Trend Plus
Sub Index - Trend Plus
Funds in this space typically blend price momentum models (less than 60-70% of risk) with other strategies that exploit technical and fundamental factors to improve predictability and portfolio diversification. Holding periods are generally shorter than momentum with managers incrementally using alternative data and pattern recognition techniques. A number of high-profile CTA firms now belong to this camp, and in many ways they have evolved their trend strategies to such an extent (by introducing complementary alpha strategies such as quantitative macro, cash equities market neutral, carry, etc) that they are perhaps best described as quantitative multi-strategy rather than trend followers.
Strategy AUM
30 September 2023
£1.1b
-34.5% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -1.4 | 1.2 | -3.0 | 0.4 | -0.2 | 0.6 | -1.0 | -0.7 | 3.1 | -0.4 | -1.8 | -3.2 | ||
| 2022 | -0.7 | -0.1 | 4.3 | 2.7 | -0.5 | -0.2 | -1.9 | 1.1 | 3.1 | -0.3 | -3.5 | 0.2 | 4.0 | |
| 2021 | -1.8 | 2.3 | 1.6 | 0.9 | 1.2 | -0.6 | 0.5 | -0.6 | -1.4 | 2.5 | -2.0 | -0.3 | 2.0 | |
| 2020 | 0.7 | -2.3 | -5.7 | -0.7 | 0.0 | -0.1 | 0.9 | -1.1 | -0.8 | -1.0 | 0.9 | 1.6 | -7.7 | |
| 2019 | -0.2 | -0.1 | 4.4 | 0.8 | 0.6 | 2.6 | 1.8 | 2.5 | -2.0 | -2.3 | 0.4 | -0.6 | 8.0 | |
| 2018 | 4.0 | -4.3 | -0.4 | 0.0 | -0.7 | 0.4 | -0.2 | 0.7 | -1.0 | -2.7 | -0.3 | 1.5 | -3.3 | |
| 2017 | -2.4 | 2.0 | -1.1 | 0.8 | 0.5 | -3.2 | 1.1 | 1.0 | -2.1 | 4.1 | 0.5 | -0.6 | 0.4 | |
| 2016 | 3.2 | 2.5 | -3.3 | -2.0 | -0.8 | 5.7 | 0.0 | -1.5 | 0.4 | -3.6 | -0.2 | 2.3 | 2.3 | |
| 2015 | 6.2 | 0.6 | 3.1 | -3.9 | 0.0 | -4.7 | 1.8 | -3.8 | 2.0 | -1.4 | 1.9 | -3.7 | -2.5 | |
| 2014 | -2.3 | 2.8 | -1.5 | 0.9 | 4.1 | 1.7 | -0.5 | 3.7 | -0.3 | 1.0 | 4.6 | 2.0 | 17.1 | |
| 2013 | 2.7 | -0.6 | 2.0 | 3.2 | -2.6 | -3.3 | -0.7 | -1.7 | 0.3 | 3.1 | 2.2 | 0.5 | 4.9 | |
| 2012 | -0.3 | -0.3 | -1.4 | 0.1 | 2.6 | -4.6 | 4.1 | -1.4 | -1.1 | -2.9 | 0.8 | 2.0 | -2.6 | |
| 2011 | -1.3 | 1.9 | -2.1 | 3.0 | -2.0 | -2.2 | 4.8 | 0.7 | 1.2 | -4.3 | -0.1 | 2.6 | 1.8 | |
| 2010 | -3.3 | 2.5 | 3.0 | 1.5 | -2.2 | 0.1 | -1.0 | 3.6 | 0.1 | 1.8 | -4.0 | 4.5 | 6.4 | |
| 2009 | -2.8 | 3.2 | -3.4 | -3.2 | ||||||||||
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Index Constituents
| 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 |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alma Platinum IV Systematic Alpha | Jun 2010 | Global | £80m | 0.85% | 18% | No | 1,000,000 | Daily | -0.6 | 10.7 | 18.7 | -0.5 | -0.4 | 0.2 | 5.0 | 11.6 | 32.6 | 45.6 | LU0462954479 | Daily | Luxembourg | Winton Capital | Winton Capital | No | No | Article 6 | No | N/A | N/A | 91 | 92 | 84 | 94 | 72 | ||
| Bantleon Diversified Markets | May 2018 | Global | £25m | 1.00% | 10% | Yes | 250,000 | Daily | 1.2 | -3.6 | 2.0 | 0.9 | 1.7 | 2.0 | 2.1 | -3.2 | 1.0 | 1.6 | LU1808871997 | Daily | Luxembourg | Bantleon Bank AG | Umit Kinar | Yes | Yes | Article 6 | No | Yes | Yes | 81 | 39 | 86 | 87 | 24 | ||
| KLS Niederhoffer Smart Alpha UCITS Fund | Jul 2020 | Global | £29m | 1.25% | 20% | No | 2,500,000 | Daily | -1.3 | -6.1 | 4.0 | -0.5 | -1.9 | -0.6 | -2.8 | -4.2 | -5.6 | -5.6 | IE00BMVFY279 | Daily | Ireland | R. G. Niederhoffer Capital ... | Roy Niederhoffer | Article 6 | 40 | 15 | 60 | 95 | 18 | |||||||
| Lumyna - Millburn Diversified UCITS | Mar 2017 | Global | £75m | 1.50% | 20% | No | 1,000,000 | Weekly | -1.0 | -1.9 | 14.8 | -0.8 | -3.8 | -2.2 | 3.9 | 3.1 | 11.0 | 21.5 | LU1565208292 | Weekly | Luxembourg | Millburn | Barry Goodman | No | No | Article 6 | No | No | Yes | 64 | 83 | 74 | 96 | 44 | ||
| MontLake AlphaQuest UCITS | Dec 2016 | Global | £41m | 1.50% | 20% | 1,000,000 | Daily | 0.2 | -7.1 | 13.4 | 0.5 | 0.8 | 2.4 | 0.1 | -6.5 | 4.1 | 9.1 | IE00BD08G622 | Daily | Ireland | Quest Partners | Nigol Koulajian | 62 | 42 | 96 | 89 | 43 | |||||||||
| MontLake Crabel Gemini | Oct 2017 | Global | £566m | 2.00% | 0% | No | 25,000,000 | Daily | 0.7 | -0.3 | -0.3 | 0.6 | 2.7 | 2.1 | 0.2 | -0.4 | 0.7 | 4.5 | IE00BF2X9719 | Daily | Ireland | Crabel Capital Management | Crabel Capital Management | No | Yes | Article 6 | No | N/A | N/A | 81 | 33 | 53 | 41 | 71 | ||
| Tages Eckhardt Systematic Short Term UCITS Fund | Oct 2020 | Global | £77m | 1.25% | 15% | No | 1,000,000 | Daily | 1.0 | -9.9 | 12.8 | 0.4 | 1.4 | -0.9 | -5.4 | -10.8 | -2.8 | -3.0 | IE00BL3HNF00 | Daily | Ireland | Eckhardt Trading Company | Eckhardt Trading Company | Yes | Yes | Article 6 | No | N/A | N/A | |||||||
| Tungsten TRYCON AI Global Markets | Feb 2010 | Global | £102m | 1.45% | 20% | 100,000 | Daily | 1.0 | -0.5 | 2.9 | 1.3 | 1.2 | -0.2 | -0.4 | 0.5 | 3.1 | 6.0 | LU0451958135 | Daily | Luxembourg | Tungsten Capital Management... | Pablo Hess | 88 | 55 | 98 | 78 | 80 |
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