Systematic Macro

Strategy Research, 12 Oct 2020

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -0.4 -0.7 1.1 3.9 -1.1 0.8 3.4
2021 -0.9 -0.1 0.5 0.1 0.5 0.0 0.6 0.2 -0.7 -2.1 0.4 0.9 -0.6
2020 -0.9 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -0.7 -0.9 1.7 1.0 -1.8
2019 0.5 0.3 1.4 1.6 -0.3 0.6 0.7 0.7 -0.9 0.1 0.1 0.6 5.4
2018 1.8 -3.1 -0.4 0.9 -0.5 -0.9 -0.3 -0.7 0.0 -1.6 -0.4 1.1 -4.0
2017 -0.3 0.8 -0.2 -0.2 0.2 -1.9 0.8 1.2 -0.1 2.0 0.2 0.5 3.0
2016 2.6 2.1 -1.5 0.4 -1.8 2.3 -0.2 -1.5 1.3 0.0 -3.1 -0.3 0.2
2015 3.2 0.3 1.4 -2.4 -1.4 -3.3 0.8 -2.2 0.0 -0.6 0.4 -1.6 -5.5
2014 -1.7 0.4 -0.7 0.7 2.1 2.1 -2.1 2.0 -1.2 -0.5 2.5 0.7 4.2
2013 2.1 -1.3 0.6 1.2 -3.6 -2.1 -0.5 -1.4 0.3 1.9 0.6 0.5 -1.9
2012 1.8 1.7 -3.0 -0.6 0.7 -1.6 2.0 0.4 0.4 -2.6 0.8 0.3 0.2
2011 -1.5 1.1 0.5 2.1 -1.2 -2.6 2.3 -0.6 -0.4 0.0 0.0 -1.3 -1.6
2010 -3.5 0.1 3.1 2.6 -1.9 1.0 0.6 3.2 2.3 0.9 -0.3 1.7 10.0
Download Index Return Series

Top Funds YTD

YTD
DMS P/E FX Strategy Fund Systematic 17.7
PGIM Wadhwani Keynes Systematic Absolute R... Systematic 8.8
PrivilEdge - Graham Quant Macro Systematic 5.2
Lyxor / Bridgewater Core Global Macro Systematic 2.9
Acadian Multi-Asset Absolute Return Systematic -0.3
Aspect Systematic Global Macro Fund Systematic -0.9
LGT Alpha Generix UCITS Systematic -3.5
Invesco Macro Allocation Strategy Systematic -8.6

Bottom Funds YTD

YTD
Invesco Macro Allocation Strategy Systematic -8.6
LGT Alpha Generix UCITS Systematic -3.5
Aspect Systematic Global Macro Fund Systematic -0.9
Acadian Multi-Asset Absolute Return Systematic -0.3
Lyxor / Bridgewater Core Global Macro Systematic 2.9
PrivilEdge - Graham Quant Macro Systematic 5.2
PGIM Wadhwani Keynes Systematic Absolute R... Systematic 8.8
DMS P/E FX Strategy Fund Systematic 17.7

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £804m
River and Mercantile Global Macro £173m
Acadian Multi-Asset Absolute Return £150m
PGIM Wadhwani Keynes Systematic ... £135m
Aspect Systematic Global Macro Fund £132m

Largest Inflows (Q1'22 - Q1'21)

Change AUM
Lyxor / Bridgewater Core Global ... £131m £804m
DMS P/E FX Strategy Fund £29m £121m
PGIM Wadhwani Keynes Systematic ... £23m £135m
Aspect Systematic Global Macro Fund £22m £132m
Acadian Multi-Asset Absolute Return £19m £150m

Largest Outflows (Q1'22 - Q1'21)

Change AUM
GMO Systematic Global Macro Majo... £-15m £63m
Invesco Macro Allocation Strategy £-13m £27m
PrivilEdge - Graham Quant Macro £-8m £42m
LGT Alpha Generix UCITS £-7m £38m

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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.