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Updated 7 days ago

Strategy Research: Managed Futures

Following a period of muted performance in the post GFC years (until very recently) there has been significant innovation in the Managed Futures space. Overall these changes to the make-up of the underling funds have profound implications for allocators.

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Top Funds Last 30 Days

1M
AQR Style Premia UCITS Multi Strategy 12.3
AQR Systematic Total Return UCITS Fund Multi Strategy 9.0
DMS P/E FX Strategy Fund Macro 8.9
LF Brook Absolute Return Equity Long / Short 8.6
MontLake Invenomic US Equity Long/Short UC... Equity Long / Short 7.2

Bottom Funds Last 30 Days

1M
ABR Enhanced Short Volatility Fund Volatility Arbitrage -24.5
Alkeon UCITS Equity Long / Short -14.1
Incline Global Long/Short Equity UCITS Equity Long / Short -12.8
Summit Sustainable Opportunities L/S Equit... Equity Long / Short -11.1
BANOR SICAV Greater China Equity Equity Long / Short -10.2

Top Funds Year to Date

YTD
Odey Swan Equity Long / Short 51.9
AQR Systematic Total Return UCITS Fund Multi Strategy 33.3
MontLake Invenomic US Equity Long/Short UC... Equity Long / Short 33.3
Tulip Trend Fund UCITS Managed Futures 32.4
Quadriga Igneo Multi Strategy 29.2
Lumyna - Merrill Lynch MLCX Commodity Beta... Commodities 28.7
Aspect Diversified Trends Fund Managed Futures 28.5
AQR Style Premia UCITS Multi Strategy 27.4
Fulcrum Multi Asset Trend Fund Managed Futures 25.5
Schroder GAIA BlueTrend Managed Futures 24.7

Bottom Funds Year to Date

YTD
ABR Enhanced Short Volatility Fund Volatility Arbitrage -46.2
Alkeon UCITS Equity Long / Short -33.4
BANOR SICAV Greater China Equity Equity Long / Short -28.6
Jupiter Financial Innovation Fund Equity Long / Short -28.2
DECALIA Muse Equity Long / Short -26.4
Summit Sustainable Opportunities L/S Equit... Equity Long / Short -26.0
Lumyna - ZEAL Greater China Long Short Equity Long / Short -25.8
Incline Global Long/Short Equity UCITS Equity Long / Short -24.6
New Capital Strategic Portfolio Multi Asset -23.8
Franklin K2 Wellington Technology Long Sho... Equity Long / Short -23.0

Strategy

Funds AUM
Equity Long / Short 150 25%
Credit 95 16%
Multi Strategy 89 15%
Macro 64 11%
Market Neutral 60 10%
Multi Asset 39 6%
Event Driven 38 6%
Managed Futures 36 6%
Volatility Arbitrage 18 3%
FX 6 1%
Commodities 6 1%
Multi Asset £53.7b 22%
Credit £39.4b 16%
Equity Long / Short £38.3b 16%
Macro £31.6b 13%
Multi Strategy £30.7b 13%
Market Neutral £17.0b 7%
Event Driven £16.0b 7%
Volatility Arbitrage £6.0b 2%
Managed Futures £5.6b 2%
FX £1.0b 0%
Commodities £920m 0%

New Fund Profiles

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One River Dynamic Convexity UCITS
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Uploaded 23 Mar 2022

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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.