Sub Index - Trend

Managers in this cohort employ systematic investment processes designed to capture price momentum across asset classes using highly liquid instruments (futures, forwards, etc). Market trends are identified using a variety of momentum factors, with price and its derivative the most prevalent. While exposure to directional price momentum dominates (at least 70-80% of risk), in many instances this is complemented by a smaller allocation to other non-price based technical signals which frequently act as a risk-mitigation tool. More generally, managers have a wide range of dimensions by which they are able to differentiate themselves: lookback horizon (medium-term trend following, 2-4 months, remains the preferred option), investment universe, instruments traded (financials only, commodities, etc), portfolio construction and risk modulation techniques, and the volatility target.

Strategy AUM
31 December 2023
£5.4b
3.3% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 1.2 4.3 5.6
2023 -1.2 1.6 -5.7 2.4 1.3 3.0 -1.1 -0.6 1.9 0.8 -3.3 -0.4 -1.6
2022 -0.5 1.2 5.7 4.9 -0.9 2.6 -3.6 3.3 6.0 -0.7 -5.0 -0.8 12.1
2021 -1.1 2.0 0.8 1.1 1.3 -1.5 0.7 -0.1 -1.9 2.2 -3.4 0.2 0.0
2020 0.7 -0.7 1.6 -0.1 -1.4 -1.1 2.1 -0.6 -2.2 -0.8 1.1 4.0 2.5
2019 -2.2 0.1 5.5 2.2 0.2 2.8 3.7 4.4 -2.8 -3.5 0.9 -1.0 10.4
2018 5.5 -6.8 -1.2 -0.3 -2.1 0.2 -0.5 2.3 -1.7 -3.0 -1.9 1.2 -8.4
2017 -0.4 3.1 -1.2 -0.1 1.3 -2.5 2.1 1.3 -1.9 4.0 1.1 0.5 7.3
2016 4.2 1.9 -2.2 -2.8 -1.3 4.0 1.0 -1.8 -1.1 -3.3 -0.6 1.3 -1.0
2015 5.2 0.9 1.6 -3.6 0.2 -3.7 2.3 -0.8 1.7 -2.0 2.3 -2.5 1.2
2014 -2.5 0.7 -1.8 1.4 2.2 1.9 0.0 4.6 1.3 1.0 6.1 3.1 19.1
2013 1.8 1.1 1.9 3.3 -3.1 -2.9 -0.7 -2.8 -0.9 2.9 3.7 0.4 4.2
2012 0.0 0.9 -1.7 0.2 2.8 -5.0 3.0 -2.4 -2.0 -3.8 0.6 0.9 -6.7
2011 -2.3 1.2 -3.4 3.6 -2.6 -2.7 4.2 1.3 -0.1 -4.5 0.3 1.5 -3.8
2010 -2.1 -0.5 2.8 0.0 0.3 0.4 -0.9 3.3 0.4 2.4 -3.7 2.8 5.1
2009 -0.5 0.2 -3.9 -4.1
Show all
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

Filter by:
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
Allianz Multi Asset Long / Short Nov 2016 Global £114m 0.75% 4,000,000 Daily 0.2 0.9 -3.5 0.1 1.3 1.9 2.1 -1.2 4.5 7.4 LU1481688817 Daily Luxembourg Allianz GI Rahul Malhotra (Lead), Gior... Article 6 35 55 93 88 42
Alma Platinum IV Systematic Alpha Jun 2010 Global £77m 0.85% 18% No 1,000,000 Daily 6.8 10.1 0.0 4.0 6.2 7.8 14.0 31.8 43.7 LU0462954479 Daily Luxembourg Winton Capital Winton Capital No No Article 6 No N/A N/A 90 96 82 93 76
Amundi Metori Epsilon Global Trend Apr 2011 Global £352m 1.00% 15% 500,000 Daily 5.6 -3.2 0.1 2.2 4.8 2.1 -2.5 24.0 14.6 IE00B530CF08 Daily Ireland Metori Capital Management Lyxor Article 6 39 42 88 92 41
