Macro

Strategy Research, 24 Oct 2019

Index Research Funds

AH Macro UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 1.5 0.1 0.4 0.7 -0.4 1.0 0.3 0.3 0.9 0.5 -0.1 5.1
2018 1.3 -0.8 -0.7 0.4 -1.3 -0.6 0.4 -1.6 0.3 -0.6 -0.2 -0.3 -3.8
2017 -0.2 0.1 0.5 0.2 0.3 0.3 0.1 0.0 0.4 0.4 -0.3 -0.3 1.7
2016 -0.7 -0.7 0.3 0.5 0.0 -1.0 0.8 0.1 -0.4 1.1 -1.0 1.0 0.0
2015 0.9 0.7 0.2 0.1 0.4 -1.1 0.1 -1.2 -1.3 0.7 -0.1 -0.8 -1.4
2014 -0.8 0.4 0.1 -0.3 0.7 -0.5 0.1 0.0 0.7 -0.4 0.5 -0.7 -0.3
2013 1.2 0.0 0.1 0.5 0.8 -1.4 0.1 -0.7 0.2 0.8 0.1 0.5 2.3
2012 1.3 1.0 -0.3 -0.9 -1.1 -0.2 0.9 0.3 0.4 -0.2 0.1 0.4 1.7
2011 -0.5 0.6 -0.1 0.4 -0.7 -1.5 -0.2 -1.7 -1.5 1.1 -0.3 0.2 -4.1
2010 -0.2 0.8 1.9 0.4 -2.5 -1.0 0.4 1.1 1.3 0.0 0.1 1.4 3.7
Download Index Return Series

Top Funds YTD

YTD
H2O Allegro Opportunistic 33.4
H2O Vivace Opportunistic 27.2
Keynes Dynamic Beta Strategy Systematic 19.4
Algebris Macro Credit Fund Opportunistic 18.9
H2O MultiReturns Opportunistic 14.8
Lyxor / Dymon Asia Macro Opportunistic 14.5
Legg Mason Western Asset Macro Opportunities Bond Opportunistic 14.1
GAM Systematic Core Macro Systematic 13.2
Eaton Vance Global Macro Diversified 12.0
M&G Episode Macro Fund Opportunistic 11.0

Bottom Funds YTD

YTD
Odey Odyssey Opportunistic -28.7
HI QuantWave Fund Systematic -18.1
IPM Systematic Macro UCITS Systematic -5.4
MontLake North MaxQ Macro UCITS Opportunistic -3.8
Melchior Systematic Global Macro Systematic -3.5
Lemanik SICAV Global Strategy Opportunistic -2.6
Aspect Systematic Global Macro Systematic -1.9
Manulife Absolute Return Rates Fund Opportunistic -1.9
Quantitative Fixed Income Macro UCITS Systematic -1.3
AQR Global Macro Opportunities UCITS Systematic -1.2

Largest New Launches (12M)

AUM
Lyxor / Bridgewater Core Global Macro £528m
Two Trees Systematic Global Macro Fund £41m
Pacific G10 Macro Rates £36m

Strategy AUM

30 September 2019
£54.7b -24% YOY

Largest Funds

AUM
Invesco Global Targeted Returns £10.3b
ASI Global Absolute Return Strat... £6.9b
Legg Mason Western Asset Macro ... £5.5b
Aviva Investors Multi-Strategy T... £4.3b
JPM Global Macro Opportunities (... £4.3b

Largest Inflows (Q3'19 - Q3'18)

Change AUM
JPM Global Macro Opportunities £205m £1.5b
KLS Arete Macro £139m £229m
Bellevue Funds (LUX) BB Global M... £121m £572m
River and Mercantile Global Macro £93m £98m
H2O MultiReturns £83m £467m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
ASI Global Absolute Return Strat... £-8,217m £6.9b
ASI Global Absolute Return Strat... £-3,271m £2.5b
Invesco Global Targeted Returns ... £-2,542m £2.9b
Invesco Global Targeted Returns £-2,357m £10.3b
H2O Adagio £-1,370m £3.8b

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.