute Return £30m £44m

Largest Outflows (Q3'20 - Q3'19)

Change AUM
IPM Systematic Macro UCITS £-770m £121m
ADG Systematic Macro £-111m £18m
Invesco Macro Allocation Strategy £-96m £64m
GMO Systematic Global Macro Majo... £-77m £244m
AQR Global Macro Opportunities U... £-45m £27m

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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.