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
2020 -0.5 -1.6 -4.3 0.8 -0.5 -6.0
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
Marshall Wace - MW Liquid Alpha Systematic 5.6
Blackrock Americas Diversified Equity Abso... Systematic 4.6
Quantology Absolute Return Systematic 4.4
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 4.0
Seven Fortress Fund Systematic 3.5
Osmosis Resource Efficient Equity Market N... Systematic 2.9
BNP THEAM Quant - Equity World DEFI Market... Systematic 1.3
JL Equity Market Neutral Systematic -2.9
Oyster Equity Premia Global Systematic -3.5
Schroder GAIA Two Sigma Diversified Systematic -3.7

Bottom Funds YTD

YTD
Invesco Global Equity Market Neutral Systematic -17.5
KLS Zebra Global Equity Beta Neutral Systematic -11.9
RAM Long/Short Emerging Markets Equities Systematic -11.0
Plato Global Market Neutral Fund Systematic -10.4
RAM Long/Short European Equities Systematic -7.5
FORT Global UCITS Equity Market Neutral Systematic -7.3
ERAAM Long/Short Equity Market Neutral Systematic -6.3
Schroder ISF QEP Global Equity Market Neutral Systematic -5.7
BlackRock European Diversified Equity Abso... Systematic -5.6
Merian Global Equity Absolute Return Systematic -3.8

Largest New Launches (12M)

AUM
Plato Global Market Neutral Fund £13m

Largest Systematic Funds

AUM
Merian Global Equity Absolute Re... £1.5b
Schroder GAIA Two Sigma Diversified £1.2b
Marshall Wace - MW Liquid Alpha £967m
Lumyna - Marshall Wace TOPS (Mkt... £900m
Blackrock Americas Diversified E... £697m

Largest Inflows (Q1'20 - Q1'19)

Change AUM
ERAAM Long/Short Equity Market N... £48m £70m
Osmosis Resource Efficient Equit... £19m £49m

Largest Outflows (Q1'20 - Q1'19)

Change AUM
Merian Global Equity Absolute Re... £-7,162m £1.5b
Lumyna - Marshall Wace TOPS (Mkt... £-1,179m £900m
Marshall Wace - MW Liquid Alpha £-565m £967m
RAM Long/Short European Equities £-275m £672m
Blackrock Americas Diversified E... £-223m £697m

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