Market Neutral Discretionary
Sub Index - Market Neutral Discretionary
These managers apply traditional long/short equity techniques to construct a market neutral portfolio, with a core focus on company-specific fundamentals. Within this category, we identify two broad approaches to portfolio construction and risk management. On one side, there are managers offering investors pure long-alpha products with portfolio beta neutralised using index futures or baskets of stocks. On the other hand, there are managers aiming to generate alpha from both sides of the portfolio including alpha shorts (the use of indices is limited to the purpose of hedging residual unintended risks). Within this strand of the discipline, some managers employ 'pair-trading' techniques with the aim to maximise exposure to stock level idiosyncrasies while minimising exposure to ‘market factors’ (sector, style, ect). This investment approach is often model/research intensive, with the opportunity set typically restricted to a limited number of stocks that are well known by the manager as they seek to arbitrage out inefficiencies in share price valuations.
Strategy AUM
30 June 2023
£9b
-20.7% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.4 | 0.2 | -0.2 | -0.2 | -0.1 | 0.1 | -0.5 | 0.4 | 0.5 | 0.7 | ||||
| 2022 | -0.3 | 0.0 | 0.1 | 0.1 | -0.1 | -0.6 | 0.3 | 0.0 | -0.2 | 0.1 | 0.1 | 0.3 | -0.3 | |
| 2021 | -0.3 | 0.7 | -0.5 | 0.3 | -0.1 | -0.2 | -0.3 | 0.5 | 0.0 | 0.2 | -0.5 | 0.0 | -0.3 | |
| 2020 | 0.1 | -0.1 | -1.2 | 1.0 | 0.0 | 0.6 | 0.3 | 0.4 | 0.1 | -0.5 | 1.9 | 0.5 | 3.0 | |
| 2019 | 1.3 | 0.3 | -0.8 | 0.1 | -0.2 | 0.1 | 0.3 | 0.4 | 0.1 | 0.1 | 0.0 | 0.9 | 2.5 | |
| 2018 | 0.6 | -0.5 | 0.3 | -0.1 | 0.4 | -0.3 | 0.0 | -0.8 | 0.0 | -0.8 | -1.0 | -0.6 | -2.8 | |
| 2017 | 0.7 | -0.2 | 0.1 | 0.4 | -0.1 | -0.2 | 0.3 | 0.1 | 0.1 | 0.0 | -0.3 | 0.1 | 1.0 | |
| 2016 | -1.2 | -0.9 | -0.2 | -0.6 | 0.5 | -2.0 | 0.4 | 0.2 | 0.4 | -0.1 | 0.1 | -0.1 | -3.4 | |
| 2015 | 0.8 | 0.1 | 0.3 | 0.7 | 0.6 | -0.6 | 0.3 | 0.1 | -0.3 | 0.2 | 0.8 | 0.8 | 3.8 | |
| 2014 | 0.6 | 0.4 | -0.5 | -1.1 | -0.6 | -0.2 | -0.1 | 0.1 | 0.0 | 0.3 | 0.5 | 0.4 | -0.1 | |
| 2013 | 1.5 | 0.8 | 0.2 | 0.6 | 0.7 | 0.8 | 0.4 | -0.1 | 0.4 | 0.2 | 0.7 | 0.2 | 6.3 | |
| 2012 | 0.7 | 1.0 | 0.4 | -0.5 | -1.1 | -0.1 | -0.1 | -0.2 | 0.2 | 0.6 | 0.6 | 0.3 | 1.9 | |
| 2011 | 0.1 | -0.2 | 0.2 | -0.1 | -0.5 | 0.2 | -0.3 | -1.2 | -0.1 | 0.9 | -0.2 | -0.2 | -1.3 | |
| 2010 | 0.4 | -0.2 | 0.9 | 0.2 | -0.2 | -0.5 | 0.8 | -0.2 | 0.7 | 0.8 | 0.3 | 0.4 | 3.8 | |
| Show all | ||||||||||||||
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 |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Aegon Global Equity Market Neutral | Jun 2016 | Global | £86m | 1.00% | 500,000 | Daily | 0.1 | -1.3 | -6.8 | 0.2 | -0.6 | -1.6 | -0.4 | -1.1 | -8.6 | -0.8 | IE00BYZHZV94 | Daily | Ireland | Aegon Asset Management | David Pringle | Article 6 | 24 | 51 | 39 | 37 | 45 | |||||||||
