Market Neutral

AH Market Neutral UCITS Index

Market Neutral is an investing strategy that seeks to profit from stock specific fundamentals by taking long positions in stocks that are expected to appreciate, and short positions in stocks that are expected to decline. Portfolios are managed with equal exposure to longs and shorts with the aim of isolating the alpha component of a stocks return, while neutralising market beta. Equity Market Neutral strategies typically maintain net equity market exposure no greater than 10% long or short, and generally very close to 0%.

Strategy AUM
30 June 2023
£15.9b
-14.4% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.0 0.4 -0.1 0.1 -0.2 0.4 -0.5 0.5 0.9 1.6
2022 -0.4 -0.1 0.5 0.1 -0.2 -0.5 0.4 -0.1 0.1 0.1 0.0 0.2 0.0
2021 0.3 0.3 0.4 0.6 0.2 0.0 0.3 0.3 -0.5 0.3 -0.2 0.6 2.4
2020 -0.2 -0.8 -2.5 0.9 -0.3 0.2 0.5 -0.1 0.1 -0.5 0.3 0.6 -1.8
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
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  • 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 2022 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
Aegon Global Equity Market Neutral Jun 2016 Discretionary Global £86m 1.00% 500,000 Daily 0.0 -1.5 -6.8 0.1 -0.8 -1.8 -0.7 -0.9 -8.7 -1.0 IE00BYZHZV94 Daily Ireland Aegon Asset Management David Pringle Article 6 24 51 39 37 45
Alkimis Capital UCITS Nov 2009 Discretionary Europe 1.00% 20% 1,000,000 Weekly 0.0 IT0005163743 Weekly Italy Alkimis SGR Massimo Morchio, Pierluca M... 66 34 18 38 55
BDLCM Funds - Durandal Nov 2018 Systematic Global £81m 0.90% 20% 100,000 Weekly 0.3 0.8 -0.6 LU1891683903 Weekly Luxembourg BDL Capital Management Maxime Hayot 28 17 81 62 53
BlackRock Americas Diversified Equity Absolute Return Feb 2012 Systematic US £517m 1.00% 20% No 10,000,000 Daily -0.1 3.6 4.8 0.7 2.0 3.1 0.1 6.9 14.1 14.1 LU0725887540 Daily Luxembourg BlackRock Investment Manage... Raffaele Savi, Travis Cooke Yes Yes Article 6 Yes Yes Yes 85 47 80 84 59
BlackRock Asia Pacific Absolute Return Aug 2016 Discretionary Asia £61m 1.00% 20% No 100,000 Daily 0.1 1.5 4.4 0.9 0.4 -0.7 0.1 0.7 5.5 16.1 LU1495982438 Daily Luxembourg BlackRock Investment Manage... Samuel Vecht, Steve Wong, A... Yes Yes Article 6 Yes Yes Yes 94 79 93 88 92
BlackRock Asia Pacific Diversified Equity Absolute Return Feb 2017 Systematic Asia £39m 1.00% 20% No 100,000 Daily 0.2 13.1 8.9 0.4 -0.1 2.2 8.9 14.0 18.2 33.6 LU1508158190 Daily Luxembourg BlackRock Investment Manage... Jeff Shen Yes Yes Article 6 Yes Yes Yes 78 93 91 81 75
BlackRock Systematic Global Long/Short Equity Jun 2014 Systematic Global 1.50% 0% 0.1 4.1 0.1 0.5 0.7 1.3 2.7 6.9 5.2 5.2 LU1069250113 Luxembourg BlackRock Investment Manage... Kevin Franklin, Andrew Huzzey
BNP THEAM Quant - Equity World DEFI Market Neutral Dec 2017 Systematic Global £17m 0.34% None 100,000 Daily 2.9 -3.0 0.7 4.2 11.0 7.5 4.2 5.9 7.1 LU1685640408 Daily Luxembourg BNP Paribas Asset Management Fabrice Ricci 39 12 88 52 22
BNY Mellon Absolute Return Equity Jan 2011 Discretionary Europe £111m 1.00% 15% 500,000 Daily -0.1 -0.2 2.3 0.0 0.7 0.8 0.5 0.1 1.3 5.2 IE00B3RZQQ62 Daily Ireland BNY Mellon Asset Management Andrew Cawker, Iain Brown, ... Article 6 88 39 80 82 95
