AH Credit UCITS Index

The Alternative UCITS Credit sector is one of the more difficult areas to develop a consistent analytical framework for, given the multiple dimensions across which credit funds can operate. Examples include the instruments they trade (sovereigns, corporate cash, etc), their sensitivity to factors such as duration, credit spreads, etc, and their targetted outcomes. With the express aim of capturing the wide breadth of sectors which are at the disposal of credit managers, we have developed a classification approach which clusters funds into five main sub-categories: 

1) Corporate Long/Short: this cohort of managers attempt to generate alpha predominantly from fundamental long and short positions in corporate credit. Despite the diversity of investment styles (Directional, Market Neutral) the majority of funds in this sub-category uses cash bonds, CDS, and derivatives on credit indices, and seek to generate alpha from these positions. 

2) Multi-Sector Credit: a Multi-Sector, and often Multi-Strategy, approach to global credit investing. Although fundamental analysis remains important, asset allocation remains a core driver of returns for these funds, with managers dynamically allocating capital to the most attractive risk-adjusted opportunities, depending on the prevailing macro environment.

3) Alternative Credit: this is, by far, the most diverse set of funds and includes those trading specialist sub-categories of the credit universe, typically from the long side. Examples include Structured Credit (ABS, CLOs, etc), Insurance Linked Securities (ILS) and Emerging Market Debt (EMD).

4) Fixed Income Arbitrage: this relatively small cohort of funds includes specialist managers who run pure RV fixed income strategies, where performance is predominately driven by the manager’s ability to exploit pricing relationships, e.g. curves’ trades, correlation trades and capital structure trades, etc.

5) Convertible Bonds: managers attempt to generate absolute returns using a variety of different strategies exploiting the asymmetry that comes with convertible bonds as well as the potential for various arbitrages to be exploited. Incremental gains can be generated through 'gamma trading' which monetises volatility by actively trading the underlying hedges. 


Strategy AUM
31 December 2023
£30.9b
-12.6% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 0.4 0.4 0.8
2023 1.6 -0.3 -0.1 0.4 0.1 0.4 0.9 0.1 0.0 -0.3 1.9 1.8 6.6
2022 -0.6 -0.9 0.0 -1.1 -0.5 -2.3 1.0 0.1 -1.8 0.1 1.4 0.5 -4.2
2021 0.3 0.4 -0.1 0.4 0.1 0.2 -0.1 0.2 0.0 -0.2 -0.5 0.3 1.0
2020 0.3 -0.1 -5.3 1.9 1.5 1.5 1.3 0.8 -0.1 0.1 2.1 0.9 4.8
2019 1.2 0.4 0.2 0.5 -0.3 1.0 0.3 -0.3 0.3 0.4 0.0 0.7 4.5
2018 0.6 -0.3 -0.5 0.0 -0.7 -0.2 0.3 -0.3 0.1 -0.6 -0.7 -0.4 -2.7
2017 0.4 0.3 0.0 0.2 0.1 0.1 0.3 0.0 -0.1 0.3 -0.1 0.0 1.5
