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
2023 -0.7 0.8 0.1
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
Download Index Return Series

Top Funds YTD

YTD
Schroder GAIA Two Sigma Diversified Systematic 3.7
FP Artellium Evolution Systematic 3.3
AXA World Funds - Chorus Equity Market Neu... Systematic 3.0
Osmosis Resource Efficient Equity Market N... Systematic 2.6
BlackRock Americas Diversified Equity Abso... Systematic 2.4
Jupiter Merian Global Equity Absolute Retu... Systematic 1.1
Lumyna - MW TOPS (Market Neutral) UCITS Fund Systematic 0.4
Fidelity Absolute Return Global Equity Systematic 0.2
Lumyna - MW ESG (Market Neutral) TOPS UCIT... Systematic 0.2
GMO Equity Dislocation Investment Fund Systematic -1.0

Bottom Funds YTD

YTD
BNP THEAM Quant - Equity World DEFI Market... Systematic -4.6
Lumyna - MW Systematic Alpha UCITS Fund Systematic -3.9
RAM (LUX) Systematic Funds Long/Short Glob... Systematic -1.7
Seven Fortress Fund Systematic -1.3
RAM (LUX) Systematic Funds Long/Short Euro... Systematic -1.0
GMO Equity Dislocation Investment Fund Systematic -1.0
Lumyna - MW ESG (Market Neutral) TOPS UCIT... Systematic 0.2
Fidelity Absolute Return Global Equity Systematic 0.2
Lumyna - MW TOPS (Market Neutral) UCITS Fund Systematic 0.4
Jupiter Merian Global Equity Absolute Retu... Systematic 1.1

Largest Systematic Funds

AUM
Lumyna - MW TOPS (Market Neutral... £1.3b
Jupiter Merian Global Equity Abs... £1.3b
Lumyna - MW ESG (Market Neutral)... £1.2b
Lumyna - MW Systematic Alpha UCI... £1.1b
GMO Equity Dislocation Investmen... £1.0b

Largest Inflows (Q4'22 - Q4'21)

Change AUM
GMO Equity Dislocation Investmen... £859m £1.0b
Lumyna - MW ESG (Market Neutral)... £675m £1.2b
Lumyna - MW TOPS (Market Neutral... £408m £1.3b
Jupiter Merian Global Equity Abs... £194m £1.3b
BlackRock Americas Diversified E... £46m £636m

Largest Outflows (Q4'22 - Q4'21)

Change AUM
Schroder GAIA Two Sigma Diversified £-144m £482m
Lumyna - MW Systematic Alpha UCI... £-68m £1.1b
BNP THEAM Quant - Equity World D... £-21m £33m
Osmosis Resource Efficient Equit... £-13m £33m
Seven Fortress Fund £0m £2m

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