Sub Index - Opportunistic Macro
This category is generally what most people think of when they think ‘Macro’ and represents the purest expression of discretionary macro trading. This cohort of managers attempt to generate all-weather absolute returns predominantly from fundamentally based predictions of macroeconomic developments ('big picture' portfolio) with trades implemented via liquid financial instruments and generally in a concentrated manner. The success of the strategy often relies heavily on active management (both at the underlying positions and relevant hedges), trade structuring and implementation to try enhance returns and avoid negative price action. This cohort of funds tends to be the most heterogeneous and specialized group of managers within Macro, with a wide variety of investment styles and asset classes traded.
Strategy AUM
30 June 2023
£14.9b
-22.4% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 2.3 | -0.9 | 0.9 | -0.1 | -0.2 | -0.8 | 0.7 | 0.3 | 2.3 | |||||
| 2022 | 1.0 | -2.1 | 0.3 | 0.0 | 1.0 | -1.5 | -0.5 | 1.3 | -1.5 | 0.5 | 2.1 | 1.8 | 2.4 | |
| 2021 | -0.2 | 2.0 | 0.7 | 0.3 | 0.5 | -0.4 | -1.3 | 0.6 | 0.8 | -0.5 | -1.7 | 0.9 | 1.6 | |
| 2020 | -0.5 | -1.6 | -8.1 | 2.3 | 2.9 | 1.2 | 0.7 | 1.3 | -0.8 | 0.4 | 3.1 | 1.1 | 1.5 | |
| 2019 | 1.7 | 0.1 | -0.1 | 0.4 | -0.5 | 1.3 | 0.2 | 0.0 | 1.0 | 0.7 | -0.3 | 1.4 | 6.0 | |
| 2018 | 1.6 | -0.7 | -0.8 | -0.3 | -1.7 | -0.6 | 0.5 | -1.7 | 0.3 | -0.9 | -0.1 | -0.6 | -4.9 | |
| 2017 | 0.2 | 0.1 | 0.3 | -0.4 | 0.0 | 0.5 | 0.0 | -0.2 | 0.4 | -0.1 | -0.1 | -0.3 | 0.4 | |
| 2016 | -1.2 | -1.3 | 0.8 | 0.9 | -0.1 | -0.8 | 0.5 | -0.1 | -0.1 | 1.1 | -0.7 | 0.6 | -0.3 | |
| 2015 | 0.9 | 0.8 | 0.4 | -0.8 | 0.9 | -0.6 | 0.3 | -0.8 | -0.9 | 0.2 | 0.2 | -0.5 | 0.0 | |
| 2014 | -0.2 | 0.1 | 0.2 | 0.0 | 0.5 | -0.3 | 0.4 | -0.2 | 1.2 | -0.8 | 0.4 | -0.9 | 0.6 | |
| 2013 | 0.6 | 0.3 | 0.3 | 1.0 | 0.4 | -1.5 | -0.1 | 0.0 | -0.1 | 0.6 | -0.1 | 0.3 | 1.6 | |
| 2012 | 1.9 | 1.1 | 0.3 | -0.3 | -0.7 | 0.8 | 1.2 | 0.5 | 0.5 | 0.6 | 0.6 | 0.7 | 7.7 | |
| 2011 | -0.3 | 0.3 | 0.3 | 0.2 | 0.0 | -0.7 | 0.0 | -0.3 | -1.2 | 1.5 | -0.5 | 0.6 | -0.2 | |
| 2010 | 0.4 | 0.6 | 1.3 | 0.3 | -1.1 | 0.1 | 0.6 | 1.0 | 0.5 | 0.0 | -0.2 | 0.6 | 4.3 | |
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Index Constituents
| Name | Inception Date | 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 |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Allianz Fixed Income Macro | Jul 2018 | Global | £60m | 0.70% | 10,000,000 | Daily | -0.1 | 1.1 | -7.3 | -0.4 | -0.3 | 1.4 | -6.9 | 0.2 | -8.1 | -7.4 | GB00BG43NG36 | Daily | UK | Allianz GI | Mike Riddell | Yes | Article 6 | Yes | 3 | 8 | 42 | 30 | 23 | |||||||
