AH Managed Futures UCITS Index

Managed Futures is a alternative investment strategy that systematically seeks to identify and exploit price trends across a wide range of asset classes including equity indices, rates, currencies, and commodities. The philosophy behind this strategy is that markets tend to exhibit trending behaviour because of under-reaction of market participants to new information, persistency of macro cycles and other behavioural biases (loss aversion, herding, etc). Funds use quantitative signals to define when securities are trending and implement long and short positions in liquid futures and forward contracts.

Strategy AUM
31 December 2023
£6.1b
-10.0% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 1.0 3.5 4.5
2023 -1.3 1.5 -4.9 1.8 0.9 2.3 -1.1 -0.6 2.2 0.5 -2.9 0.0 -1.8
2022 -0.6 0.9 5.3 4.3 -0.8 1.7 -3.0 2.6 5.2 -0.6 -4.6 -0.5 9.7
2021 -1.3 2.1 1.1 1.0 1.3 -1.3 0.6 -0.2 -1.8 2.3 -3.0 0.0 0.6
2020 0.7 -1.3 -0.7 -0.3 -0.9 -0.8 1.8 -0.7 -1.8 -0.9 1.0 3.3 -0.8
2019 -1.5 0.0 4.0 1.3 0.2 2.1 2.9 3.4 -2.4 -2.9 0.7 -0.9 6.8
2018 4.9 -6.2 -1.2 -0.4 -1.7 0.2 -1.1 1.5 -1.8 -3.2 -1.4 0.9 -9.3
2017 -0.8 2.0 -1.1 -0.2 0.9 -2.9 1.4 1.1 -1.9 3.2 0.7 0.4 2.6
2016 4.1 2.3 -2.9 -1.9 -1.8 4.6 0.8 -2.2 -1.1 -3.2 -1.0 1.4 -1.3
2015 5.0 -0.2 1.3 -3.0 -0.1 -3.4 2.1 -1.7 1.9 -2.2 1.6 -2.8 -1.9
2014 -2.1 1.3 -2.2 0.9 2.2 1.5 -0.2 3.8 1.0 1.0 5.0 1.6 14.3
2013 2.6 -0.2 1.4 2.5 -2.7 -3.5 -0.1 -2.6 0.3 2.2 2.6 1.1 3.4
2012 -0.5 0.5 -2.6 0.4 1.1 -3.6 3.2 -1.9 -2.0 -3.3 0.3 0.6 -7.7
2011 0.2 -0.6 -2.4 2.2 -2.6 -0.7 1.3 -2.1 -1.1 -3.5 -1.2 0.2 -10.1
2010 -2.0 1.1 2.5 0.9 -2.7 -0.1 -0.6 0.1 2.0 0.7 -2.0 1.9 1.7
Show all
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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Name Inception Date Sub-Strategy Geography AUM AMC Perf. Fee Hurdle Min Inv. Liquidity MTD YTD 2023 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
Allianz Multi Asset Long / Short Nov 2016 Trend Global £114m 0.75% 4,000,000 Daily 0.2 0.9 -3.5 0.1 1.3 1.9 2.1 -1.2 4.5 7.4 LU1481688817 Daily Luxembourg Allianz GI Rahul Malhotra (Lead), Gior... Article 6 35 55 93 88 42
Alma Platinum IV Systematic Alpha Jun 2010 Trend Global £77m 0.85% 18% No 1,000,000 Daily 6.8 10.1 0.0 4.0 6.2 7.8 14.0 31.8 43.7 LU0462954479 Daily Luxembourg Winton Capital Winton Capital No No Article 6 No N/A N/A 90 96 82 93 76
Amundi Metori Epsilon Global Trend Apr 2011 Trend Global £352m 1.00% 15% 500,000 Daily 5.6 -3.2 0.1 2.2 4.8 2.1 -2.5 24.0 14.6 IE00B530CF08 Daily Ireland Metori Capital Management Lyxor Article 6 39 42 88 92 41
AQR Alternative Trends UCITS Fund Feb 2023 Trend Global £404m 1.50% 20% Yes 100,000 Daily 1.0 6.5 -0.2 4.8 6.4 10.3 12.3 LU2392538067 Daily Luxembourg AQR Capital Management Yao Hua Ooi, John Liew, Cli... Yes Yes Article 6 Yes Yes No
