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 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -3.0
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 3.1
LGT Alpha Generix UCITS Systematic 1.8
Quantitative Fixed Income Macro UCITS Systematic 1.7
AXA World Funds - Chorus Systematic Macro Systematic -1.7
Invesco Macro Allocation Strategy Systematic -3.6
Acadian Multi-Asset Absolute Return Systematic -4.2
AQR Global Macro Opportunities UCITS Systematic -6.2
ADG Systematic Macro Systematic -7.2
Lyxor / Bridgewater Core Global Macro Systematic -8.7
IPM Systematic Macro UCITS Systematic -9.1

Bottom Funds YTD

YTD
GAM Systematic Core Macro Systematic -9.8
IPM Systematic Macro UCITS Systematic -9.1
Lyxor / Bridgewater Core Global Macro Systematic -8.7
ADG Systematic Macro Systematic -7.2
AQR Global Macro Opportunities UCITS Systematic -6.2
Acadian Multi-Asset Absolute Return Systematic -4.2
Invesco Macro Allocation Strategy Systematic -3.6
AXA World Funds - Chorus Systematic Macro Systematic -1.7
Quantitative Fixed Income Macro UCITS Systematic 1.7
LGT Alpha Generix UCITS Systematic 1.8

Largest New Launches (12M)

AUM
Lyxor / Bridgewater Core Global Macro £845m
AXA World Funds - Chorus Systematic Macro £333m
PGIM QMAW Keynes Systematic Absolute Return £103m

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £845m
AXA World Funds - Chorus Systema... £333m
IPM Systematic Macro UCITS £251m
GMO Systematic Global Macro Majo... £244m
Aspect Systematic Global Macro £122m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
River and Mercantile Global Macro £158m £98m
Acadian Multi-Asset Absolute Return £71m £84m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
IPM Systematic Macro UCITS £-854m £251m
Invesco Macro Allocation Strategy £-139m £71m
ADG Systematic Macro £-119m £19m
GMO Systematic Global Macro Majo... £-93m £244m
LGT Alpha Generix UCITS £-92m £54m

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