Market Neutral Systematic

Strategy Research, 18 Jun 2020

Index Research Funds

Sub Index - Market Neutral Systematic

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 1.3 -0.4 2.0 1.1 0.6 0.4 1.7 0.0 6.8
2020 -0.5 -1.6 -4.3 0.8 -0.6 -0.3 0.8 -0.7 0.2 -0.4 -2.5 0.6 -8.3
2019 0.5 -1.6 -0.4 -1.7 0.5 -0.1 -0.5 -0.7 -0.7 -0.7 -0.5 -0.6 -6.4
2018 0.7 -1.2 0.3 0.2 0.2 -1.1 -0.1 0.1 -0.3 -1.1 -2.2 0.9 -3.6
2017 0.2 1.0 0.0 0.1 -0.9 -0.3 0.8 1.0 -0.6 1.1 -0.1 -0.4 2.0
2016 -0.3 -0.1 0.8 -1.4 -0.7 -1.0 0.6 -1.2 0.6 0.0 -0.3 0.1 -2.8
2015 0.8 -0.3 0.4 -1.4 0.8 0.2 0.8 0.2 1.6 -0.7 0.5 1.7 4.7
2014 1.1 0.4 0.2 -0.4 0.3 0.0 0.1 0.0 0.9 0.8 0.8 1.3 5.7
2013 1.2 1.7 1.3 1.6 -0.1 1.0 0.3 -0.6 0.3 1.0 0.6 0.4 9.2
2012 -0.1 0.7 0.9 0.2 0.1 0.5 0.6 0.1 0.5 0.9 0.0 -0.6 4.0
2011 0.5 0.7 0.6 0.6 0.8 0.2 1.2 0.8 -0.6 -0.3 0.5 1.2 6.5
2010 0.5 0.2 0.5 -0.1 -0.8 -0.8 -0.5 0.0 1.0 0.6 0.9 -0.1 1.5
Download Index Return Series

Top Funds YTD

YTD
RAM (LUX) Systematic Funds Long/Short Glob... Systematic 16.3
Merian Global Equity Absolute Return Systematic 15.0
RAM (LUX) Systematic Funds Long/Short Euro... Systematic 13.4
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 11.4
BNP THEAM Quant - Equity World DEFI Market... Systematic 10.1
RAM (LUX) Systematic Funds - Global Equiti... Systematic 10.1
ERAAM Long/Short Equity Market Neutral Systematic 7.5
AXA World Funds - Chorus Equity Market Neu... Systematic 6.5
BlackRock Americas Diversified Equity Abso... Systematic 6.3
Fidelity Absolute Return Global Equity Systematic 6.1

Bottom Funds YTD

YTD
Osmosis Resource Efficient Equity Market N... Systematic -4.4
Seven Fortress Fund Systematic -2.4
Schroder GAIA Two Sigma Diversified Systematic 1.2
JL Equity Market Neutral Systematic 2.5
Oyster Equity Premia Global Systematic 3.3
Marshall Wace - Systematic Alpha UCITS Fund Systematic 5.9
Fidelity Absolute Return Global Equity Systematic 6.1
BlackRock Americas Diversified Equity Abso... Systematic 6.3
AXA World Funds - Chorus Equity Market Neu... Systematic 6.5
ERAAM Long/Short Equity Market Neutral Systematic 7.5

Largest New Launches (12M)

AUM
Fidelity Absolute Return Global Equity £5m

Largest Systematic Funds

AUM
Merian Global Equity Absolute Re... £1.4b
Marshall Wace - Systematic Alpha... £1.2b
Schroder GAIA Two Sigma Diversified £724m
Lumyna - Marshall Wace TOPS (Mkt... £715m
BlackRock Americas Diversified E... £478m

Largest Inflows (Q2'21 - Q2'20)

Change AUM
Marshall Wace - Systematic Alpha... £155m £1.2b
Merian Global Equity Absolute Re... £106m £1.4b
AXA World Funds - Chorus Equity ... £75m £115m
BDLCM Funds - Durandal £20m £47m
Oyster Equity Premia Global £9m £24m

Largest Outflows (Q2'21 - Q2'20)

Change AUM
Schroder GAIA Two Sigma Diversified £-485m £724m
RAM (LUX) Systematic Funds Long/... £-394m £157m
BlackRock Americas Diversified E... £-294m £478m
Lumyna - Marshall Wace TOPS (Mkt... £-150m £715m
JL Equity Market Neutral £-35m £18m

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