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 -0.2
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
InRIS Perdurance Market Neutral Discretionary 4.2
Lumyna - Sandbar Global Equity Market Neut... Discretionary 3.9
RAM Long/Short European Equities Systematic 3.2
JL Equity Market Neutral Systematic 2.5
Pictet Agora Discretionary 2.4
GAM Systematic Global Equity Market Neutral Systematic 2.4
Marshall Wace - MW Liquid Alpha Systematic 2.3
Janus Henderson Global Equity Market Neutral Discretionary 2.3
Exane Overdrive Discretionary 2.2
Man GLG Alpha Select Alternative Discretionary 2.1

Bottom Funds YTD

YTD
Schroder ISF QEP Global Equity Market Neutral Systematic -8.3
AQC Algert Global Equity Market Neutral Systematic -6.1
BMO Global Equity Market Neutral V10 Systematic -5.7
BNP THEAM Quant - Equity World DEFI Market... Systematic -5.3
KLS Zebra Global Equity Beta Neutral Systematic -5.0
LO Funds - TerreNeuve Discretionary -4.3
Schroder GAIA Nuveen US Equity Market Neutral Discretionary -4.2
H2O Fidelio Discretionary -4.0
Invesco Global Equity Market Neutral Systematic -4.0
Plato Global Market Neutral Fund Systematic -3.3

Largest New Launches (12M)

AUM
Lumyna - Sandbar Global Equity Market Neutral U... £400m
Globersel Anavon Absolute Alpha £71m
Lyxor / Academy Quantitative Global UCITS £45m
Protea UCITS II ECO Advisors ESG Absolute Return £43m
Coeli SICAV I - Energy Transition £40m

Strategy AUM

31 December 2019
£16.3b -31% YOY

Largest Funds

AUM
Merian Global Equity Absolute Re... £2.9b
Lumyna - Marshall Wace TOPS (Mkt... £1.5b
Marshall Wace - MW Liquid Alpha £1.4b
Schroder GAIA Two Sigma Diversified £1.3b
Pictet Agora £1.1b

Largest Inflows (Q4'19 - Q4'18)

Change AUM
Man GLG Alpha Select Alternative £216m £1.0b
Man GLG Innovation Equity Altern... £83m £364m
LGT Sustainable Equity Market Ne... £66m £93m
ERAAM Long/Short Equity Market N... £51m £69m
BMO Real Estate Equity Market Ne... £50m £299m

Largest Outflows (Q4'19 - Q4'18)

Change AUM
Merian Global Equity Absolute Re... £-7,344m £2.9b
BNY Mellon Absolute Return Equity £-1,265m £372m
Lumyna - Marshall Wace TOPS (Mkt... £-879m £1.5b
BMO Global Equity Market Neutral... £-592m £20m
Man GLG European Equity Alternative £-421m £323m

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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.