AQR Managed Futures UCITS Oct 2014 Trend Global £439m 0.60% 10% Yes 100,000 Daily 0.6 8.2 2.3 0.2 7.7 6.8 8.0 9.0 34.8 33.4 LU1103258510 Daily Luxembourg AQR Capital Management Yao Hua Ooi, Ari Levine Yes Yes Article 6 Yes N/A Yes 81 91 56 99 47
Aspect Diversified Trends Fund Dec 2010 Trend Global £345m 1.00% 15% No 100,000 Daily 10.9 -1.6 -1.8 6.1 8.7 6.7 6.7 37.8 56.1 IE00B657BK41 Daily Ireland Aspect Capital Aspect Capital Yes Yes Article 6 No N/A N/A 84 97 64 100 58
Bantleon Diversified Markets May 2018 Trend Plus Global £22m 1.00% 10% Yes 250,000 Daily -0.1 0.1 -0.4 0.9 4.3 5.8 -2.0 0.9 -0.6 LU1808871997 Daily Luxembourg Bantleon Bank AG Umit Kinar Yes Yes Article 6 No Yes Yes 66 38 80 88 24
BNP THEAM Quant - Multi Asset Diversified Feb 2008 Trend Global £32m 0.50% 100,000 Daily 0.9 -5.2 0.2 1.1 3.6 -1.7 -4.0 -5.1 -3.6 LU1353185074 Daily Luxembourg BNP Paribas Asset Management Solene Deharbonnier 28 15 94 78 10
Candriam Diversified Futures Nov 2009 Trend Global £255m 1.20% 20% Yes 250,000 Daily 1.1 2.3 0.0 1.9 2.5 0.9 1.0 17.1 22.6 FR0010794792 Daily France Candriam Yes Yes Article 6 No N/A N/A 72 84 85 93 66
CFM ISTrends Equity Capped Fund Sep 2020 Trend Global £71m 0.75% 10% No 10,000 Daily 5.6 -0.2 0.0 1.8 3.0 3.4 4.6 IE000IK66S24 Daily Ireland Capital Fund Management CFM Yes Yes Article 6 No N/A N/A 58 66 63 98 36
CFM ISTrends Fund May 2021 Trend Global £10m 0.75% 10% No 10,000 Daily 11.5 4.5 -0.2 4.3 7.2 8.3 15.7 41.5 IE00BMDKFQ17 Daily Ireland Capital Fund Management CFM Yes No Article 6 No N/A N/A
Cyril Systematic UCITS Jun 2011 Trend Global £6m 2.00% 20% EONIA 500,000 Daily 6.9 -2.6 -0.7 5.7 5.6 5.3 3.4 22.2 16.3 FR0000976342 Daily France John Locke Investments John Locke Investments 15 37 99 86 24
Fulcrum Multi Asset Trend Fund May 2015 Trend Global £61m 0.80% 0% No 1,000,000 Daily 0.2 9.0 -6.3 -0.2 6.1 3.7 -0.1 2.3 24.1 43.7 LU1225880415 Daily Luxembourg Fulcrum Asset Management LLP Fulcrum Systematic Team Yes Yes Article 6 Yes N/A N/A 76 94 62 97 47
Garraway Financial Trends Sep 2012 Trend Global £28m 1.00% 20% None 100,000 Daily 1.9 -11.2 -1.4 1.5 1.1 -4.1 -5.7 -1.5 -13.0 IE00B86V3N61 Daily Ireland Garraway Capital Management... Darran Goodwin 4 8 77 94 8
Goldman Sachs Alternative Trend Portfolio Jan 2015 Trend Global £340m 0.65% 1,000,000 Daily 0.2 0.4 2.5 0.4 2.2 2.8 0.5 0.2 22.9 21.0 LU1103308471 Daily Luxembourg Goldman Sachs Asset Managem... Article 6 70 86 73 96 65
iMGP DBi Managed Futures Fund Jan 2023 Trend Europe £59m 0.75% 0% No 1,000,000 Daily 6.0 0.2 2.8 4.2 1.7 -1.7 LU2550556745 Daily Luxembourg DBi Dynamic Beta Investments (n... No No Article 6 No Yes Yes
KLS BH-DG Systematic Trading UCITS Dec 2023 Trend Global £11m 1.00% 20% Yes Daily 2.1 -0.2 3.9 IE0001WX9CH6 Daily Ireland BH-DG Systematic Trading LLP BH-DG Systematic Risk Commi...
