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
31 December 2023
£718m
-54.2% YoY
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 0.4 | 0.2 | 0.6 | |||||||||||
2023 | -1.4 | 1.2 | -3.0 | 0.4 | -0.2 | 0.6 | -1.0 | -0.7 | 3.1 | -0.4 | -1.8 | 1.0 | -2.2 | |
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 | 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 |
||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Tungsten TRYCON AI Global Markets | Feb 2010 | Global | £90m | 1.45% | 20% | 100,000 | Daily | 4.4 | -1.9 | 0.0 | -0.5 | 4.4 | 1.9 | 3.9 | 6.8 | 5.5 | LU0451958135 | Daily | Luxembourg | Tungsten Capital Management... | Pablo Hess | 66 | 41 | 97 | 79 | 74 | ||||||||||
MontLake Crabel Gemini | Oct 2017 | Global | £275m | 2.00% | 0% | No | 25,000,000 | Daily | -2.7 | 1.6 | -0.1 | 1.1 | -2.7 | 1.1 | -0.9 | -3.4 | 2.3 | IE00BF2X9719 | Daily | Ireland | Crabel Capital Management | Crabel Capital Management | No | Yes | Article 6 | No | N/A | N/A | 68 | 47 | 48 | 46 | 61 | |||
Tages Eckhardt Systematic Short Term UCITS Fund | Oct 2020 | Global | £74m | 1.25% | 15% | No | 1,000,000 | Daily | -0.2 | -6.7 | 0.2 | 0.8 | -0.2 | 1.1 | -5.4 | -6.1 | 1.0 | IE00BL3HNF00 | Daily | Ireland | Eckhardt Trading Company | Eckhardt Trading Company | Yes | Yes | Article 6 | No | N/A | N/A | 19 | 30 | 97 | 77 | 32 | |||
Lumyna - Millburn Diversified UCITS | Mar 2017 | Global | £51m | 1.50% | 20% | No | 1,000,000 | Weekly | 4.5 | -5.1 | -0.3 | -1.0 | 4.5 | -4.8 | 6.4 | 7.4 | 16.5 | LU1565208292 | Weekly | Luxembourg | Millburn | Barry Goodman | No | No | Article 6 | No | No | Yes | 56 | 74 | 58 | 97 | 41 | |||
Bantleon Diversified Markets | May 2018 | Global | £22m | 1.00% | 10% | Yes | 250,000 | Daily | 4.6 | 0.1 | 0.8 | 4.8 | 4.6 | 11.1 | 10.8 | 0.4 | 5.1 | LU1808871997 | Daily | Luxembourg | Bantleon Bank AG | Umit Kinar | Yes | Yes | Article 6 | No | Yes | Yes | 66 | 38 | 80 | 88 | 24 | |||
MontLake AlphaQuest UCITS | Dec 2016 | Global | £38m | 1.50% | 20% | 1,000,000 | Daily | 3.5 | -7.5 | -0.3 | 2.3 | 3.5 | 0.8 | 2.6 | -1.5 | 8.4 | IE00BD08G622 | Daily | Ireland | Quest Partners | Nigol Koulajian | 43 | 63 | 95 | 91 | 43 |
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