| Amundi Absolute Return Forex | Oct 2013 | Global | £61m | 0.40% | 15% | 5,000,000 | Daily | 0.3 | 1.6 | 1.7 | 0.1 | 0.3 | 0.6 | 1.2 | 1.4 | 3.3 | 2.8 | LU0987184941 | Daily | Luxembourg | Amundi Asset Management | James Kwok | Article 6 | 87 | 29 | 76 | 70 | 85 | ||||||||
| Artemis Strategic Assets | May 2009 | Global | £216m | 0.75% | 0% | 10,000,000 | Daily | -0.8 | 3.0 | 13.7 | -0.1 | -0.6 | -1.2 | 2.0 | 11.0 | 12.8 | 34.2 | GB00B3VDDQ59 | Daily | UK | Artemis Fund Managers | William Littlewood | Article 6 | 52 | 89 | 65 | 74 | 33 | ||||||||
| Bellevue Funds (LUX) BB Global Macro | Mar 2010 | Global | £88m | 0.80% | 15% | 3M Libor | 0 | Daily | -1.1 | 2.3 | -8.9 | -0.8 | -0.1 | 0.3 | 1.4 | 6.0 | -9.5 | -3.3 | LU0494762056 | Daily | Luxembourg | Bellevue Asset Management | Lucio Soso, Alexandrine Jae... | 8 | 15 | 17 | 15 | 24 | ||||||||
| BlueBay Global Sovereign Opportunities | Dec 2015 | Global | £338m | 0.95% | 15% | 500,000 | Daily | -0.4 | 4.7 | 19.4 | -0.1 | -0.4 | 4.8 | 4.3 | 9.2 | 24.4 | 28.7 | LU1337225210 | Daily | Luxembourg | BlueBay Asset Management LLP | Russel Matthews | Article 8 | 81 | 83 | 95 | 90 | 64 | ||||||||
| Brevan Howard Absolute Return Government Bond Fund | Jul 2019 | Global | £2.2b | 0.30% | 15% | 1,000,000 | Daily | 0.4 | -3.3 | 6.9 | 0.3 | 0.6 | 1.7 | 1.5 | -1.1 | 4.5 | 14.7 | LU1917106814 | Daily | Luxembourg | Brevan Howard Asset Management | Adam Purzitsky, Paul Shanta... | 87 | 72 | 73 | 86 | 72 | |||||||||
| FTGF Legg Mason Western Asset Macro Opportunities Bond | Nov 2013 | Global | £1.2b | 1.10% | 0% | No | 30,000,000 | Daily | -2.8 | 2.8 | -21.6 | -1.2 | -1.9 | -3.7 | 0.6 | 3.9 | -20.4 | -14.7 | IE00BC9S3W16 | Daily | Ireland | Legg Mason Global Asset Man... | S. Kenneth Leech, Prashant ... | Yes | Yes | Article 6 | No | N/A | N/A | 12 | 7 | 11 | 7 | 3 | ||
| GAM Star Emerging Market Rates | Apr 2010 | Emerging Markets | £82m | 0.85% | 10% | 20,000,000 | Daily | -2.4 | -1.2 | -8.2 | -1.5 | -2.3 | -3.5 | -2.9 | -2.7 | -11.1 | -11.6 | IE00B5TN9J68 | Daily | Ireland | GAM Investments | Paul McNamara, Denise Prime | No | No | Article 6 | No | N/A | N/A | 15 | 7 | 21 | 27 | 30 | |||
| GAM Star Global Rates | Nov 2009 | Global | £214m | 1.00% | 10% | Yes | 0 | Daily | 1.4 | 6.1 | 14.7 | 0.1 | 1.5 | 4.4 | 3.6 | 9.0 | 23.8 | 47.0 | IE00B59CJW65 | Daily | Ireland | GAM Investments | Adrian Owens | Yes | Yes | Article 8 | Yes | N/A | N/A | 88 | 96 | 78 | 66 | 82 | ||
| Goldman Sachs Strategic Macro Bond | Oct 2014 | Global | £139m | 0.50% | 10% | 1,000,000 | Daily | 1.0 | 5.1 | -2.0 | -0.2 | 1.8 | 2.4 | 3.9 | 5.0 | 3.7 | 2.9 | LU1533065592 | Daily | Luxembourg | Goldman Sachs Asset Managem... | GSAM | Article 8 | 20 | 10 | 65 | 61 | 31 | ||||||||