KLS Niederhoffer Smart Alpha UCITS Fund Jul 2020 Trend Plus Global £18m 1.25% 20% No 2,500,000 Daily -5.7 -3.9 -0.9 -2.6 -5.0 -2.5 -6.7 -2.1 -5.4 IE00BMVFY279 Daily Ireland R. G. Niederhoffer Capital ... Roy Niederhoffer Article 6 30 35 62 95 22
Lumyna - Millburn Diversified UCITS Mar 2017 Trend Plus Global £51m 1.50% 20% No 1,000,000 Weekly 5.6 -5.1 0.5 3.8 1.5 2.1 1.2 17.3 18.1 LU1565208292 Weekly Luxembourg Millburn Barry Goodman No No Article 6 No No Yes 56 74 58 97 41
Lynx UCITS Fund Mar 2019 Trend Global £74m 1.00% 20% Yes 10,000 Daily 7.9 -8.0 -0.6 5.7 10.4 8.3 0.0 25.4 29.7 IE00BGBVCN02 Daily Ireland Lynx Asset Management AB Yes Yes Article 6 No N/A N/A 53 87 61 100 28
Man AHL Alpha Core Alternative Nov 2009 Trend Global £107m 1.00% 15% Yes 1,000 Daily 1.9 -1.8 -0.2 2.7 3.5 3.9 -1.3 18.5 3.0 LU0424370269 Daily Luxembourg Man Group Plc Matthew Sargaison, Russell ... No Yes Article 6 No N/A N/A 70 84 73 62 49
Man AHL Trend Alternative Oct 2009 Trend Global £769m 1.50% 20% Yes 100,000 Daily 2.3 -3.3 -0.5 4.1 4.2 4.0 -3.1 18.9 6.8 LU0428380553 Daily Luxembourg Man Group Plc Otto Hamaoui, Tom Bowles No Yes Article 6 No N/A N/A 42 43 73 96 23
MontLake AlphaQuest UCITS Dec 2016 Trend Plus Global £38m 1.50% 20% 1,000,000 Daily 1.2 -7.5 -0.5 -0.3 0.8 3.4 -4.2 5.9 5.4 IE00BD08G622 Daily Ireland Quest Partners Nigol Koulajian 43 63 95 91 43
MontLake Crabel Advanced Trend Oct 2017 Trend Global £103m 0.50% 10,000,000 Daily 7.5 -4.8 0.1 5.6 4.3 1.7 1.8 23.6 21.3 IE00BF2X0569 Daily Ireland Crabel Capital Management 55 83 72 98 36
MontLake Crabel Gemini Oct 2017 Trend Plus Global £275m 2.00% 0% No 25,000,000 Daily -3.7 1.6 0.0 -1.0 -1.8 -0.5 -4.5 0.1 1.8 IE00BF2X9719 Daily Ireland Crabel Capital Management Crabel Capital Management No Yes Article 6 No N/A N/A 68 47 48 46 61
MontLake DUNN WMA Institutional UCITS Sep 2011 Trend Global £362m 0.10% 25% No 100,000 Daily 14.7 -5.0 1.5 8.8 12.7 6.1 7.0 34.6 40.5 IE00B6R2TB45 Daily Ireland DUNN Capital Management Marty H. Bergin, Roberto Os... Yes Yes Article 6 No N/A N/A 70 89 70 94 55
Next AM - Tendance Finance May 2012 Trend Global £18m 2.00% 20% 100,000 Daily -4.0 11.0 -0.5 -1.6 2.5 8.0 4.8 -6.6 -10.0 LU0778101708 Daily Luxembourg Tendance Finance Herve Chatot 5 9 36 18 11