| Alkimis Capital UCITS | Nov 2009 | Europe | 1.00% | 20% | 1,000,000 | Weekly | 0.0 | IT0005163743 | Weekly | Italy | Alkimis SGR | Massimo Morchio, Pierluca M... | 66 | 34 | 18 | 38 | 55 | |||||||||||||||||||
| BlackRock Asia Pacific Absolute Return | Aug 2016 | Asia | £61m | 1.00% | 20% | No | 100,000 | Daily | 0.1 | 1.5 | 4.4 | 0.4 | 0.3 | -0.7 | 0.2 | 0.6 | 5.4 | 16.0 | LU1495982438 | Daily | Luxembourg | BlackRock Investment Manage... | Samuel Vecht, Steve Wong, A... | Yes | Yes | Article 6 | Yes | Yes | Yes | 94 | 79 | 93 | 88 | 92 | ||
| BNY Mellon Absolute Return Equity | Jan 2011 | Europe | £111m | 1.00% | 15% | 500,000 | Daily | 0.1 | -0.1 | 2.3 | 0.1 | 0.9 | 0.9 | 1.1 | 0.1 | 1.5 | 5.4 | IE00B3RZQQ62 | Daily | Ireland | BNY Mellon Asset Management | Andrew Cawker, Iain Brown, ... | Article 6 | 88 | 39 | 80 | 82 | 95 | ||||||||
| BPI Alternative Iberian Equities Long/Short | Jan 2010 | Europe | £322m | 1.50% | 20% | 150,000 | Daily | -0.1 | 0.7 | 1.7 | -0.4 | 0.5 | 0.3 | 0.7 | 3.4 | 3.0 | 9.0 | LU0784437740 | Daily | Luxembourg | BPI Gestão de Activos | Paulo Freire Oliveira, Pedr... | 84 | 48 | 91 | 75 | 96 | |||||||||
| Candriam Absolute Return Equity Market Neutral | Aug 2018 | Global | £615m | 0.80% | 20% | Yes | 0 | Daily | -0.3 | 6.9 | -6.7 | 0.4 | 2.2 | 4.8 | 6.4 | 7.8 | 2.4 | 16.8 | LU1819523264 | Daily | Luxembourg | Candriam | Emmanuel Terraz, Olivier Ro... | Yes | Yes | Article 6 | No | Yes | Yes | 48 | 52 | 28 | 37 | 53 | ||
| CT Real Estate Equity Market Neutral Fund | Dec 2012 | Europe | £268m | 1.00% | 15% | 5,000,000 | Daily | 0.1 | 6.5 | -2.3 | -0.1 | 0.6 | 1.7 | 4.6 | 5.3 | 7.4 | 9.9 | IE00B8GGKQ36 | Daily | Ireland | BMO GAM | Alban Lhonneur, Marcus Phay... | Article 6 | 92 | 56 | 94 | 77 | 97 | ||||||||
| DNCA Invest - Miuri | Dec 2011 | Europe | £262m | 1.00% | 20% | 200,000 | Daily | -0.1 | 8.3 | -3.4 | -0.1 | 1.3 | 2.2 | 2.2 | 10.4 | 5.5 | 17.7 | LU0641746143 | Daily | Luxembourg | DNCA Finance Luxembourg | Mathieu Picard, Alexis Albert | Article 8 | 50 | 71 | 58 | 49 | 77 | ||||||||
| Exane Ceres | Feb 2007 | Global | £172m | 1.50% | 20% | EONIA +1% | 125,000 | Weekly | 9.1 | -6.1 | 0.1 | -0.5 | -1.1 | -0.1 | 12.0 | 5.1 | 7.1 | LU0284634564 | Weekly | Luxembourg | Exane Asset Management | Charles-Henri Neme, Pierre ... | 34 | 47 | 26 | 27 | 58 | |||||||||
| Exane Overdrive | May 2013 | Global | £152m | 2.00% | 20% | EONIA +1% | 125,000 | Daily | 2.3 | -0.1 | 0.5 | -0.3 | -1.5 | 0.5 | 1.7 | 1.2 | 6.6 | LU0923609035 | Daily | Luxembourg | Exane Asset Management | Eric Lauri | 30 | 47 | 69 | 67 | 50 | |||||||||
| Exane Pleiade | May 2011 | Global | £1.3b | 1.25% | 20% | Daily | 0.2 | 1.8 | 0.4 | -0.5 | -1.4 | 0.1 | 0.2 | 1.0 | 5.8 | LU0616900691 | Daily | France | Exane Asset Management | Eric Lauri | 73 | 50 | 71 | 74 | 85 | |||||||||||
