Market Neutral Systematic
Sub Index - Market Neutral Systematic
Systematic market neutral are those managers looking to isolate stock-specific alpha by buying securities with ‘positive’ attributes and selling securities with ‘negative’ attributes generally inferred through statistical analysis, while neutralising portfolio exposure to idiosyncratic (via portfolio diversification) and market risk (via residual hedges). Within this category, there is also a rather small cohort of managers applying price-based, trading orientated arbitrage techniques to exploit technical anomalies that can derive from changes in liquidity conditions, volatility, etc.
Strategy AUM
30 June 2023
£6.9b
-4.6% YoY
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2023 | -0.7 | 0.8 | 0.3 | 0.7 | -0.5 | 1.1 | -0.3 | 0.7 | 1.7 | 3.8 | ||||
2022 | -0.5 | -0.4 | 1.7 | 0.2 | -0.7 | -0.3 | 0.6 | -0.3 | 0.8 | 0.1 | -0.2 | 0.0 | 1.1 | |
2021 | 1.3 | -0.4 | 2.0 | 1.1 | 0.6 | 0.4 | 1.7 | 0.0 | -1.7 | 0.7 | 0.4 | 1.8 | 8.1 | |
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 | |
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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 |
||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
BDLCM Funds - Durandal | Nov 2018 | Global | £81m | 0.90% | 20% | 100,000 | Weekly | 0.3 | 0.8 | -0.6 | LU1891683903 | Weekly | Luxembourg | BDL Capital Management | Maxime Hayot | 28 | 17 | 81 | 62 | 53 | ||||||||||||||||
BlackRock Americas Diversified Equity Absolute Return | Feb 2012 | US | £517m | 1.00% | 20% | No | 10,000,000 | Daily | -0.1 | 3.6 | 4.8 | 0.7 | 2.0 | 3.1 | 0.1 | 6.9 | 14.1 | 14.1 | LU0725887540 | Daily | Luxembourg | BlackRock Investment Manage... | Raffaele Savi, Travis Cooke | Yes | Yes | Article 6 | Yes | Yes | Yes | 85 | 47 | 80 | 84 | 59 | ||
BlackRock Asia Pacific Diversified Equity Absolute Return | Feb 2017 | Asia | £39m | 1.00% | 20% | No | 100,000 | Daily | 0.2 | 13.1 | 8.9 | 0.4 | -0.1 | 2.2 | 8.9 | 14.0 | 18.2 | 33.6 | LU1508158190 | Daily | Luxembourg | BlackRock Investment Manage... | Jeff Shen | Yes | Yes | Article 6 | Yes | Yes | Yes | 78 | 93 | 91 | 81 | 75 | ||
BlackRock Systematic Global Long/Short Equity | Jun 2014 | Global | 1.50% | 0% | 0.1 | 4.1 | 0.1 | 0.5 | 0.7 | 1.3 | 2.7 | 6.9 | 5.2 | 5.2 | LU1069250113 | Luxembourg | BlackRock Investment Manage... | Kevin Franklin, Andrew Huzzey | ||||||||||||||||||
BNP THEAM Quant - Equity World DEFI Market Neutral | Dec 2017 | Global | £17m | 0.34% | None | 100,000 | Daily | 2.9 | -3.0 | 0.7 | 4.2 | 11.0 | 7.5 | 4.2 | 5.9 | 7.1 | LU1685640408 | Daily | Luxembourg | BNP Paribas Asset Management | Fabrice Ricci | 39 | 12 | 88 | 52 | 22 | ||||||||||
Fidelity Absolute Return Global Equity | Sep 2020 | Global | £52m | 0.80% | 15% | 10,000,000 | Daily | -0.1 | 7.5 | 10.5 | 0.4 | 0.3 | 3.4 | 7.5 | 10.8 | 18.4 | 19.6 | LU2210152588 | Daily | Luxembourg | Fidelity International | Hiten Savani, Matt Jones | Article 6 | |||||||||||||
FP Artellium Evolution | May 2021 | Global | £68m | 1.25% | 20% | Yes | 5,000,000 | Daily | 10.3 | 0.7 | 0.0 | 0.5 | 3.0 | 6.5 | 7.4 | 14.8 | DE000A0Q95M1 | Daily | Germany | First Private Investment Ma... | No | Yes | Article 6 | No | No | No | ||||||||||
GMO Equity Dislocation Investment Fund | May 2021 | Global | £992m | 0.35% | 20% | Yes | 1,000,000 | Daily | 0.1 | 5.3 | 14.7 | 0.2 | 3.1 | 7.0 | 6.8 | 7.9 | 27.2 | IE00BF199475 | Daily | Ireland | Grantham, Mayo, Van Otterlo... | Ben Inker, Simon Harris | Yes | Yes | Article 6 | Yes | Yes | N/A | ||||||||
