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 -3.4
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
Trium ESG Emissions Impact Fund Discretionary 5.7
Seven Fortress Fund Systematic 5.3
Lumyna - Sandbar Global Equity Market Neut... Discretionary 4.8
Kames UK Equity Absolute Return Discretionary 3.7
Man GLG Alpha Select Alternative Discretionary 3.3
Schroder ISF QEP Global Equity Market Neutral Systematic 3.1
LGT Sustainable Equity Market Neutral Discretionary 3.1
Janus Henderson Global Equity Market Neutral Discretionary 2.7
GAM Systematic Global Equity Market Neutral Systematic 2.4
BMO Real Estate Equity Market Neutral Fund Discretionary 2.3

Bottom Funds YTD

YTD
Algebris Quant Arbitrage Systematic -48.4
H2O Fidelio Discretionary -18.0
Plato Global Market Neutral Fund Systematic -11.1
KLS Zebra Global Equity Beta Neutral Systematic -9.0
Allianz Discovery Europe Strategy Discretionary -7.1
CZ Absolute Alpha UCITS Discretionary -6.9
Invesco Global Equity Market Neutral Systematic -6.9
AQC Algert Global Equity Market Neutral Systematic -6.9
FORT Global UCITS Equity Market Neutral Systematic -6.6
Nomura Permal Alpha Japan Neutral Discretionary -6.5

Largest New Launches (12M)

AUM
Lumyna - Sandbar Global Equity Market Neutral U... £400m
Globersel Anavon Absolute Alpha £71m
Protea UCITS II ECO Advisors ESG Absolute Return £43m
Coeli SICAV I - Energy Transition £40m
Algebris Quant Arbitrage £30m

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.