AQR Alternative Trends UCITS Fund Feb 2023 Global £404m 1.50% 20% Yes 100,000 Daily 1.0 6.5 -0.2 4.8 6.4 10.3 12.3 LU2392538067 Daily Luxembourg AQR Capital Management Yao Hua Ooi, John Liew, Cli... Yes Yes Article 6 Yes Yes No
AQR Managed Futures UCITS Oct 2014 Global £439m 0.60% 10% Yes 100,000 Daily 0.6 8.2 2.3 0.2 7.7 6.8 8.0 9.0 34.8 33.4 LU1103258510 Daily Luxembourg AQR Capital Management Yao Hua Ooi, Ari Levine Yes Yes Article 6 Yes N/A Yes 81 91 56 99 47
Aspect Diversified Trends Fund Dec 2010 Global £345m 1.00% 15% No 100,000 Daily 10.9 -1.6 -1.8 6.1 8.7 6.7 6.7 37.8 56.1 IE00B657BK41 Daily Ireland Aspect Capital Aspect Capital Yes Yes Article 6 No N/A N/A 84 97 64 100 58
BNP THEAM Quant - Multi Asset Diversified Feb 2008 Global £32m 0.50% 100,000 Daily 0.9 -5.2 0.2 1.1 3.6 -1.7 -4.0 -5.1 -3.6 LU1353185074 Daily Luxembourg BNP Paribas Asset Management Solene Deharbonnier 28 15 94 78 10
Candriam Diversified Futures Nov 2009 Global £255m 1.20% 20% Yes 250,000 Daily 1.1 2.3 0.0 1.9 2.5 0.9 1.0 17.1 22.6 FR0010794792 Daily France Candriam Yes Yes Article 6 No N/A N/A 72 84 85 93 66
CFM ISTrends Equity Capped Fund Sep 2020 Global £71m 0.75% 10% No 10,000 Daily 5.6 -0.2 0.0 1.8 3.0 3.4 4.6 IE000IK66S24 Daily Ireland Capital Fund Management CFM Yes Yes Article 6 No N/A N/A 58 66 63 98 36
CFM ISTrends Fund May 2021 Global £10m 0.75% 10% No 10,000 Daily 11.5 4.5 -0.2 4.3 7.2 8.3 15.7 41.5 IE00BMDKFQ17 Daily Ireland Capital Fund Management CFM Yes No Article 6 No N/A N/A
Cyril Systematic UCITS Jun 2011 Global £6m 2.00% 20% EONIA 500,000 Daily 6.9 -2.6 -0.7 5.7 5.6 5.3 3.4 22.2 16.3 FR0000976342 Daily France John Locke Investments John Locke Investments 15 37 99 86 24
Fulcrum Multi Asset Trend Fund May 2015 Global £61m 0.80% 0% No 1,000,000 Daily 0.2 9.0 -6.3 -0.2 6.1 3.7 -0.1 2.3 24.1 43.7 LU1225880415 Daily Luxembourg Fulcrum Asset Management LLP Fulcrum Systematic Team Yes Yes Article 6 Yes N/A N/A 76 94 62 97 47
Garraway Financial Trends Sep 2012 Global £28m 1.00% 20% None 100,000 Daily 1.9 -11.2 -1.4 1.5 1.1 -4.1 -5.7 -1.5 -13.0 IE00B86V3N61 Daily Ireland Garraway Capital Management... Darran Goodwin 4 8 77 94 8
Goldman Sachs Alternative Trend Portfolio Jan 2015 Global £340m 0.65% 1,000,000 Daily 0.2 0.4 2.5 0.4 2.2 2.8 0.5 0.2 22.9 21.0 LU1103308471 Daily Luxembourg Goldman Sachs Asset Managem... Article 6 70 86 73 96 65
iMGP DBi Managed Futures Fund Jan 2023 Europe £59m 0.75% 0% No 1,000,000 Daily 6.0 0.2 2.8 4.2 1.7 -1.7 LU2550556745 Daily Luxembourg DBi Dynamic Beta Investments (n... No No Article 6 No Yes Yes
KLS BH-DG Systematic Trading UCITS Dec 2023 Global £11m 1.00% 20% Yes Daily 2.1 -0.2 3.9 IE0001WX9CH6 Daily Ireland BH-DG Systematic Trading LLP BH-DG Systematic Risk Commi...
