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
31 December 2023
£11.7b
-20.1% YoY
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 1.0 | 2.0 | 2.9 | |||||||||||
2023 | -0.9 | 1.7 | -1.4 | 0.5 | 0.0 | -0.3 | -0.7 | 0.4 | 2.1 | -1.1 | -1.1 | 0.1 | -0.7 | |
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 | |
Show all |
Index Constituents
Name | Inception Date | Geography | AUM | AMC | Perf. Fee | Hurdle | Min Inv. | Liquidity | MTD | YTD | 2023 | 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 |
||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
IAM Welton Multi-Strategy Global Macro UCITS Fund | Oct 2022 | Global | £78m | 1.50% | 20% | No | 1,000,000 | Daily | 3.4 | -14.4 | 0.7 | 3.2 | 2.2 | -5.0 | -3.3 | IE000FJPVJV9 | Daily | Ireland | International Asset Management | Patrick Welton | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||||
MontLake Oriel - P/E FX Strategy | May 2016 | Global | £164m | 2.00% | 20% | 50,000 | Daily | 10.2 | 4.7 | 1.2 | 1.0 | 10.6 | -0.3 | 14.2 | 32.1 | 44.7 | IE00BYQD3C34 | Daily | Ireland | P/E Investments | 74 | 94 | 57 | 100 | 38 | |||||||||||
Amundi Bridgewater Core Global Macro Fund | Sep 2019 | Global | £579m | 1.50% | 15% | No | 500,000 | Daily | 3.7 | 4.3 | 0.2 | 2.5 | 3.4 | 7.1 | 6.0 | -0.1 | 11.8 | IE00BKDKNP28 | Daily | Ireland | Bridgewater Associates LP | Yes | Yes | Article 6 | No | N/A | N/A | 64 | 45 | 29 | 34 | 61 | ||||
PrivilEdge - Graham Quant Macro | Jun 2020 | Global | £167m | 0.85% | 15% | 1,000,000 | Weekly | 13.7 | 4.7 | 0.7 | 4.8 | 13.0 | 5.0 | 15.1 | 32.0 | 27.0 | LU2183933816 | Weekly | Luxembourg | Graham Capital Management L.P. | Graham Capital | 64 | 61 | 84 | 91 | 50 | ||||||||||
Acadian Multi-Asset Absolute Return | Feb 2018 | Global | £114m | 1.39% | 0% | No | 10,000,000 | Daily | 1.4 | -6.3 | -0.1 | -0.4 | 1.3 | -3.7 | -3.8 | -3.9 | -3.1 | IE000X5JMAS7 | Daily | Ireland | Acadian Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | 66 | 33 | 91 | 81 | 66 | ||||
PGIM Wadhwani Keynes Systematic Absolute Return Fund | Sep 2019 | Global | £192m | 0.75% | 0% | No | 10,000,000 | Daily | 4.1 | -2.9 | 0.6 | 2.4 | 3.8 | 5.3 | 4.5 | 11.0 | 15.5 | IE00BJV2JR76 | Daily | Ireland | PGIM Wadhwani | Sushil Wadhwani | No | No | Article 6 | No | N/A | N/A | 73 | 78 | 91 | 89 | 81 | |||
GMO SGM Major Markets Investment Fund | Feb 2017 | Global | £16m | 1.00% | 5,000,000 | Daily | 1.9 | 4.1 | 0.3 | 0.5 | 2.3 | 2.5 | 6.0 | 10.3 | 2.8 | IE00BDS6C592 | Daily | Ireland | Grantham, Mayo, Van Otterlo... | Jason Halliwell, Sean Gleason | 33 | 23 | 95 | 80 | 38 | |||||||||||
Invesco Macro Allocation Strategy | Sep 2015 | Global | £15m | 0.75% | 1,000 | Daily | 4.1 | -1.2 | 0.3 | 4.0 | 3.5 | 9.4 | 4.5 | -4.8 | -7.8 | LU1233165411 | Daily | Luxembourg | Invesco Advisers Inc. | Scott E. Wolle | Article 6 | 4 | 6 | 40 | 21 | 11 |
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