Multi Strategy Systematic

Strategy Research, 26 Aug 2021

Index Research Funds

Sub Index - Multi Strategy Systematic

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.2 1.2 1.4
2022 -0.3 -0.5 0.6 1.4 0.3 -1.1 0.2 0.1 0.5 1.4 -0.3 -0.3 2.0
2021 0.1 0.0 2.2 0.8 1.5 -0.3 3.1 0.3 -1.1 -0.2 -0.5 1.8 8.0
2020 -0.3 -2.8 -4.5 0.3 -0.4 -0.8 0.9 -0.2 -0.2 -1.0 0.5 1.1 -7.2
2019 0.9 0.1 0.9 0.4 -1.3 1.5 1.3 0.1 -0.5 -0.7 0.3 -0.5 2.4
2018 1.3 -2.3 0.0 -0.1 -1.0 -0.5 0.1 -0.3 -0.2 -1.2 -0.6 -0.4 -5.3
2017 -0.1 2.0 0.2 0.4 0.2 -0.8 0.8 1.1 -0.5 1.4 0.5 0.3 5.3
2016 0.5 0.5 0.8 -0.9 0.2 1.4 1.0 -0.1 0.5 -0.4 -0.5 0.7 3.8
2015 2.2 0.9 1.2 -1.1 0.6 -2.2 1.6 -2.0 0.9 0.2 0.3 -0.4 2.1
2014 -2.2 -0.6 1.6 1.0 2.9 1.5 0.0 1.4 -0.8 -1.2 2.1 0.0 5.6
2013 2.4 -0.3 0.3 0.7 -1.3 -3.3 0.1 -2.2 1.0 2.7 1.3 -0.7 0.6
2012 2.9 2.6 -1.7 -2.6 0.7 0.0 1.8 -1.8 3.1 0.9 1.1 0.5 7.3
2011 0.3 -1.4 1.5 1.8 0.6 -1.5 -1.1 -3.6 -1.4 6.2 -5.5 2.7 -1.9
2010 -2.5 -2.7 1.6 -3.6 -4.1 0.0 3.1 -1.8 2.7 2.4 -3.4 2.7 -5.9
Download Index Return Series

Top Funds YTD

YTD
BlackRock Style Advantage Systematic 7.0
Assenagon Balanced EquiVol Systematic 3.5
U Access (IRL) Campbell Absolute Return UCITS Systematic 3.4
Goldman Sachs Absolute Return Tracker Port... Systematic 2.6
LFIS Vision UCITS - Premia Systematic 2.0
THEAM Quant-Cross Asset High Focus Systematic 2.0
GAM Systematic Alternative Risk Premia Systematic 1.6
Nordea 1 - Alpha 15 Systematic 1.3
Fortem Capital Alternative Growth Fund Systematic 1.1
Nordea 1 - Alpha 7 Systematic 1.0

Bottom Funds YTD

YTD
Man AHL Multi Strategy Alternative Systematic -5.1
Nomura Fixed Income Risk Premia Systematic -4.7
BNP THEAM - Absolute Alpha Systematic -4.5
InRIS CFM Diversified Systematic -3.2
LGT Dynamic Protection UCITS Systematic -2.8
Winton Diversified Fund (UCITS) Systematic -2.3
AQR Systematic Total Return UCITS Fund Systematic -2.1
Fulcrum Risk Premia Systematic -2.1
Natixis - Loomis Sayles Alternative Risk P... Systematic -2.0
SEI Liquid Alternative Systematic -1.9

Largest Systematic Funds

AUM
Nordea 1 - Alpha 10 £4.0b
Nordea 1 - Alpha 15 £3.9b
CS (Lux) Liquid Alternative Beta £693m
Goldman Sachs Absolute Return Tr... £676m
SEI Liquid Alternative £659m

Largest Inflows (Q4'22 - Q4'21)

Change AUM
THEAM Quant-Cross Asset High Focus £386m £591m
SEI Liquid Alternative £303m £659m
Schroder ISF Cross Asset Momentu... £145m £639m
U Access (IRL) Campbell Absolute... £143m £157m
Franklin K2 Athena Risk Premia U... £77m £93m

Largest Outflows (Q4'22 - Q4'21)

Change AUM
Nordea 1 - Alpha 10 £-271m £4.0b
Goldman Sachs Absolute Return Tr... £-268m £676m
Nordea 1 - Alpha 15 £-252m £3.9b
LGT Dynamic Protection UCITS £-213m £127m
LFIS Vision UCITS - Premia £-143m £70m

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