Market Neutral

Strategy Research, 12 Sep 2017

Index Research Funds

AH Market Neutral UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.8 -0.9 -0.5 -1.0 0.2 0.0 -0.1 0.0 -0.4 -0.3 -0.3 -2.5
2018 0.7 -0.8 0.3 0.1 0.2 -0.7 0.0 -0.2 -0.2 -1.0 -1.7 0.3 -3.1
2017 0.4 0.4 0.1 0.3 -0.5 -0.3 0.5 0.6 -0.3 0.5 -0.2 -0.1 1.4
2016 -0.8 -0.7 0.2 -0.7 -0.1 -2.0 0.3 -0.3 0.5 0.0 -0.1 0.0 -3.6
2015 0.0 -0.2 0.1 0.2 0.6 0.4 0.2 0.0 0.1 0.0 0.6 1.1 3.1
2014 0.6 0.4 -0.5 -0.7 -0.4 0.0 0.1 0.3 0.2 0.1 0.3 0.2 0.5
2013 1.4 0.5 0.1 0.8 0.3 0.4 -0.1 -0.4 -0.1 0.4 0.3 0.2 3.7
2012 1.3 0.8 -0.1 -0.8 -1.5 0.2 1.0 0.6 0.5 -0.1 0.7 -0.1 2.4
2011 0.5 0.3 -0.1 0.7 -0.1 -0.2 0.9 -0.7 -0.7 0.8 -0.9 0.3 0.8
2010 0.4 0.2 0.7 0.1 -0.7 -0.5 0.4 0.7 0.4 0.2 -0.1 0.5 2.1
Download Index Return Series

Top Funds YTD

YTD
Nomura Permal Alpha Japan Neutral Discretionary 8.0
BlackRock European Diversified Equity Absolute Return Systematic 7.4
Janus Henderson Global Equity Market Neutral Discretionary 7.1
Man GLG Alpha Select Alternative Discretionary 6.4
JPM Europe Equity Absolute Alpha Discretionary 5.9
InRIS Perdurance Market Neutral Discretionary 5.6
Schroder GAIA Two Sigma Diversified Systematic 5.4
Pictet TR Akari Discretionary 4.9
Kames UK Equity Absolute Return Discretionary 4.7
Memnon Market Neutral Discretionary 4.4

Bottom Funds YTD

YTD
BMO Global Equity Market Neutral V10 Systematic -28.7
Invesco Global Equity Market Neutral Systematic -24.1
AQR Style Premia: Equity Market Neutral UCITS Systematic -13.6
Merian Global Equity Absolute Return Systematic -11.5
BNP THEAM Quant - Equity World DEFI Market Neutral Systematic -9.5
AQC Algert Global Equity Market Neutral Systematic -7.8
M17 European Market Neutral UCITS Discretionary -6.8
Oyster Equity Premia Europe Systematic -6.8
GS Equity Risk Premia Long/Short Strategy Systematic -6.3
Schroder ISF QEP Global Equity Market Neutral Systematic -4.1

Largest New Launches (12M)

AUM
Lyxor / Academy Quantitative Global UCITS £49m
Algebris Quant Arbitrage £24m
FORT Global UCITS Equity Market Neutral £23m

Strategy AUM

30 September 2019
£18.5b -30% YOY

Largest Funds

AUM
Merian Global Equity Absolute Re... £4.8b
Lumyna - Marshall Wace TOPS (Mkt... £1.8b
Marshall Wace - MW Liquid Alpha £1.5b
Schroder GAIA Two Sigma Diversified £1.5b
Pictet Agora £1.2b

Largest Inflows (Q3'19 - Q3'18)

Change AUM
Man GLG Alpha Select Alternative £280m £1.1b
H2O Fidelio £162m £456m
Pictet TR Akari £135m £186m
Blackrock Americas Diversified E... £123m £1.1b
Man GLG Innovation Equity Altern... £114m £367m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
Merian Global Equity Absolute Re... £-7,329m £4.8b
Lumyna - Marshall Wace TOPS (Mkt... £-1,002m £1.8b
Man GLG European Equity Alternative £-549m £389m
BMO Global Equity Market Neutral... £-349m £363m
RAM Long/Short Global Equities £-215m £24m

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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.