| Graham Macro UCITS | Jan 2018 | Global | £1.1b | 1.85% | 20% | Daily | 2.5 | 5.1 | 25.3 | 0.4 | 2.0 | 5.5 | 6.8 | 3.4 | 29.0 | 32.8 | IE00BFNWR956 | Daily | Ireland | Graham Capital Management L.P. | Article 6 | 93 | 92 | 74 | 98 | 80 | ||||||||||
| H2O Adagio | Jul 2013 | Global | £408m | 0.35% | 25% | 100,000 | Daily | 4.3 | 7.4 | 1.0 | 2.2 | 10.8 | 11.6 | FR0011981745 | Daily | France | H2O Asset Management | Article 6 | ||||||||||||||||||
| H2O Allegro | Mar 2011 | Global | £242m | 0.70% | 20% | 100,000 | Daily | 10.9 | 40.7 | 0.0 | 6.5 | 33.2 | 47.8 | FR0011973627 | Daily | France | H2O Asset Management | Article 6 | ||||||||||||||||||
| H2O Vivace | Mar 2011 | Global | £201m | 1.00% | 20% | 100,000 | Daily | 4.3 | 17.9 | 23.4 | 2.6 | 2.5 | 3.3 | 9.6 | 45.2 | 44.9 | FR0011015478 | Daily | France | H2O Asset Management | Article 6 | |||||||||||||||
| JPM Global Macro | Nov 2005 | Global | £511m | 0.60% | 10,000,000 | Daily | 1.0 | 3.2 | -6.8 | 0.6 | 0.3 | 0.5 | -2.9 | 3.1 | -4.0 | 2.7 | LU0235842555 | Daily | Luxembourg | J.P.Morgan Asset Management | Shrenick Shah, Benoit Lanct... | Yes | Article 6 | 34 | 30 | 45 | 48 | 51 | ||||||||
| JPM Global Macro Opportunities | Jan 2013 | Global | £1.1b | 0.75% | 5,000,000 | Daily | 1.5 | 2.4 | -10.5 | 1.2 | 0.4 | 0.6 | -6.5 | 1.9 | -8.4 | 4.0 | GB00B4WKYF80 | Daily | UK | J.P.Morgan Asset Management | Shrenick Shah | Yes | Article 6 | 34 | 32 | 50 | 42 | 24 | ||||||||
| JPM Global Macro Opportunities (LUX) | Apr 2005 | Global | £3.0b | 0.65% | Daily | 1.3 | 1.5 | -13.1 | 0.9 | 0.1 | -0.2 | -7.0 | 0.1 | -12.0 | -1.9 | LU0095938881 | Daily | Luxembourg | J.P.Morgan Asset Management | Shrenick Shah | Yes | Article 6 | 20 | 17 | 43 | 34 | 14 | |||||||||
| JPM Global Macro Sustainable | Aug 2019 | Global | £814m | 0.60% | 10,000,000 | Daily | 0.8 | 1.5 | -9.3 | 0.6 | 0.1 | -0.1 | -5.2 | 1.9 | -8.4 | -2.3 | LU2003419376 | Daily | Luxembourg | J.P.Morgan Asset Management | Shrenick Shah | Article 8 | 27 | 18 | 46 | 42 | 26 | |||||||||
| Jupiter Flexible Macro Fund | Dec 2009 | Global | £32m | 0.63% | 5,000,000 | Daily | -0.3 | -2.7 | -20.4 | -0.2 | -0.2 | -1.2 | -1.8 | -7.5 | -20.4 | -19.8 | GB00B5129B32 | Daily | UK | Jupiter Investment Manageme... | Talib Sheikh | 4 | 1 | 71 | 16 | 10 | ||||||||||
| Jupiter Strategic Absolute Return Bond Fund | May 2014 | Global | £572m | 0.40% | 10% | Yes | 1,000,000 | Daily | 0.3 | -0.5 | 6.2 | 0.0 | 0.4 | 0.4 | 0.4 | 0.3 | 5.7 | 8.3 | IE00BD9GFP91 | Daily | Ireland | Jupiter Investment Manageme... | Mark Nash | No | No | Article 6 | No | N/A | N/A | 96 | 57 | 63 | 79 | 99 | ||
