Sub Index - Systematic Macro

As the name suggests this cohort of managers has systemised macro investing. One strand of the discipline was driven by quantitative managers (trend following framework) expanding the range of signals they traded; from technical price-based factors to fundamentals and sentiment, while another was driven by discretionary macro managers systemising their fundamental investment processes (mean reverting framework). There are a significant number of systematic macro managers that straddle both disciplines, leading to a broader range of potential risk-return outcomes.

Strategy AUM
30 September 2023
£13.7b
-14.4% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 -0.9 1.7 -1.4 0.5 0.0 -0.3 -0.7 0.4 2.1 -1.1 -1.1 -0.8
2022 -0.4 -0.7 1.1 3.9 -1.1 0.6 0.3 0.7 1.0 0.2 -2.0 -0.6 2.8
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
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  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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Name Inception Date Geography AUM AMC Perf. Fee Hurdle Min Inv. Liquidity MTD YTD 2022 1W 1M 3M 6M 1Y 2Y 3Y ISIN Liquidity Domicile Inv. Adviser Portfolio Manager UN PRI Signatory Companywide ESG Policy SFDR ESG Data Integration Active Ownership ESG Exclusion List Return Consistency
Percentile Rank
Performance
Percentile Rank
Diversifier
Percentile Rank
Downside Protection
Percentile Rank
Low Risk
Percentile Rank
Acadian Multi-Asset Absolute Return Feb 2018 Global £114m 1.39% 0% No 10,000,000 Daily -0.7 IE00BD6V6F47 Daily Ireland Acadian Asset Management Yes Yes Article 6 No N/A N/A 66 33 91 81 66
Amundi Bridgewater Core Global Macro Fund Sep 2019 Global £625m 1.50% 15% No 500,000 Daily 0.4 2.8 -4.1 -0.1 1.0 1.1 1.4 1.0 1.1 5.6 IE00BKDKNP28 Daily Ireland Bridgewater Associates LP Yes Yes Article 6 No N/A N/A 79 66 22 34 65
Aspect Systematic Global Macro Fund Jun 2018 Global £120m 1.00% 18% No 100,000 Daily -6.4 1.6 -0.8 -0.8 3.1 2.5 -4.6 -2.8 -8.4 IE00BDD86369 Daily Ireland Aspect Capital Anoosh Lachin, Asif Noor Yes Yes Article 6 No N/A N/A 7 4 85 85 10
GMO SGM Major Markets Investment Fund Feb 2017 Global £19m 1.00% 5,000,000 Daily 0.8 3.8 -0.2 1.1 1.1 3.2 4.6 5.7 3.7 -1.8 IE00BDS6C592 Daily Ireland Grantham, Mayo, Van Otterlo... Jason Halliwell, Sean Gleason 18 22 63 75 36
IAM Welton Multi-Strategy Global Macro UCITS Fund Oct 2022 Global £90m 1.50% 20% No 1,000,000 Daily 0.5 -13.6 0.5 -2.1 -6.5 -6.8 -16.8 IE000FJPVJV9 Daily Ireland International Asset Management Patrick Welton Yes Yes Article 6 No N/A N/A
Invesco Macro Allocation Strategy Sep 2015 Global £16m 0.75% 1,000 Daily 0.0 -4.3 -13.5 0.0 2.5 -1.2 -2.6 -5.4 -17.6 -12.9 LU1233165411 Daily Luxembourg Invesco Advisers Inc. Scott E. Wolle Article 6 5 14 52 25 16
MontLake Oriel - P/E FX Strategy May 2016 Global £180m 2.00% 20% 50,000 Daily 1.7 11.1 16.7 2.9 -1.8 -1.8 4.7 7.0 23.3 37.8 IE00BYQD3C34 Daily Ireland P/E Investments 60 59 52 100 14
PGIM Wadhwani Keynes Systematic Absolute Return Fund Sep 2019 Global £220m 0.75% 0% No 10,000,000 Daily 0.8 -4.6 11.5 0.5 0.8 0.1 -1.4 -4.6 6.5 14.4 IE00BJV2JR76 Daily Ireland PGIM Wadhwani Sushil Wadhwani No No Article 6 No N/A N/A 94 83 96 90 88
PrivilEdge - Graham Quant Macro Jun 2020 Global £174m 0.85% 15% 1,000,000 Weekly -0.7 7.3 7.4 -0.6 -0.9 -3.0 0.5 4.5 15.1 14.2 LU2183933816 Weekly Luxembourg Graham Capital Management L.P. Graham Capital 63 82 78 85 61
Displaying 1 - 9 of 9 funds. View all

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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.