Systematic Macro

Strategy Research, 24 Oct 2019

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.9 -0.9
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
Aspect Systematic Global Macro Systematic 4.3
LGT Alpha Generix UCITS Systematic 3.8
AXA World Funds - Chorus Systematic Macro Systematic 3.4
GAM Systematic Core Macro Systematic 3.2
Lyxor / Bridgewater Core Global Macro Systematic 1.5
Melchior Systematic Global Macro Systematic 0.7
Rubicon Dynamic UCITS Fund Systematic -0.2
ADG Systematic Macro Systematic -0.3
Invesco Macro Allocation Strategy Systematic -1.7
Quantitative Fixed Income Macro UCITS Systematic -1.8

Bottom Funds YTD

YTD
AQR Global Macro Opportunities UCITS Systematic -7.2
IPM Systematic Macro UCITS Systematic -2.7
Quantitative Fixed Income Macro UCITS Systematic -1.8
Invesco Macro Allocation Strategy Systematic -1.7
ADG Systematic Macro Systematic -0.3
Rubicon Dynamic UCITS Fund Systematic -0.2
Melchior Systematic Global Macro Systematic 0.7
Lyxor / Bridgewater Core Global Macro Systematic 1.5
GAM Systematic Core Macro Systematic 3.2
AXA World Funds - Chorus Systematic Macro Systematic 3.4

Largest New Launches (12M)

AUM
Lyxor / Bridgewater Core Global Macro £853m
AXA World Funds - Chorus Systematic Macro £156m
Two Trees Systematic Global Macro Fund £41m

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £853m
IPM Systematic Macro UCITS £585m
GMO Systematic Global Macro Majo... £244m
AXA World Funds - Chorus Systema... £156m
Invesco Macro Allocation Strategy £104m

Largest Inflows (Q4'19 - Q4'18)

Change AUM
River and Mercantile Global Macro £90m £98m
Quantitative Fixed Income Macro ... £8m £33m

Largest Outflows (Q4'19 - Q4'18)

Change AUM
IPM Systematic Macro UCITS £-617m £585m
Invesco Macro Allocation Strategy £-200m £104m
LGT Alpha Generix UCITS £-197m £57m
ADG Systematic Macro £-112m £67m
GAM Systematic Core Macro £-96m £19m

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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.