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
2019 0.5 0.3 1.4 1.6 -0.3 0.6 0.7 0.7 -0.9 0.1 0.1 4.9
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
Keynes Dynamic Beta Strategy Systematic 19.4
GAM Systematic Core Macro Systematic 13.2
LGT Alpha Generix UCITS Systematic 5.9
Rubicon Dynamic UCITS Fund Systematic 1.7
ADG Systematic Macro Systematic 0.9
Invesco Macro Allocation Strategy Systematic -0.4
AQR Global Macro Opportunities UCITS Systematic -1.2
Quantitative Fixed Income Macro UCITS Systematic -1.3
Aspect Systematic Global Macro Systematic -1.9
Melchior Systematic Global Macro Systematic -3.5

Bottom Funds YTD

YTD
HI QuantWave Fund Systematic -18.1
IPM Systematic Macro UCITS Systematic -5.4
Melchior Systematic Global Macro Systematic -3.5
Aspect Systematic Global Macro Systematic -1.9
Quantitative Fixed Income Macro UCITS Systematic -1.3
AQR Global Macro Opportunities UCITS Systematic -1.2
Invesco Macro Allocation Strategy Systematic -0.4
ADG Systematic Macro Systematic 0.9
Rubicon Dynamic UCITS Fund Systematic 1.7
LGT Alpha Generix UCITS Systematic 5.9

Largest New Launches (12M)

AUM
Lyxor / Bridgewater Core Global Macro £528m
Two Trees Systematic Global Macro Fund £41m

Largest Systematic Funds

AUM
IPM Systematic Macro UCITS £891m
Lyxor / Bridgewater Core Global ... £528m
GMO Systematic Global Macro Majo... £244m
Invesco Macro Allocation Strategy £160m
ADG Systematic Macro £129m

Largest Inflows (Q3'19 - Q3'18)

Change AUM
River and Mercantile Global Macro £93m £98m
GMO Systematic Global Macro Majo... £3m £244m
Melchior Systematic Global Macro £1m £10m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
IPM Systematic Macro UCITS £-288m £891m
LGT Alpha Generix UCITS £-219m £80m
Invesco Macro Allocation Strategy £-182m £160m
GAM Systematic Core Macro £-99m £35m
ADG Systematic Macro £-41m £129m

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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.