BPI Alternative Iberian Equities Long/Short Jan 2010 Discretionary Europe £322m 1.50% 20% 150,000 Daily 0.7 1.7 -0.5 0.5 0.4 0.6 3.8 3.0 9.1 LU0784437740 Daily Luxembourg BPI Gestão de Activos Paulo Freire Oliveira, Pedr... 84 48 91 75 96
Candriam Absolute Return Equity Market Neutral Aug 2018 Discretionary Global £615m 0.80% 20% Yes 0 Daily 7.2 -6.7 0.3 2.6 5.7 7.0 8.8 2.7 17.1 LU1819523264 Daily Luxembourg Candriam Emmanuel Terraz, Olivier Ro... Yes Yes Article 6 No Yes Yes 48 52 28 37 53
CT Real Estate Equity Market Neutral Fund Dec 2012 Discretionary Europe £268m 1.00% 15% 5,000,000 Daily 6.4 -2.3 0.0 0.6 1.7 4.6 5.4 7.3 9.9 IE00B8GGKQ36 Daily Ireland BMO GAM Alban Lhonneur, Marcus Phay... Article 6 92 56 94 77 97
DNCA Invest - Miuri Dec 2011 Discretionary Europe £262m 1.00% 20% 200,000 Daily 8.4 -3.4 0.3 1.4 2.2 2.0 10.6 5.6 17.8 LU0641746143 Daily Luxembourg DNCA Finance Luxembourg Mathieu Picard, Alexis Albert Article 8 50 71 58 49 77
Exane Ceres Feb 2007 Discretionary Global £172m 1.50% 20% EONIA +1% 125,000 Weekly 9.1 -6.1 -0.1 -0.5 -1.3 -0.4 11.9 5.1 7.1 LU0284634564 Weekly Luxembourg Exane Asset Management Charles-Henri Neme, Pierre ... 34 47 26 27 58
Exane Overdrive May 2013 Discretionary Global £152m 2.00% 20% EONIA +1% 125,000 Daily 2.3 -0.1 0.4 -0.3 -1.4 0.3 2.1 1.2 6.6 LU0923609035 Daily Luxembourg Exane Asset Management Eric Lauri 30 47 69 67 50
Exane Pleiade May 2011 Discretionary Global £1.3b 1.25% 20% Daily 0.2 1.8 0.3 -0.5 -1.3 0.1 0.3 1.0 5.8 LU0616900691 Daily France Exane Asset Management Eric Lauri 73 50 71 74 85
Fidelity Absolute Return Global Equity Sep 2020 Systematic Global £52m 0.80% 15% 10,000,000 Daily -0.1 7.5 10.5 0.4 0.3 3.4 7.5 10.8 18.4 19.6 LU2210152588 Daily Luxembourg Fidelity International Hiten Savani, Matt Jones Article 6
FP Artellium Evolution May 2021 Systematic Global £68m 1.25% 20% Yes 5,000,000 Daily 10.3 0.7 0.0 0.5 3.0 6.5 7.4 14.8 DE000A0Q95M1 Daily Germany First Private Investment Ma... No Yes Article 6 No No No
Franklin K2 ActusRay European Alpha UCITS Fund Dec 2022 Discretionary Europe £63m 1.25% 20% Yes 5,000,000 Daily 0.8 6.5 1.3 3.6 4.4 4.2 LU2511867744 Daily Luxembourg K2 Advisors Andrew Alexander Yes No Article 6 No N/A N/A
Fulcrum Thematic Equity Market Neutral Aug 2020 Discretionary Global £394m 1.50% 20% No 1,000,000 Daily -0.4 -2.6 -5.1 0.2 0.9 2.0 -0.6 -8.4 -7.2 -15.1 LU2164659893 Daily Luxembourg Fulcrum Asset Management LLP Fawaz Chaudhry Yes Yes Article 6 No N/A N/A
GMO Equity Dislocation Investment Fund May 2021 Systematic Global £992m 0.35% 20% Yes 1,000,000 Daily 0.1 5.3 14.7 0.2 3.1 7.0 6.8 7.9 27.2 IE00BF199475 Daily Ireland Grantham, Mayo, Van Otterlo... Ben Inker, Simon Harris Yes Yes Article 6 Yes Yes N/A
HI European Market Neutral Fund Oct 2012 Discretionary Europe £70m 1.50% 20% 500,000 Daily 1.3 2.0 0.2 2.2 2.2 2.7 1.9 4.8 2.5 IE00B83N7116 Daily Ireland Hedge Invest SGR p.A. Paul Marriage Article 6 70 33 77 70 74
InRIS Perdurance Market Neutral Oct 2017 Discretionary Global £10m 1.00% 20% None 500,000 Daily 4.6 3.7 -1.3 -0.9 1.4 1.4 2.4 0.5 1.2 IE00BZ60LC73 Daily Ireland Perdurance Asset Management Ivan Briery 24 18 98 86 23