| Franklin K2 ActusRay European Alpha UCITS Fund | Dec 2022 | Europe | £63m | 1.25% | 20% | Yes | 5,000,000 | Daily | 0.6 | 6.3 | 0.9 | 3.5 | 4.2 | 4.3 | LU2511867744 | Daily | Luxembourg | K2 Advisors | Andrew Alexander | Yes | No | Article 6 | No | N/A | N/A | |||||||||||
| Fulcrum Thematic Equity Market Neutral | Aug 2020 | Global | £394m | 1.50% | 20% | No | 1,000,000 | Daily | 0.0 | -2.2 | -5.1 | 0.4 | 1.3 | 2.1 | 0.2 | -8.0 | -6.8 | -14.7 | LU2164659893 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fawaz Chaudhry | Yes | Yes | Article 6 | No | N/A | N/A | |||||||
| HI European Market Neutral Fund | Oct 2012 | Europe | £70m | 1.50% | 20% | 500,000 | Daily | -0.1 | 1.2 | 2.0 | 0.0 | 2.2 | 2.3 | 2.9 | 1.6 | 4.8 | 2.4 | IE00B83N7116 | Daily | Ireland | Hedge Invest SGR p.A. | Paul Marriage | Article 6 | 70 | 33 | 77 | 70 | 74 | ||||||||
| InRIS Perdurance Market Neutral | Oct 2017 | Global | £10m | 1.00% | 20% | None | 500,000 | Daily | -0.2 | 4.4 | 3.7 | -1.5 | -1.1 | 1.1 | 1.0 | 2.4 | 0.3 | 1.0 | IE00BZ60LC73 | Daily | Ireland | Perdurance Asset Management | Ivan Briery | 24 | 18 | 98 | 86 | 23 | ||||||||
| Janus Henderson Global Equity Market Neutral Fund | Feb 2017 | Global | £33m | 0.75% | 20% | Yes | 1,000,000 | Daily | -1.4 | -1.5 | 0.3 | 2.5 | 1.2 | -0.1 | -3.9 | -7.5 | LU1542613549 | Daily | Luxembourg | Janus Henderson Investors | Steve Johnstone | Yes | Yes | Article 6 | Yes | Yes | N/A | 20 | 10 | 65 | 69 | 47 | ||||
| JPM Europe Equity Absolute Alpha | Dec 2013 | Europe | £283m | 0.75% | 15% | Daily | 0.6 | 4.1 | 8.3 | -0.3 | 4.0 | 3.2 | 4.2 | 2.0 | 17.7 | 25.3 | LU1001748398 | Daily | Luxembourg | J.P.Morgan Asset Management | Nicholas Horne, Ben Stapley... | Article 8 | 96 | 87 | 73 | 93 | 91 | |||||||||
| KLS Scopia Market Neutral Equity | Aug 2023 | US | 1.50% | 20% | Yes | 1,000,000 | Daily | 0.0 | IE0001IUURY9 | Daily | Ireland | Scopia Capital Management LP | Matt Sirovich, Jeremy Mindi... | Yes | Yes | Article 8 | Yes | Yes | N/A | |||||||||||||||||
| LandseerAM European Equity Focus Long/Short Fund | Oct 2020 | Europe | £459m | 1.00% | 20% | Yes | 1,000,000 | Daily | -0.2 | 1.5 | 2.0 | -0.5 | 0.8 | 2.9 | 1.4 | 1.9 | 3.5 | 13.3 | LU2214765658 | Daily | Luxembourg | Landseer Asset Management (... | Andy Billett, Roger Guy, Pa... | Yes | Yes | Article 8 | Yes | No | Yes | |||||||
| LGT Sustainable Equity Market Neutral | Sep 2017 | Global | £89m | 0.80% | 0% | No | 1,000,000 | Daily | -5.7 | -0.6 | -0.4 | -0.9 | -3.0 | -5.9 | -3.8 | -8.0 | -10.6 | IE00BF1D8J71 | Daily | Ireland | LGT Capital Partners | LGT Capital Partners | Yes | Yes | Article 8 | Yes | Yes | Yes | 10 | 12 | 76 | 66 | 41 | |||