| KLS Arete Macro | Jul 2018 | Global | £667m | 1.25% | 20% | No | 1,000,000 | Daily | 0.6 | 7.3 | -8.5 | -0.2 | -0.4 | 4.1 | 8.2 | 4.9 | -2.8 | 13.8 | IE00BDRV1V45 | Daily | Ireland | Ocean Arete Limited | Will Li | Yes | Yes | Article 8 | Yes | N/A | Yes | 26 | 39 | 77 | 33 | 29 | ||
| Lemanik SICAV Global Strategy | Jul 2007 | Global | £152m | 0.60% | 20% | EURIBOR | 500,000 | Daily | 1.3 | -11.6 | 8.6 | 0.5 | 0.4 | -0.5 | -7.8 | -13.8 | -13.0 | -24.9 | LU0438908328 | Daily | Luxembourg | Lemanik SA | Maurizio Novelli | 1 | 1 | 81 | 98 | 4 | ||||||||
| LIOR GP - Alpha Fund | Mar 2021 | Global | 1.15% | 20% | Yes | 1,000,000 | Daily | 0.0 | LU2263804002 | Daily | Luxembourg | LIOR Global Partners | Jeremy Touboul | Yes | Yes | Article 8 | Yes | No | Yes | |||||||||||||||||
| M&G (Lux) Episode Macro Fund | Oct 2018 | Global | £462m | 0.75% | 20% | Yes | 500,000 | Daily | -1.3 | 1.6 | 16.8 | -0.6 | -1.0 | -2.1 | -0.7 | 3.5 | 17.2 | 27.4 | LU1670714069 | Daily | Luxembourg | M&G Investments | David Fishwick and co deput... | Yes | Yes | Article 6 | No | N/A | N/A | 84 | 80 | 75 | 82 | 79 | ||
| Pacific G10 Macro Rates | Mar 2019 | Global | £141m | 0.75% | 10% | Yes | 1,000,000 | Daily | 2.3 | 6.6 | -0.1 | 0.8 | 2.3 | 4.8 | 1.9 | 10.1 | 4.9 | 6.4 | IE00BG5J0Y77 | Daily | Ireland | Pacific Asset Management | Shayne Dunlap, Richard Mars... | Yes | Yes | Article 6 | No | N/A | N/A | 29 | 34 | 29 | 51 | 41 | ||
| RV Capital Asia Opportunity UCITS | Sep 2016 | Asia | £173m | 1.55% | 20% | No | 1,000,000 | Daily | -0.2 | -2.1 | 4.9 | -0.1 | -0.1 | 0.0 | 0.7 | 2.6 | 5.1 | IE00BF6SX250 | Daily | Ireland | RV Capital Management | Ronnie Roy | Yes | Yes | Article 8 | Yes | N/A | Yes | 69 | 49 | 66 | 80 | 84 | |||
| Tages Kirkoswald Global Macro UCITS Fund | Jan 2022 | Global | £396m | 2.00% | 20% | 1,000,000 | Weekly | -0.2 | 2.8 | 0.4 | -0.2 | -0.7 | 5.1 | -0.1 | IE000BE9QSU8 | Weekly | Ireland | Tages Capital LLP | Greg Coffey | |||||||||||||||||
| Trium Epynt Macro Fund | Sep 2022 | Global | £19m | 0.50% | 10% | Yes | 1,000 | Daily | 3.2 | 5.6 | 0.6 | 2.7 | 6.9 | 8.4 | IE000ALF9G18 | Daily | Ireland | Trium Capital | Tom Roderick | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||
| UBS Currency Allocation Return Strategy | Sep 2016 | Global | £404m | 0.65% | Daily | 0.3 | 0.3 | -4.3 | 0.1 | 0.2 | 5.0 | 2.0 | -0.4 | -8.5 | 6.5 | IE00BDRXG821 | Daily | Ireland | UBS Asset Management | Jonathan Davies, Alistair M... | Article 6 | 29 | 35 | 31 | 25 | 13 |
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