Market Neutral

Strategy Research, 30 Jan 2020

Index Research Funds

AH Market Neutral UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.2 -0.8 -2.5 0.9 -0.3 -2.8
2019 0.8 -0.9 -0.5 -1.0 0.2 0.0 -0.1 0.0 -0.4 -0.3 -0.2 0.2 -2.3
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
Man GLG Innovation Equity Alternative Discretionary 8.8
Exane Overdrive Discretionary 7.6
LO Funds - TerreNeuve Discretionary 5.9
Lumyna - Sandbar Global Equity Market Neut... Discretionary 5.8
Marshall Wace - MW Liquid Alpha Systematic 5.6
Blackrock Americas Diversified Equity Abso... Systematic 4.6
Janus Henderson Global Equity Market Neutral Discretionary 4.5
Quantology Absolute Return Systematic 4.4
Pictet Agora Discretionary 4.3
Lumyna - Marshall Wace TOPS (Mkt Neutral) Systematic 4.0

Bottom Funds YTD

YTD
Invesco Global Equity Market Neutral Systematic -17.5
H2O Fidelio Discretionary -12.3
KLS Zebra Global Equity Beta Neutral Systematic -11.9
RAM Long/Short Emerging Markets Equities Systematic -11.0
Plato Global Market Neutral Fund Systematic -10.4
Schroder GAIA Nuveen US Equity Market Neutral Discretionary -8.5
RAM Long/Short European Equities Systematic -7.5
FORT Global UCITS Equity Market Neutral Systematic -7.3
CZ Absolute Alpha UCITS Discretionary -6.4
ERAAM Long/Short Equity Market Neutral Systematic -6.3

Largest New Launches (12M)

AUM
Lumyna - Sandbar Global Equity Market Neutral U... £649m
AB Arya European Alpha £106m
Globersel Anavon Absolute Alpha £65m
Protea UCITS II ECO Advisors ESG Absolute Return £43m
Coeli SICAV I - Energy Transition £40m

Strategy AUM

31 March 2020
£14.8b -33% YOY

Largest Funds

AUM
Merian Global Equity Absolute Re... £1.5b
Schroder GAIA Two Sigma Diversified £1.2b
Pictet Agora £1.2b
Man GLG Alpha Select Alternative £1.1b
Marshall Wace - MW Liquid Alpha £967m

Largest Inflows (Q1'20 - Q1'19)

Change AUM
Exane Pleiade £375m £484m
Man GLG Alpha Select Alternative £295m £1.1b
LGT Sustainable Equity Market Ne... £60m £93m
Janus Henderson Global Equity Ma... £49m £80m
ERAAM Long/Short Equity Market N... £48m £70m

Largest Outflows (Q1'20 - Q1'19)

Change AUM
Merian Global Equity Absolute Re... £-7,162m £1.5b
Lumyna - Marshall Wace TOPS (Mkt... £-1,179m £900m
BNY Mellon Absolute Return Equity £-820m £327m
Marshall Wace - MW Liquid Alpha £-565m £967m
H2O Fidelio £-368m £167m

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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.