2016 -0.7 -0.3 0.7 0.8 0.1 0.1 0.8 0.5 0.1 0.5 -0.5 0.6 2.6
2015 0.3 0.6 0.1 0.4 0.1 -0.6 -0.2 -0.5 -0.7 0.3 -0.3 -0.8 -1.2
2014 0.3 0.7 0.2 0.3 0.3 0.2 -0.2 0.0 -0.3 -0.3 0.0 -0.6 0.6
2013 0.7 0.2 0.0 0.6 0.3 -0.8 0.6 0.1 0.5 0.8 0.1 0.3 3.4
2012 1.2 1.1 0.1 -0.2 -0.1 0.5 0.6 0.5 0.5 0.6 0.4 0.6 6.0
2011 0.4 0.5 0.4 0.2 0.2 -0.3 0.0 -1.3 -1.4 1.1 -0.6 0.3 -0.5
2010 0.7 0.4 1.9 0.6 -1.5 -0.1 1.3 0.4 0.7 0.4 -0.3 0.4 4.8
Show all
  • 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 2023 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 Absolute Return Bond Sep 2011 Global £204m 0.30% 0% 500,000 Daily 1.4 6.2 0.0 0.7 1.4 4.3 7.1 7.4 6.8 IE00B6SPX874 Daily Ireland Aegon Asset Management Stephen Snowden, Colin Finl... Article 6 74 48 23 56 94
Algebris Global Credit Opportunities Fund Jul 2016 Global £814m 0.90% 15% 500,000 Daily 3.5 11.8 0.2 1.2 3.5 9.5 17.5 15.6 9.1 IE00BYT35D51 Daily Ireland Algebris (UK) Limited Gabriele Foà, Samuel Sibony Yes Article 8 23 51 15 23 39
Allianz Credit Opportunities Nov 2016 Global £483m 0.27% 3,000,000 Daily 1.5 4.2 0.2 0.7 1.6 2.7 4.9 2.6 1.4 LU1505874849 Daily Luxembourg Allianz GI Herve Dejonghe, Gregoire Docq Yes Article 6 Yes 25 27 10 48 63
Amundi Absolute Return Credit Oct 2019 Global £52m 0.40% 15% 5,000,000 Daily 1.6 4.8 0.0 1.1 1.3 6.4 9.2 10.0 5.0 LU2052288615 Daily Luxembourg Amundi Asset Management Gregoire Pesques, Raphael M... Article 8 36 27 86 47 51
Amundi Chenavari Credit Fund Jun 2015 Europe £481m 1.40% 20% 100,000 Daily 1.5 7.7 0.0 0.6 1.5 7.6 10.0 10.0 10.5 IE00BWBXTM69 Daily Ireland Chenavari Investment Managers Demian Brasil Article 6 85 62 47 56 90
Aviva Investors Global Convertibles Absolute Return Dec 2009 Global £516m 0.75% 10% 500,000 Daily 2.4 5.2 0.1 1.5 2.2 5.6 5.4 -0.6 -4.9 LU0459997697 Daily Luxembourg Westwood Group David Clott, Shawn Mato Article 8 22 14 20 27 21
BlueBay Emerging Market Unconstrained Bond Fund Jul 2010 Emerging Markets £374m 0.50% 10% Yes 500,000 Daily 4.0 15.6 0.6 3.0 3.9 14.5 18.5 6.4 0.3 LU1167329637 Daily Luxembourg BlueBay Asset Management LLP Polina Kurdyavko, Anthony K... Article 8 13 11 13 10 4
BlueBay Investment Grade Absolute Return Bond May 2011 Global £714m 1.00% 500,000 Daily 2.4 5.3 -0.3 0.0 2.7 3.7 8.1 10.8 9.8 LU0627764474 Daily Luxembourg BlueBay Asset Management LLP Geraud Charpin, Raphael Rob... Article 8 71 39 52 54 69
BNY Mellon Absolute Return Bond Mar 2012 Global £253m 0.65% 500,000 Daily 3.0 8.2 0.2 0.9 3.0 6.4 11.5 13.1 13.6 IE00B8G10T17 Daily Ireland BNY Mellon Asset Management Peter Bentley, Andrew Wickham Article 6 86 66 69 68 96
BNY Mellon Absolute Return Global Convertible Fund May 2019 Global £59m 0.75% 15% 15,000,000 Daily 2.7 -0.4 0.5 1.5 2.8 5.2 3.9 -1.1 -1.9 IE00BJQR5F71 Daily Ireland Insight, a BNY Mellon Company Frank Campana, James Doolin Article 6 18 19 50 50 52
