Market Neutral Systematic

Strategy Research, 12 Sep 2017

Index Research Funds

Sub Index - Market Neutral Systematic

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.5 -0.5
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 Long/Short European Equities Systematic 3.2
JL Equity Market Neutral Systematic 2.5
GAM Systematic Global Equity Market Neutral Systematic 2.4
Marshall Wace - MW Liquid Alpha Systematic 2.3
Seven Fortress Fund Systematic 1.6
BlackRock European Diversified Equity Abso... Systematic 1.6
FORT Global UCITS Equity Market Neutral Systematic 1.3
Schroder GAIA Two Sigma Diversified Systematic 0.9
RAM Long/Short Global Equities Systematic 0.5
AQR Style Premia: Equity Market Neutral UCITS Systematic 0.2

Bottom Funds YTD

YTD
Schroder ISF QEP Global Equity Market Neutral Systematic -8.3
AQC Algert Global Equity Market Neutral Systematic -6.1
BMO Global Equity Market Neutral V10 Systematic -5.7
BNP THEAM Quant - Equity World DEFI Market... Systematic -5.3
KLS Zebra Global Equity Beta Neutral Systematic -5.0
Invesco Global Equity Market Neutral Systematic -4.0
Plato Global Market Neutral Fund Systematic -3.3
Oyster Equity Premia Global Systematic -2.3
GS Equity Risk Premia Long/Short Strategy Systematic -1.7
RAM Long/Short Emerging Markets Equities Systematic -1.4

Largest New Launches (12M)

AUM
Lyxor / Academy Quantitative Global UCITS £45m
Algebris Quant Arbitrage £30m
Plato Global Market Neutral Fund £21m

Largest Systematic Funds

AUM
Merian Global Equity Absolute Re... £2.9b
Lumyna - Marshall Wace TOPS (Mkt... £1.5b
Marshall Wace - MW Liquid Alpha £1.4b
Schroder GAIA Two Sigma Diversified £1.3b
Blackrock Americas Diversified E... £886m

Largest Inflows (Q4'19 - Q4'18)

Change AUM
ERAAM Long/Short Equity Market N... £51m £69m
Algebris Quant Arbitrage £19m £30m
Oyster Equity Premia Global £1m £25m

Largest Outflows (Q4'19 - Q4'18)

Change AUM
Merian Global Equity Absolute Re... £-7,344m £2.9b
Lumyna - Marshall Wace TOPS (Mkt... £-879m £1.5b
BMO Global Equity Market Neutral... £-592m £20m
RAM Long/Short European Equities £-326m £725m
AQR Style Premia: Equity Market ... £-314m £161m

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