Janus Henderson Global Equity Market Neutral Fund Feb 2017 Discretionary Global £33m 0.75% 20% Yes 1,000,000 Daily -1.4 -1.5 0.3 2.4 1.3 -0.1 -3.9 -7.5 LU1542613549 Daily Luxembourg Janus Henderson Investors Steve Johnstone Yes Yes Article 6 Yes Yes N/A 20 10 65 69 47
JPM Europe Equity Absolute Alpha Dec 2013 Discretionary Europe £283m 0.75% 15% Daily 3.5 8.3 -0.4 3.4 2.5 4.0 2.7 17.0 24.6 LU1001748398 Daily Luxembourg J.P.Morgan Asset Management Nicholas Horne, Ben Stapley... Article 8 96 87 73 93 91
Jupiter Merian Global Equity Absolute Return Fund Jun 2009 Systematic Global £1.4b 0.75% 20% Yes 1,000,000 Daily 0.5 7.5 9.1 0.6 2.2 3.0 6.0 10.0 21.4 37.4 IE00BLP5S809 Daily Ireland Jupiter Investment Manageme... Ian Heslop, Amadeo Alentorn... Yes No Article 6 No N/A N/A 90 93 97 89 92
KLS Scopia Market Neutral Equity Aug 2023 Discretionary US 1.50% 20% Yes 1,000,000 Daily 0.0 IE0001IUURY9 Daily Ireland Scopia Capital Management LP Matt Sirovich, Jeremy Mindi... Yes Yes Article 8 Yes Yes N/A
LandseerAM European Equity Focus Long/Short Fund Oct 2020 Discretionary Europe £459m 1.00% 20% Yes 1,000,000 Daily 1.7 2.0 -0.2 1.0 3.0 1.5 1.9 3.7 13.6 LU2214765658 Daily Luxembourg Landseer Asset Management (... Andy Billett, Roger Guy, Pa... Yes Yes Article 8 Yes No Yes
LGT Sustainable Equity Market Neutral Sep 2017 Discretionary Global £89m 0.80% 0% No 1,000,000 Daily -5.7 -0.6 -0.4 -0.9 -3.0 -5.9 -3.8 -8.0 -10.6 IE00BF1D8J71 Daily Ireland LGT Capital Partners LGT Capital Partners Yes Yes Article 8 Yes Yes Yes 10 12 76 66 41
LO Funds - TerreNeuve Sep 2018 Discretionary Global £87m 1.50% 20% 1,000,000 Weekly -14.2 11.8 -1.5 -3.7 -6.1 -11.2 -15.7 -8.3 -1.1 LU1858041194 Weekly Luxembourg Lombard Odier Investment Ma... Arnaud Langlois Yes Yes Article 8 Yes Yes N/A 38 46 66 78 27
Lumyna - MW Systematic Alpha UCITS Fund Jul 2015 Systematic Global £955m 1.00% 20% 5,000,000 Daily -4.4 3.8 0.1 1.8 -1.6 -0.7 -10.2 LU2367654154 Daily Ireland Marshall Wace LLP Anthony Clake, Alan Hofmeyr 60 56 75 85 54
Lumyna - MW TOPS Environmental Focus (Market Neutral) UCITS Fund Jul 2020 Systematic Global £1.3b 1.00% 20% 5,000,000 Weekly 2.4 7.8 -0.1 0.8 -0.1 1.1 1.0 LU2367661019 Weekly Ireland Marshall Wace LLP Anthony Clake Article 8
Lumyna - MW TOPS (Market Neutral) UCITS Fund Nov 2007 Systematic Global £1.3b 1.50% 20% No 1,000,000 Daily 1.0 10.2 -0.3 0.4 -1.2 0.5 -0.9 LU2367665861 Daily Luxembourg Marshall Wace LLP Anthony Clake Yes Yes Article 6 No Yes Yes 99 90 97 88 95
Lumyna - Sandbar Global Equity Market Neutral UCITS Oct 2019 Discretionary Global £364m 1.40% 20% No 1,000,000 Daily -0.3 -7.1 -0.6 1.0 1.4 -1.1 -8.7 -11.1 -17.2 LU2061570466 Daily Luxembourg Sandbar Asset Management (SAM) Michael Cowley Yes Yes Article 8 Yes Yes Yes 4 3 74 52 11
Man GLG Alpha Select Alternative Feb 2010 Discretionary UK £1.6b 0.75% 20% Yes 1,000,000 Daily 7.0 4.7 0.2 2.3 1.6 4.4 5.2 15.2 21.2 IE00B60S2G54 Daily Ireland Man Group Plc Charles Long, Nick Judge No Yes Article 6 No N/A N/A 100 84 71 84 96
Man GLG Asia Pacific (ex Japan) Equity Alternative Dec 2020 Discretionary Asia £58m 1.00% 20% No 1,000,000 Daily -2.1 5.7 0.4 -0.7 -2.5 -3.6 -1.5 3.9 IE00BN15T637 Daily Ireland Man Group Plc Andrew Swan No Yes Article 8 Yes N/A N/A
