Systematic Macro

Strategy Research, 31 Aug 2022

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -0.4 -0.7 1.1 3.9 -1.1 0.6 0.3 0.7 1.0 0.2 -1.9 3.6
2021 -0.9 -0.1 0.5 0.1 0.5 0.0 0.6 0.2 -0.7 -2.1 0.4 0.9 -0.6
2020 -0.9 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -0.7 -0.9 1.7 1.0 -1.8
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
DMS P/E FX Strategy Fund Systematic 19.6
PGIM Wadhwani Keynes Systematic Absolute R... Systematic 10.8
PrivilEdge - Graham Quant Macro Systematic 10.2
Aspect Systematic Global Macro Fund Systematic -1.1
Lyxor / Bridgewater Core Global Macro Systematic -2.4
Acadian Multi-Asset Absolute Return Systematic -2.7
GMO Systematic Global Macro Major Markets Systematic -2.8
Manulife Macro Currency Fund Systematic -10.4
Invesco Macro Allocation Strategy Systematic -13.0

Bottom Funds YTD

YTD
Invesco Macro Allocation Strategy Systematic -13.0
Manulife Macro Currency Fund Systematic -10.4
GMO Systematic Global Macro Major Markets Systematic -2.8
Acadian Multi-Asset Absolute Return Systematic -2.7
Lyxor / Bridgewater Core Global Macro Systematic -2.4
Aspect Systematic Global Macro Fund Systematic -1.1
PrivilEdge - Graham Quant Macro Systematic 10.2
PGIM Wadhwani Keynes Systematic Absolute R... Systematic 10.8
DMS P/E FX Strategy Fund Systematic 19.6

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £802m
DMS P/E FX Strategy Fund £200m
PGIM Wadhwani Keynes Systematic ... £164m
Aspect Systematic Global Macro Fund £149m
PrivilEdge - Graham Quant Macro £145m

Largest Inflows (Q3'22 - Q3'21)

Change AUM
DMS P/E FX Strategy Fund £98m £200m
PrivilEdge - Graham Quant Macro £81m £145m
PGIM Wadhwani Keynes Systematic ... £51m £164m
Aspect Systematic Global Macro Fund £31m £149m

Largest Outflows (Q3'22 - Q3'21)

Change AUM
Acadian Multi-Asset Absolute Return £-46m £126m
Manulife Macro Currency Fund £-36m £16m
GMO Systematic Global Macro Majo... £-22m £37m
Invesco Macro Allocation Strategy £-10m £24m
Lyxor / Bridgewater Core Global ... £-8m £802m

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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.