| LO Funds - TerreNeuve | Sep 2018 | Global | £87m | 1.50% | 20% | 1,000,000 | Weekly | -1.5 | -15.5 | 11.8 | -2.8 | -5.1 | -7.8 | -12.3 | -16.9 | -9.6 | -2.6 | LU1858041194 | Weekly | Luxembourg | Lombard Odier Investment Ma... | Arnaud Langlois | Yes | Yes | Article 8 | Yes | Yes | N/A | 38 | 46 | 66 | 78 | 27 | |||
| Lumyna - Sandbar Global Equity Market Neutral UCITS | Oct 2019 | Global | £364m | 1.40% | 20% | No | 1,000,000 | Daily | 0.0 | -0.4 | -7.1 | -0.5 | 0.9 | 1.6 | -0.7 | -8.2 | -11.2 | -17.2 | LU2061570466 | Daily | Luxembourg | Sandbar Asset Management (SAM) | Michael Cowley | Yes | Yes | Article 8 | Yes | Yes | Yes | 4 | 3 | 74 | 52 | 11 | ||
| Man GLG Alpha Select Alternative | Feb 2010 | UK | £1.6b | 0.75% | 20% | Yes | 1,000,000 | Daily | -0.1 | 6.9 | 4.7 | -0.1 | 2.2 | 1.8 | 4.3 | 5.3 | 15.1 | 21.2 | IE00B60S2G54 | Daily | Ireland | Man Group Plc | Charles Long, Nick Judge | No | Yes | Article 6 | No | N/A | N/A | 100 | 84 | 71 | 84 | 96 | ||
| Man GLG Asia Pacific (ex Japan) Equity Alternative | Dec 2020 | Asia | £58m | 1.00% | 20% | No | 1,000,000 | Daily | 0.1 | -2.0 | 5.7 | 0.2 | -0.6 | -2.8 | -3.8 | -1.4 | 4.0 | IE00BN15T637 | Daily | Ireland | Man Group Plc | Andrew Swan | No | Yes | Article 8 | Yes | N/A | N/A | ||||||||
| Man GLG European Equity Alternative | Jul 2011 | Europe | £106m | 2.00% | 20% | Yes | 1,000,000 | Daily | -0.2 | -2.5 | -2.5 | -0.7 | -0.4 | -1.6 | -2.1 | -3.7 | -5.3 | -3.2 | IE00B5591813 | Daily | Ireland | Man Group Plc | Ikitsa Anastasov, Neil Mason | No | Yes | Article 6 | No | N/A | N/A | 58 | 32 | 80 | 87 | 63 | ||
| Marble Bar - Chelodina UCITS | Nov 2019 | Global | £112m | 1.50% | 20% | 5,000,000 | Daily | 0.0 | -1.7 | 5.3 | 0.0 | 0.4 | -0.1 | -1.8 | -0.4 | 2.4 | 4.2 | IE00BFMZN539 | Daily | Ireland | Marble Bar | MBAM | 89 | 55 | 87 | 86 | 98 | |||||||||
| Nordea 1 - Global Equity Market Neutral Fund | Jun 2020 | Global | £39m | 1.00% | 15% | 75,000 | Daily | -0.1 | -0.1 | 1.3 | -0.2 | 2.6 | 0.7 | 3.7 | 1.1 | -0.3 | LU2166349774 | Daily | Luxembourg | Nordea | Jakob Nordestedt | Article 8 | 41 | 25 | 96 | 87 | 70 | |||||||||
| Pictet Agora | Jul 2014 | Europe | £249m | 1.10% | 20% | Yes | 1,000,000 | Weekly | 0.1 | 0.1 | 1.5 | -0.3 | 0.0 | -0.6 | -3.9 | -0.8 | -0.7 | -1.2 | LU1071463266 | Weekly | Luxembourg | Pictet Funds (Europe) S.A. | Vincent Ljaouane, Julian Al... | Yes | Yes | Article 6 | Yes | Yes | Yes | 33 | 21 | 95 | 78 | 41 | ||
| Portland Hill Fund SICAV - ESG European Long/Short | Dec 2018 | Europe | £4m | 1.50% | 20% | No | 1,000,000 | Weekly | -0.4 | 4.4 | -8.8 | -0.4 | -2.5 | 0.1 | 1.9 | 1.7 | -2.5 | 7.8 | LU1842610906 | Weekly | Luxembourg | Other | Thierry Lucas | No | Yes | Article 8 | Yes | Yes | Yes | 39 | 53 | 32 | 24 | 37 | ||
| Protea UCITS II ECO Advisors ESG Absolute Return | Jul 2019 | Global | £159m | 0.60% | 0% | No | 3,000,000 | Daily | -0.5 | -2.9 | 1.6 | -1.5 | -2.3 | -3.7 | -3.8 | -3.0 | 3.1 | -1.1 | LU2002381171 | Daily | Luxembourg | Ethical Capital Opportunity... | Josh Gennet, Tristan Elwell | Yes | Yes | Article 8 | Yes | Yes | Yes | 88 | 41 | 59 | 58 | 79 | ||