Lynx UCITS Fund Mar 2019 Global £74m 1.00% 20% Yes 10,000 Daily 7.9 -8.0 -0.6 5.7 10.4 8.3 0.0 25.4 29.7 IE00BGBVCN02 Daily Ireland Lynx Asset Management AB Yes Yes Article 6 No N/A N/A 53 87 61 100 28
Man AHL Alpha Core Alternative Nov 2009 Global £107m 1.00% 15% Yes 1,000 Daily 1.9 -1.8 -0.2 2.7 3.5 3.9 -1.3 18.5 3.0 LU0424370269 Daily Luxembourg Man Group Plc Matthew Sargaison, Russell ... No Yes Article 6 No N/A N/A 70 84 73 62 49
Man AHL Trend Alternative Oct 2009 Global £769m 1.50% 20% Yes 100,000 Daily 2.3 -3.3 -0.5 4.1 4.2 4.0 -3.1 18.9 6.8 LU0428380553 Daily Luxembourg Man Group Plc Otto Hamaoui, Tom Bowles No Yes Article 6 No N/A N/A 42 43 73 96 23
MontLake Crabel Advanced Trend Oct 2017 Global £103m 0.50% 10,000,000 Daily 7.5 -4.8 0.1 5.6 4.3 1.7 1.8 23.6 21.3 IE00BF2X0569 Daily Ireland Crabel Capital Management 55 83 72 98 36
MontLake DUNN WMA Institutional UCITS Sep 2011 Global £362m 0.10% 25% No 100,000 Daily 14.7 -5.0 1.5 8.8 12.7 6.1 7.0 34.6 40.5 IE00B6R2TB45 Daily Ireland DUNN Capital Management Marty H. Bergin, Roberto Os... Yes Yes Article 6 No N/A N/A 70 89 70 94 55
Next AM - Tendance Finance May 2012 Global £18m 2.00% 20% 100,000 Daily -4.0 11.0 -0.5 -1.6 2.5 8.0 4.8 -6.6 -10.0 LU0778101708 Daily Luxembourg Tendance Finance Herve Chatot 5 9 36 18 11
Nomura Cross Asset Momentum UCITS Fund Mar 2016 Global £91m 1.00% 0% No 100,000 Daily 1.4 7.6 1.0 4.2 4.4 1.5 5.1 29.1 38.9 IE00BYY18K23 Daily Ireland Nomura Alternative Investme... Michel Laurent, Sam Jérémie Yes No Article 6 No N/A N/A 75 97 90 96 53
Pimco TRENDS Managed Futures Strategy Jun 2015 Global £189m 1.40% 5,000,000 Daily 0.5 1.1 -3.5 -0.2 1.5 4.6 4.1 -1.7 8.2 10.6 IE00BWX5WG52 Daily Ireland PIMCO Asset Management Matt Dorsten, Graham Rennison Article 6 47 57 58 96 20
Quantica Managed Futures Focus Jul 2018 Global £58m 0.90% 20% No 10,000 Daily 4.6 1.2 0.0 2.9 5.7 5.0 3.7 23.5 1.9 LU1825540146 Daily Luxembourg Quantica Capital AG Yes Yes Article 6 No N/A N/A 29 40 65 99 18
Quantica Managed Futures UCITS Aug 2015 Global £93m 0.70% 20% No 10,000 Daily 6.6 0.1 -0.5 4.0 6.8 5.6 4.7 18.2 6.8 LU1869435468 Daily Luxembourg Quantica Capital AG Yes Yes Article 6 No N/A N/A 39 57 71 95 20
Schroder GAIA BlueTrend Dec 2015 Global £269m 1.50% 20% 500,000 Daily 4.2 -9.4 -0.7 4.7 5.9 5.9 -4.4 14.5 24.2 LU1293074479 Daily Luxembourg Systematica Investments Lim... Leda Braga, David Kitson Article 6 62 83 53 99 22
SEB Asset Selection Oct 2006 Global £296m 1.10% 20% Daily 9.2 -7.8 0.2 5.4 5.5 0.8 -0.7 19.8 18.3 LU0256624742 Daily Luxembourg SEB Asset Management Hans-Olov Bornemann 54 64 74 95 30
Tulip Trend Fund UCITS Apr 2018 Global £51m 1.50% 16% No 100,000 Weekly 15.2 0.2 0.4 9.8 13.7 8.0 13.9 15.8 39.7 IE00BFWJRT76 Weekly Ireland Transtrend B.V. Transtrend B.V. Yes Yes Article 6 No N/A N/A 58 93 84 93 18
Winton Trend Fund (UCITS) Feb 2018 Global £396m 0.80% 0% No 50,000 Daily 5.7 2.6 -0.1 3.3 5.5 4.8 7.9 22.1 31.9 IE00BG382P13 Daily Ireland Winton Capital Winton Capital Management L... Yes Yes Article 6 No N/A N/A 79 90 68 94 53
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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.