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
2021 -0.9 -0.1 0.5 0.1 -0.3
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
PGIM QMAW Keynes Systematic Absolute Return Systematic 5.5
GAM Systematic Core Macro Systematic 5.2
ADG Systematic Macro Systematic 4.9
Invesco Macro Allocation Strategy Systematic 1.5
Lyxor / Bridgewater Core Global Macro Systematic 1.4
LGT Alpha Generix UCITS Systematic 1.2
PrivilEdge - Graham Quant Macro Systematic -0.7
Acadian Multi-Asset Absolute Return Systematic -1.7
Quantitative Fixed Income Macro UCITS Systematic -2.6
DMS P/E FX Strategy Fund Systematic -2.8

Bottom Funds YTD

YTD
IPM Systematic Macro UCITS Systematic -7.6
Aspect Systematic Global Macro Systematic -4.1
AXA World Funds - Chorus Systematic Macro Systematic -2.9
DMS P/E FX Strategy Fund Systematic -2.8
Quantitative Fixed Income Macro UCITS Systematic -2.6
Acadian Multi-Asset Absolute Return Systematic -1.7
PrivilEdge - Graham Quant Macro Systematic -0.7
LGT Alpha Generix UCITS Systematic 1.2
Lyxor / Bridgewater Core Global Macro Systematic 1.4
Invesco Macro Allocation Strategy Systematic 1.5

Largest New Launches (12M)

AUM
PrivilEdge - Graham Quant Macro £50m

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £674m
GMO Systematic Global Macro Majo... £244m
AXA World Funds - Chorus Systema... £164m
Acadian Multi-Asset Absolute Return £131m
PGIM QMAW Keynes Systematic Abso... £111m

Largest Inflows (Q1'21 - Q1'20)

Change AUM
DMS P/E FX Strategy Fund £50m £92m
Acadian Multi-Asset Absolute Return £46m £131m
PGIM QMAW Keynes Systematic Abso... £23m £111m
River and Mercantile Global Macro £21m £98m
GAM Systematic Core Macro £2m £9m

Largest Outflows (Q1'21 - Q1'20)

Change AUM
IPM Systematic Macro UCITS £-241m £71m
Lyxor / Bridgewater Core Global ... £-143m £674m
GMO Systematic Global Macro Majo... £-87m £244m
Invesco Macro Allocation Strategy £-38m £41m
ADG Systematic Macro £-28m £10m

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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.