Nomura Cross Asset Momentum UCITS Fund Mar 2016 Trend Global £91m 1.00% 0% No 100,000 Daily 1.4 7.6 1.0 4.2 4.4 1.5 5.1 29.1 38.9 IE00BYY18K23 Daily Ireland Nomura Alternative Investme... Michel Laurent, Sam Jérémie Yes No Article 6 No N/A N/A 75 97 90 96 53
Pimco TRENDS Managed Futures Strategy Jun 2015 Trend Global £189m 1.40% 5,000,000 Daily 0.5 1.1 -3.5 -0.2 1.5 4.6 4.1 -1.7 8.2 10.6 IE00BWX5WG52 Daily Ireland PIMCO Asset Management Matt Dorsten, Graham Rennison Article 6 47 57 58 96 20
Quantica Managed Futures Focus Jul 2018 Trend Global £58m 0.90% 20% No 10,000 Daily 4.6 1.2 0.0 2.9 5.7 5.0 3.7 23.5 1.9 LU1825540146 Daily Luxembourg Quantica Capital AG Yes Yes Article 6 No N/A N/A 29 40 65 99 18
Quantica Managed Futures UCITS Aug 2015 Trend Global £93m 0.70% 20% No 10,000 Daily 6.6 0.1 -0.5 4.0 6.8 5.6 4.7 18.2 6.8 LU1869435468 Daily Luxembourg Quantica Capital AG Yes Yes Article 6 No N/A N/A 39 57 71 95 20
Schroder GAIA BlueTrend Dec 2015 Trend Global £269m 1.50% 20% 500,000 Daily 4.2 -9.4 -0.7 4.7 5.9 5.9 -4.4 14.5 24.2 LU1293074479 Daily Luxembourg Systematica Investments Lim... Leda Braga, David Kitson Article 6 62 83 53 99 22
SEB Asset Selection Oct 2006 Trend Global £296m 1.10% 20% Daily 9.2 -7.8 0.2 5.4 5.5 0.8 -0.7 19.8 18.3 LU0256624742 Daily Luxembourg SEB Asset Management Hans-Olov Bornemann 54 64 74 95 30
Tages Eckhardt Systematic Short Term UCITS Fund Oct 2020 Trend Plus Global £74m 1.25% 15% No 1,000,000 Daily -1.0 -6.7 0.2 0.4 2.5 1.8 -8.2 0.3 -1.6 IE00BL3HNF00 Daily Ireland Eckhardt Trading Company Eckhardt Trading Company Yes Yes Article 6 No N/A N/A 19 30 97 77 32
Tulip Trend Fund UCITS Apr 2018 Trend Global £51m 1.50% 16% No 100,000 Weekly 15.2 0.2 0.4 9.8 13.7 8.0 13.9 15.8 39.7 IE00BFWJRT76 Weekly Ireland Transtrend B.V. Transtrend B.V. Yes Yes Article 6 No N/A N/A 58 93 84 93 18
Tungsten TRYCON AI Global Markets Feb 2010 Trend Plus Global £90m 1.45% 20% 100,000 Daily 0.1 4.9 -1.5 0.2 1.9 4.7 3.8 2.0 10.8 10.0 LU0451958135 Daily Luxembourg Tungsten Capital Management... Pablo Hess 66 41 97 79 74
Winton Trend Fund (UCITS) Feb 2018 Trend Global £396m 0.80% 0% No 50,000 Daily 5.7 2.6 -0.1 3.3 5.5 4.8 7.9 22.1 31.9 IE00BG382P13 Daily Ireland Winton Capital Winton Capital Management L... Yes Yes Article 6 No N/A N/A 79 90 68 94 53
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