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 -0.6 -0.3 0.8 -0.7 0.2 -0.4 -6.5
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
AXA World Funds - Chorus Equity Market Neu... Systematic 9.6
Marshall Wace - MW Systematic Alpha UCITS ... Systematic 7.1
Quantology Absolute Return Systematic 5.1
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 5.0
Osmosis Resource Efficient Equity Market N... Systematic 4.6
Oyster Equity Premia Global Systematic 2.7
Seven Fortress Fund Systematic 0.3
Blackrock Americas Diversified Equity Abso... Systematic -2.7
JL Equity Market Neutral Systematic -4.2
Merian Global Equity Absolute Return Systematic -4.6

Bottom Funds YTD

YTD
Invesco Global Equity Market Neutral Systematic -24.5
KLS Zebra Global Equity Beta Neutral Systematic -19.7
Schroder ISF QEP Global Equity Market Neutral Systematic -19.0
Plato Global Market Neutral Fund Systematic -15.7
RAM Long/Short European Equities Systematic -10.5
RAM Long/Short Emerging Markets Equities Systematic -8.6
FORT Global UCITS Equity Market Neutral Systematic -8.1
ERAAM Long/Short Equity Market Neutral Systematic -8.0
Schroder GAIA Two Sigma Diversified Systematic -7.3
BNP THEAM Quant - Equity World DEFI Market... Systematic -6.2

Largest Systematic Funds

AUM
Schroder GAIA Two Sigma Diversified £1.1b
Merian Global Equity Absolute Re... £1.1b
Marshall Wace - MW Systematic Al... £1.0b
Lumyna - Marshall Wace TOPS (Mkt... £831m
Blackrock Americas Diversified E... £734m

Largest Inflows (Q3'20 - Q3'19)

Change AUM
Osmosis Resource Efficient Equit... £0m £49m

Largest Outflows (Q3'20 - Q3'19)

Change AUM
Merian Global Equity Absolute Re... £-3,753m £1.1b
Lumyna - Marshall Wace TOPS (Mkt... £-939m £831m
Marshall Wace - MW Systematic Al... £-457m £1.0b
Schroder GAIA Two Sigma Diversified £-349m £1.1b
Blackrock Americas Diversified E... £-342m £734m

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