Boussard & Gavaudan Convertible Apr 2015 Europe £39m 0.80% 100,000 Daily 2.6 12.6 -0.2 2.4 2.5 9.8 12.9 1.0 0.5 LU1209144648 Daily Luxembourg Boussard & Gavaudan 25 28 2 4 10
CIFC Long/Short Credit Fund Aug 2020 Global £449m 0.50% 10% 5,000,000 Daily 1.2 4.7 0.0 0.5 1.1 3.2 5.2 7.0 8.9 IE00BK7ZST21 Daily Ireland CIFC Jason Horowitz 100 56 26 65 100
Federated Hermes Multi-Strategy Credit Fund May 2014 Global £174m 0.65% 100,000 Daily 1.4 8.8 0.2 1.2 1.4 8.3 10.1 4.3 0.5 IE00BKRCNH63 Daily Ireland Federated Hermes Fraser Lundie, Andrey Kuzne... Article 8 10 13 2 15 13
Federated Hermes Unconstrained Credit Fund Oct 2018 Global £982m 0.65% 100,000 Daily 1.3 9.3 0.3 1.4 1.3 9.1 9.9 2.4 -1.1 IE00BFZMZF58 Daily Ireland Federated Hermes Fraser Lundie, Andrew Jacks... Article 8 2 7 0 11 8
Fidelity Absolute Return Global Fixed Income Sep 2020 Global £22m 0.70% 10,000,000 Daily 2.0 6.8 0.3 0.8 2.0 4.5 7.0 8.2 9.7 LU2207569984 Daily Luxembourg Fidelity International Claudio Ferrarese, Tim Foster Article 6 66 48 49 59 94
Franklin K2 Cat Bond UCITS Fund Jun 2021 Global £105m 0.75% 5,000,000 Daily 3.6 13.3 0.2 1.0 3.6 5.9 13.8 15.0 LU2303826973 Daily Luxembourg K2 Advisors Michael Rich Article 8
FTGF Legg Mason Brandywine Global Income Optimiser Fund Jun 2013 Global £936m 0.55% 15,000,000 Daily 0.2 7.2 0.0 0.9 0.1 7.6 6.0 -2.4 -7.5 IE00BBT3JP45 Daily Ireland Brandywine Article 8 4 12 12 13 16
Hermes Absolute Return Credit Fund May 2015 Global £236m 0.70% 100,000 Daily 1.3 4.9 0.1 0.8 1.4 5.4 6.3 3.5 1.0 IE00BWFRCV46 Daily Ireland Hermes Investment Management Fraser Lundie Article 8 22 27 1 33 46
HSBC GIF GEM Debt Total Return Jun 2007 Emerging Markets £67m 0.50% 20% 1,000,000 Daily 1.2 11.6 -0.3 1.1 1.2 9.3 9.9 6.7 -8.2 LU0283739885 Daily Luxembourg Halbis Capital Management Guillermo Osses Article 6 18 10 5 10 7
JPM Income Opportunity Jul 2007 Global £877m 0.55% 20% 10,000,000 Daily 1.2 4.1 0.0 0.4 1.3 2.3 4.9 5.3 4.9 LU0323456201 Daily Luxembourg J.P.Morgan Asset Management Bill Eigen, Jeffrey Wheeler Article 6 55 35 68 72 87
Lazard Emerging Markets Total Return Debt Nov 2010 Emerging Markets £26m 0.75% 20% 250,000 Daily -0.6 7.4 0.2 0.9 -0.6 7.7 4.4 -1.8 -10.3 IE00B4PRR915 Daily Ireland Lazard Asset Management Denise Simon, Arif Joshi Article 8 10 9 3 7 6
Legal & General Strategic Bond Apr 2007 Global £519m 0.60% 0% 100,000 Daily 3.2 6.1 0.3 2.2 3.1 9.8 11.5 11.3 5.8 GB00B1TWMW95 Daily UK Legal & General Investment ... Richard Hodges 37 42 17 32 32
LGT (Lux) I – Cat Bond Fund Nov 2010 Global £396m 1.50% 100,000 Biweekly 2.9 13.3 0.9 3.3 6.4 13.6 13.0 15.4 LU0816332745 Biweekly Luxembourg LGT Capital Partners Christian Bruns, Hilary Pau... 88 67 65 69 93