Jupiter Merian Global Equity Absolute Return Fund | Jun 2009 | Global | £1.4b | 0.75% | 20% | Yes | 1,000,000 | Daily | 0.5 | 7.5 | 9.1 | 0.6 | 2.2 | 3.0 | 6.0 | 10.0 | 21.4 | 37.4 | IE00BLP5S809 | Daily | Ireland | Jupiter Investment Manageme... | Ian Heslop, Amadeo Alentorn... | Yes | No | Article 6 | No | N/A | N/A | 90 | 93 | 97 | 89 | 92 | ||
Lumyna - MW Systematic Alpha UCITS Fund | Jul 2015 | Global | £955m | 1.00% | 20% | 5,000,000 | Daily | -4.4 | 3.8 | 0.1 | 1.8 | -1.6 | -0.7 | -10.2 | LU2367654154 | Daily | Ireland | Marshall Wace LLP | Anthony Clake, Alan Hofmeyr | 60 | 56 | 75 | 85 | 54 | ||||||||||||
Lumyna - MW TOPS Environmental Focus (Market Neutral) UCITS Fund | Jul 2020 | Global | £1.3b | 1.00% | 20% | 5,000,000 | Weekly | 2.4 | 7.8 | -0.1 | 0.8 | -0.1 | 1.1 | 1.0 | LU2367661019 | Weekly | Ireland | Marshall Wace LLP | Anthony Clake | Article 8 | ||||||||||||||||
Lumyna - MW TOPS (Market Neutral) UCITS Fund | Nov 2007 | Global | £1.3b | 1.50% | 20% | No | 1,000,000 | Daily | 1.0 | 10.2 | -0.3 | 0.4 | -1.2 | 0.5 | -0.9 | LU2367665861 | Daily | Luxembourg | Marshall Wace LLP | Anthony Clake | Yes | Yes | Article 6 | No | Yes | Yes | 99 | 90 | 97 | 88 | 95 | |||||
Nanjia Capital ICAV - CYRUS | Nov 2021 | Asia | £17m | 1.50% | 20% | 1,000,000 | Weekly | -0.8 | 0.7 | -0.1 | -0.3 | -1.8 | -3.0 | IE00BMQ8YW11 | Weekly | Ireland | WaterValley Capital Managem... | WaterValley Capital Management | ||||||||||||||||||
Osmosis Resource Efficient Equity Market Neutral | Aug 2018 | Global | £32m | 0.75% | 0% | No | 10,000 | Daily | 1.8 | 4.5 | 0.3 | 1.4 | 1.1 | -0.6 | 5.7 | 6.2 | 0.8 | IE00BF19C821 | Daily | Ireland | Osmosis Investment Management | Osmosis Investment Management | Yes | Yes | Article 9 | Yes | Yes | N/A | 33 | 26 | 84 | 68 | 40 | |||
Ossiam ESG Opportunity | Oct 2022 | Global | £9m | 0.50% | 0% | No | 1,000,000 | Daily | 0.0 | IE000NGJAI70 | Daily | Ireland | Ossiam | Yes | Yes | Article 8 | Yes | N/A | Yes | |||||||||||||||||
Persephone Cointegration Alpha | Mar 2022 | Europe | 0.90% | 0% | No | 100,000 | Daily | 0.0 | DE000A3CQVR4 | Daily | Germany | Persephone Quantitative Fin... | Persephone Quantitative Fin... | No | No | Article 6 | No | N/A | N/A | |||||||||||||||||
RAM (LUX) Systematic Funds - Global Equities Sustainable Alpha | Dec 2011 | Global | £13m | 1.50% | 15% | No | 1,000,000 | Daily | 0.2 | -4.8 | 0.3 | 2.6 | 0.7 | 1.1 | -3.3 | 1.0 | 4.2 | LU0705072188 | Daily | Luxembourg | RAM Active Investments | Emmanuel Hauptmann, Nicolas... | Yes | Yes | Article 8 | Yes | Yes | N/A | 49 | 56 | 81 | 83 | 48 | |||
RAM (LUX) Systematic Funds Long/Short European Equities | Dec 2011 | Europe | £130m | 1.50% | 15% | No | 1,000,000 | Daily | -1.3 | -0.8 | 1.0 | 4.7 | 3.7 | 1.0 | -1.8 | 4.6 | 6.7 | LU0705071701 | Daily | Luxembourg | RAM Active Investments | Emmanuel Hauptmann, Nicolas... | Yes | Yes | Article 8 | Yes | Yes | N/A | 61 | 58 | 68 | 71 | 40 | |||
RAM (LUX) Systematic Funds Long/Short Global Equities | Dec 2016 | Global | £19m | 1.50% | 15% | No | 1,000,000 | Daily | 0.5 | -1.4 | 1.2 | 3.5 | 2.7 | 2.6 | -0.3 | 2.7 | 9.5 | LU1520759363 | Daily | Luxembourg | RAM Active Investments | Emmanuel Hauptmann, Nicolas... | Yes | Yes | Article 8 | Yes | Yes | N/A | 51 | 64 | 87 | 80 | 53 | |||
Seven Fortress Fund | Jul 2016 | Global | £2m | 1.00% | 10% | EONIA | 100,000 | Daily | 2.1 | -17.0 | -0.5 | -1.5 | -2.1 | 1.9 | 3.8 | -11.9 | -20.7 | LU1388503580 | Daily | Luxembourg | Seven Capital Management | Seven Capital Management | 4 | 2 | 30 | 6 | 6 | |||||||||
Trium Avala Dynamic Equity Fund | Jun 2022 | Global | £18m | 1.00% | 15% | Yes | 1,000 | Daily | 4.8 | 0.6 | 1.6 | 2.8 | 2.6 | 6.8 | IE0000UA16W8 | Daily | Ireland | Trium Capital | Dan Jelicic & Adrian Luck | Yes | Yes | Article 6 | No | N/A | No |
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