Man GLG European Equity Alternative Jul 2011 Discretionary Europe £106m 2.00% 20% Yes 1,000,000 Daily -2.3 -2.5 -0.2 -0.3 -1.6 -1.8 -3.4 -5.2 -3.1 IE00B5591813 Daily Ireland Man Group Plc Ikitsa Anastasov, Neil Mason No Yes Article 6 No N/A N/A 58 32 80 87 63
Marble Bar - Chelodina UCITS Nov 2019 Discretionary Global £112m 1.50% 20% 5,000,000 Daily -1.7 5.3 0.0 0.4 0.0 -1.9 -0.4 2.4 4.2 IE00BFMZN539 Daily Ireland Marble Bar MBAM 89 55 87 86 98
Nanjia Capital ICAV - CYRUS Nov 2021 Systematic Asia £17m 1.50% 20% 1,000,000 Weekly -0.8 0.7 -0.1 -0.3 -1.8 -3.0 IE00BMQ8YW11 Weekly Ireland WaterValley Capital Managem... WaterValley Capital Management
Nordea 1 - Global Equity Market Neutral Fund Jun 2020 Discretionary Global £39m 1.00% 15% 75,000 Daily -0.1 -0.1 1.3 -0.2 2.6 0.7 3.7 1.1 -0.3 LU2166349774 Daily Luxembourg Nordea Jakob Nordestedt Article 8 41 25 96 87 70
Osmosis Resource Efficient Equity Market Neutral Aug 2018 Systematic Global £32m 0.75% 0% No 10,000 Daily 1.8 4.5 0.3 1.4 1.1 -0.6 5.7 6.2 0.8 IE00BF19C821 Daily Ireland Osmosis Investment Management Osmosis Investment Management Yes Yes Article 9 Yes Yes N/A 33 26 84 68 40
Ossiam ESG Opportunity Oct 2022 Systematic Global £9m 0.50% 0% No 1,000,000 Daily 0.0 IE000NGJAI70 Daily Ireland Ossiam Yes Yes Article 8 Yes N/A Yes
Persephone Cointegration Alpha Mar 2022 Systematic Europe 0.90% 0% No 100,000 Daily 0.0 DE000A3CQVR4 Daily Germany Persephone Quantitative Fin... Persephone Quantitative Fin... No No Article 6 No N/A N/A
Pictet Agora Jul 2014 Discretionary Europe £249m 1.10% 20% Yes 1,000,000 Weekly -0.1 1.5 -0.4 -0.2 -0.8 -4.1 -0.7 -0.9 -1.3 LU1071463266 Weekly Luxembourg Pictet Funds (Europe) S.A. Vincent Ljaouane, Julian Al... Yes Yes Article 6 Yes Yes Yes 33 21 95 78 41
Portland Hill Fund SICAV - ESG European Long/Short Dec 2018 Discretionary Europe £4m 1.50% 20% No 1,000,000 Weekly -0.4 4.4 -8.8 -0.4 -2.5 0.1 1.9 1.7 -2.5 7.8 LU1842610906 Weekly Luxembourg Other Thierry Lucas No Yes Article 8 Yes Yes Yes 39 53 32 24 37
Protea UCITS II ECO Advisors ESG Absolute Return Jul 2019 Discretionary Global £159m 0.60% 0% No 3,000,000 Daily -2.4 1.6 -1.3 -1.8 -3.3 -3.4 -2.3 3.6 -0.6 LU2002381171 Daily Luxembourg Ethical Capital Opportunity... Josh Gennet, Tristan Elwell Yes Yes Article 8 Yes Yes Yes 88 41 59 58 79
RAM (LUX) Systematic Funds - Global Equities Sustainable Alpha Dec 2011 Systematic Global £13m 1.50% 15% No 1,000,000 Daily 0.2 -4.8 0.3 2.6 0.7 1.1 -3.3 1.0 4.2 LU0705072188 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 49 56 81 83 48
RAM (LUX) Systematic Funds Long/Short European Equities Dec 2011 Systematic Europe £130m 1.50% 15% No 1,000,000 Daily -1.3 -0.8 1.0 4.7 3.7 1.0 -1.8 4.6 6.7 LU0705071701 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 61 58 68 71 40
RAM (LUX) Systematic Funds Long/Short Global Equities Dec 2016 Systematic Global £19m 1.50% 15% No 1,000,000 Daily 0.5 -1.4 1.2 3.5 2.7 2.6 -0.3 2.7 9.5 LU1520759363 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 51 64 87 80 53
S14 Absolute Return Feb 2022 Discretionary Global £8m 1.25% 20% Yes 250,000 Daily 0.0 FR0014004I24 Daily France S14 Capital No No Article 6 No No N/A
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