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
2019 0.5 -1.6 -0.4 -1.7 0.5 -0.1 -0.5 -0.7 -0.7 -0.7 -0.4 -5.8
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
BlackRock European Diversified Equity Absolute Return Systematic 7.4
Schroder GAIA Two Sigma Diversified Systematic 5.4
Marshall Wace - MW Liquid Alpha Systematic 3.2
Blackrock Americas Diversified Equity Absolute Return Systematic 2.6
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 1.9
Algebris Quant Arbitrage Systematic 1.6
ERAAM Long/Short Equity Market Neutral Systematic 0.9
KLS Zebra Global Equity Beta Neutral Systematic 0.4
JL Equity Market Neutral Systematic -0.2
RAM Long/Short European Equities Systematic -1.2

Bottom Funds YTD

YTD
BMO Global Equity Market Neutral V10 Systematic -28.7
Invesco Global Equity Market Neutral Systematic -24.1
AQR Style Premia: Equity Market Neutral UCITS Systematic -13.6
Merian Global Equity Absolute Return Systematic -11.5
BNP THEAM Quant - Equity World DEFI Market Neutral Systematic -9.5
AQC Algert Global Equity Market Neutral Systematic -7.8
Oyster Equity Premia Europe Systematic -6.8
GS Equity Risk Premia Long/Short Strategy Systematic -6.3
Schroder ISF QEP Global Equity Market Neutral Systematic -4.1
RAM Long/Short Emerging Markets Equities Systematic -3.5

Largest New Launches (12M)

AUM
Lyxor / Academy Quantitative Global UCITS £49m
Algebris Quant Arbitrage £24m
FORT Global UCITS Equity Market Neutral £23m

Largest Systematic Funds

AUM
Merian Global Equity Absolute Re... £4.8b
Lumyna - Marshall Wace TOPS (Mkt... £1.8b
Marshall Wace - MW Liquid Alpha £1.5b
Schroder GAIA Two Sigma Diversified £1.5b
Blackrock Americas Diversified E... £1.1b

Largest Inflows (Q3'19 - Q3'18)

Change AUM
Blackrock Americas Diversified E... £123m £1.1b
Schroder GAIA Two Sigma Diversified £83m £1.5b
ERAAM Long/Short Equity Market N... £41m £46m
AQC Algert Global Equity Market ... £19m £32m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
Merian Global Equity Absolute Re... £-7,329m £4.8b
Lumyna - Marshall Wace TOPS (Mkt... £-1,002m £1.8b
BMO Global Equity Market Neutral... £-349m £363m
RAM Long/Short Global Equities £-215m £24m
RAM Long/Short European Equities £-198m £858m

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