Liontrust GF Absolute Return Bond Fund Jun 2018 Global £96m 0.40% 5,000,000 Daily 1.1 7.1 0.1 0.7 1.1 4.4 6.6 6.4 4.3 IE00BD85PP71 Daily Ireland Liontrust Asset Management David Roberts, Phil Milburn... Article 8 31 36 4 39 66
Macquarie Global Income Opportunities Nov 2013 Global £16m 0.50% 1,000,000 Daily 1.1 5.6 0.2 0.9 1.0 5.1 4.4 4.1 0.9 LU0947832670 Daily Luxembourg Macquarie Investment Manage... Brett Lewthwaite, David Hanna Article 6 28 26 19 34 57
Miralta Sequoia Oct 2017 Global £85m 0.75% Daily 0.0 ES0173368012 Daily Rentamarkets Investment Man... Ignacio Fuertes 37 47 5 30 62
MontLake Ironshield Credit Fund Mar 2020 Global £109m 1.50% 15% 100,000 Weekly -4.1 7.7 0.1 0.6 -4.0 -0.3 6.3 -8.8 0.6 IE00BJBY6V60 Weekly Ireland Ironshield Capital Management David Nazar, Luca Moro 44 80 95 60 31
Morgan Stanley Sustainable Fixed Income Opportunities Fund Dec 2020 Global £29m 0.45% Daily 0.7 6.5 0.0 0.9 0.5 5.8 5.9 2.4 -0.7 GB00BNKVP424 Daily UK Morgan Stanley IM Leon Grenyer 18 20 11 31 44
Muzinich Long Short Credit Yield Jun 2012 Global £278m 1.00% 10% 100,000 Weekly 0.6 5.3 0.5 2.8 6.2 2.8 2.3 IE00B85RQB47 Weekly Ireland Muzinich & Co. Inc Brian Lieberman, Greg Temo Article 8 47 35 15 44 64
Palladium FCP - RAM Mediobanca Strata UCITS Credit Fund May 2019 Global £216m 0.75% 0% 100,000 Daily 3.6 11.3 0.0 1.2 3.6 10.8 16.6 10.1 9.3 LU1808849126 Daily Luxembourg Cairn Capital Fabio Vanerio 32 49 6 19 25
Pareturn Gladwyne Absolute Credit Feb 2015 Europe £29m 1.50% 20% 1,000,000 Weekly 3.0 7.1 -0.2 1.7 3.0 3.5 6.2 16.9 28.8 LU1107506922 Weekly Luxembourg Gladwyne Investments Barend Pennings 98 93 54 70 86
PIMCO GIS Mortgage Opportunities Jan 2017 US £727m 0.69% Daily 1.5 7.0 0.3 1.2 1.5 5.4 7.2 2.2 1.2 IE00BD38JM62 Daily Ireland PIMCO Asset Management Joshua Anderson Article 6 29 28 9 33 46
Polar Capital Global Absolute Return Dec 2018 Global £79m 1.00% 15% 0 Daily 2.2 4.2 0.3 1.9 1.9 6.7 6.6 6.3 8.5 IE00BDTYJB74 Daily Ireland Polar Capital David Keetley, Stephen McCo... Article 8 74 56 30 38 79
Robeco QI Long/Short Dynamic Duration Oct 2003 Global £41m 0.30% Daily 1.5 7.2 -0.4 -0.1 1.4 2.5 8.3 7.5 5.7 LU0230242686 Daily Luxembourg Robeco Luxembourg Olaf Penninga Article 8 35 46 97 79 92
Schroder GAIA Cat Bond Oct 2013 Global £2.2b 1.10% 1,000,000 Biweekly 3.1 16.5 0.2 0.7 3.2 6.7 15.6 16.9 19.1 LU0951570687 Biweekly Luxembourg Secquaero Advisors Daniel Ineichen Article 8 72 81 36 42 52
Schroder GAIA Oaktree Credit May 2021 Global £58m 0.75% 10,000 Daily 2.6 15.1 0.1 1.2 2.6 8.9 15.1 13.0 LU2252519835 Daily Luxembourg Oaktree Capital Management Bruce Karsh, David Rosenberg Article 6
Schroder ISF EURO Credit Absolute Return Aug 2016 Global £133m 0.60% 5,000,000 Daily 2.1 8.8 0.2 1.1 2.0 7.2 9.7 2.6 -2.8 LU1476606857 Daily Luxembourg Schroders Patrick Vogel Article 8 6 16 5 20 20