| S14 Absolute Return | Feb 2022 | Global | £8m | 1.25% | 20% | Yes | 250,000 | Daily | 0.0 | FR0014004I24 | Daily | France | S14 Capital | No | No | Article 6 | No | No | N/A | |||||||||||||||||
| Schroder ISF Sustainable European Market Neutral Fund | Aug 2012 | Europe | £19m | 0.75% | 20% | Yes | 1,000 | Daily | -2.9 | -5.4 | -0.4 | -2.2 | -2.4 | -3.3 | -2.9 | -8.6 | -7.6 | LU0748063848 | Daily | Luxembourg | Schroders | Nicholette MacDonald-Brown,... | Yes | Yes | Article 8 | Yes | Yes | Yes | 11 | 4 | 79 | 59 | 20 | |||
| TM Tellworth UK Select | Dec 2014 | UK | £587m | 0.50% | 10% | Yes | 5,000,000 | Daily | 0.2 | 4.8 | 7.8 | 0.4 | 2.8 | 4.5 | 5.8 | 6.3 | 16.3 | 30.8 | GB00BTC2N411 | Daily | UK | Tellworth Investments | John Warren | 100 | 88 | 88 | 85 | 100 | ||||||||
| Trium Climate Impact Fund | Oct 2022 | Europe | £31m | 0.50% | 10% | Yes | 1,000 | Daily | -0.1 | -0.4 | -0.6 | -2.5 | IE000J6OJ9C5 | Daily | Ireland | Trium Capital | Joe Mares & Tom Ayres | Yes | Yes | Article 9 | Yes | Yes | N/A | |||||||||||||
| Trium ESG Emissions Improvers Fund | Sep 2019 | Europe | £290m | 1.00% | 20% | Yes | 1,000 | Daily | -0.4 | 5.0 | 12.6 | -0.2 | 2.2 | 5.3 | 4.3 | 6.6 | 17.8 | 13.6 | IE00BKDV3Y45 | Daily | Ireland | Trium Capital | Joe Mares | Yes | Yes | Article 8 | Yes | Yes | Yes | 67 | 69 | 92 | 93 | 69 | ||
| U Access – Long/Short Japan Corporate Governance | Jul 2020 | Japan | £49m | 1.25% | 15% | Weekly | 7.8 | -1.3 | 0.2 | 1.9 | 2.2 | 6.4 | 14.9 | 4.9 | 15.3 | LU2187695437 | Weekly | Luxembourg | UBP Asset Management | Zuhair Kahn | Article 6 | 48 | 74 | 44 | 51 | 52 | ||||||||||
| UBAM - Europe Market Neutral | Jul 2019 | Europe | £13m | 1.00% | Daily | 2.5 | -10.7 | 0.5 | 1.8 | 2.6 | 2.1 | -6.7 | -8.8 | LU2001958847 | Daily | Luxembourg | UBP Asset Management | Geoffroy Gridel, Alexandre ... | Article 6 | 17 | 11 | 45 | 29 | 23 | ||||||||||||
| Velox Fund | Apr 2016 | Europe | £278m | 1.25% | 20% | No | 5,000,000 | Daily | 0.0 | -2.0 | 9.9 | 0.1 | 1.4 | 0.3 | -2.1 | -2.0 | 6.6 | 12.2 | LU1358059639 | Daily | Luxembourg | Marble Bar | Dimitri Kern, Jeremy Stone | Yes | Yes | Article 8 | Yes | Yes | Yes | 98 | 72 | 55 | 92 | 97 | ||
| Wellington Climate Market Neutral Fund | Oct 2021 | Global | £29m | 1.00% | 20% | No | 1,000,000 | Daily | -0.2 | -6.9 | -6.5 | -1.1 | -3.6 | -3.7 | -5.8 | -7.8 | -12.7 | LU2378186360 | Daily | Luxembourg | Wellington Management | Alan Hsu | Article 8 | |||||||||||||
| Zest North America Pairs Relative | May 2015 | US | £38m | 0.90% | 20% | 100,000 | Daily | 12.5 | -8.7 | 0.4 | 1.2 | 3.7 | 20.1 | 1.9 | 10.5 | LU1216084993 | Daily | Luxembourg | Zest Asset Management | Pasquale Corvino | 54 | 67 | 11 | 3 | 16 |
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