Threadneedle (LUX) Credit Opportunities Aug 2015 Europe £153m 0.50% Daily 1.4 2.5 0.0 0.2 1.8 3.4 5.0 0.9 -0.9 LU1849560120 Daily Luxembourg Columbia Threadneedle Inves... Alasdair Ross, Roman Gaiser Article 6 12 24 32 44 54
Threadneedle (LUX) Global Investment Grade Credit Opportunities Mar 2018 Global £6m 0.25% 10,000,000 Daily 1.7 1.6 0.3 1.2 1.7 3.6 5.5 0.0 -2.1 LU1746309928 Daily Luxembourg Columbia Threadneedle Inves... Alasdair Ross, Ryan Staszewski Article 6 13 19 38 51 47
U Access (IRL) GCA Credit Long Short Feb 2019 Global £256m 1.30% 15% Weekly 1.0 4.7 0.1 0.2 0.9 2.8 4.4 3.7 4.7 IE00BH47R594 Weekly Ireland Global Credit Advisers Steven Hornstein Article 6 77 43 13 53 86
Vontobel Absolute Return Bond Jul 2005 Global £29m 0.43% 10% Daily 0.9 8.8 0.2 0.9 6.8 9.5 -1.9 -8.0 LU0278087514 Daily Luxembourg Vontobel Asset Management Paul Nicholson Article 8 5 10 0 11 8
Wellington Global Total Return Fund (UCITS) May 2011 Global £61m 0.20% 20% 1,000,000 Daily 1.0 1.2 0.0 -0.1 1.0 0.8 2.3 3.8 4.8 LU0832407331 Daily Luxembourg Wellington Management Global Bond team Article 8 95 43 94 77 100
XAIA Credit Basis Apr 2009 Global £177m 0.60% 1,000,000 Daily 1.9 4.7 0.0 0.5 2.0 3.3 6.1 7.3 8.5 LU0418282934 Daily Luxembourg XAIA Investment XAIA Investment Article 6 84 30 73 69 70
XAIA Credit Basis II Jan 2010 Global £416m 0.80% 15% 1,000,000 Daily 1.7 4.9 0.0 0.4 1.8 3.0 6.2 7.3 8.5 LU0462885301 Daily Luxembourg XAIA Investment XAIA Investment Article 6 91 31 75 71 71
XAIA Credit Debt Capital Sep 2011 Global £219m 0.50% 20% 500,000 Daily 1.5 5.2 0.0 0.5 1.5 2.9 5.5 7.6 7.7 LU0644384843 Daily Luxembourg XAIA Investment XAIA Investment Article 6 80 29 77 70 70
Alma Platinum IV Selwood Market Neutral Credit Mar 2016 Global £46m 1.39% 20% No 10,000 Weekly 0.7 16.3 -0.1 0.4 0.8 4.8 12.7 10.8 10.5 LU1769346898 Weekly Luxembourg Selwood Asset Management Sofiane Gharred No No Article 6 No N/A N/A 45 59 11 4 10
Franklin K2 Ellington Structured Credit UCITS Fund Sep 2019 Global £61m 1.00% 0% No 5,000,000 Daily 3.5 12.8 0.2 1.0 3.5 6.8 13.6 14.9 17.3 LU2164518305 Daily Luxembourg Ellington Global Asset Mana... Mark Tecotzky, Gregory Valli No No Article 6 No N/A N/A 89 68 57 70 90
GAM Star Cat Bond Oct 2011 Global £2.2b 1.10% 10% No 20,000,000 Biweekly 3.5 15.5 0.3 0.9 3.8 7.4 15.6 15.4 20.6 IE00B5BJCL51 Biweekly Ireland GAM Investments Fermat Capital Management LLC No No Article 6 No N/A N/A 75 79 34 51 68
Ironshield High Yield Alpha Fund Aug 2022 Europe £37m 1.00% 15% No 100,000 Daily 9.3 3.4 7.1 IE000IZZWOT0 Daily Ireland Ironshield Capital Management No No Article 6 No N/A N/A
Longchamp Solferino Credit Fund Jan 2020 Europe £55m 1.00% 10% Yes 100,000 Weekly 0.0 FR0013442597 Weekly France Longchamp Asset Management Jean Fau No No Article 6 No N/A N/A 23 52 29 16 18
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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.