Sub Index - Systematic Macro
As the name suggests this cohort of managers has systemised macro investing. One strand of the discipline was driven by quantitative managers (trend following framework) expanding the range of signals they traded; from technical price-based factors to fundamentals and sentiment, while another was driven by discretionary macro managers systemising their fundamental investment processes (mean reverting framework). There are a significant number of systematic macro managers that straddle both disciplines, leading to a broader range of potential risk-return outcomes.
Strategy AUM
30 June 2023
£13.6b
-17.1% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -0.9 | 1.7 | -1.4 | 0.5 | 0.0 | -0.3 | -0.7 | 0.4 | -0.7 | |||||
| 2022 | -0.4 | -0.7 | 1.1 | 3.9 | -1.1 | 0.6 | 0.3 | 0.7 | 1.0 | 0.2 | -2.0 | -0.6 | 2.8 | |
| 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 | |
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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 |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Acadian Multi-Asset Absolute Return | Feb 2018 | Global | £114m | 1.39% | 0% | No | 10,000,000 | Daily | -5.3 | -0.7 | -0.6 | -4.1 | -8.7 | -7.6 | -0.3 | IE00BD6V6F47 | Daily | Ireland | Acadian Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | 66 | 33 | 91 | 81 | 66 | ||||||
| Amundi Bridgewater Core Global Macro Fund | Sep 2019 | Global | £617m | 1.50% | 15% | No | 500,000 | Daily | 0.0 | 2.2 | -4.1 | 0.1 | 0.1 | 0.4 | 0.3 | 0.3 | -0.7 | 11.2 | IE00BKDKNP28 | Daily | Ireland | Bridgewater Associates LP | Yes | Yes | Article 6 | No | N/A | N/A | 79 | 66 | 22 | 34 | 65 | |||
| Aspect Systematic Global Macro Fund | Jun 2018 | Global | £108m | 1.00% | 18% | No | 100,000 | Daily | 5.7 | -5.0 | 1.6 | 1.3 | 5.6 | 6.0 | 5.6 | -4.0 | -3.9 | -11.0 | IE00BDD86369 | Daily | Ireland | Aspect Capital | Anoosh Lachin, Asif Noor | Yes | Yes | Article 6 | No | N/A | N/A | 7 | 4 | 85 | 85 | 10 | ||
| DMS P/E FX Strategy Fund | May 2016 | Global | £157m | 2.00% | 20% | 50,000 | Daily | 3.8 | 14.1 | 16.7 | 0.7 | 2.7 | 8.0 | 11.3 | 1.5 | 38.1 | 24.3 | IE00BYQD3C34 | Daily | Ireland | P/E Investments | 60 | 59 | 52 | 100 | 14 | ||||||||||
| GMO SGM Major Markets Investment Fund | Feb 2017 | Global | £26m | 1.00% | 5,000,000 | Daily | 2.5 | 3.0 | -0.2 | 1.6 | 2.3 | 3.8 | 4.0 | 9.4 | 2.0 | 1.6 | IE00BDS6C592 | Daily | Ireland | Grantham, Mayo, Van Otterlo... | Jason Halliwell, Sean Gleason | 18 | 22 | 63 | 75 | 36 | ||||||||||
| IAM Welton Multi-Strategy Global Macro UCITS Fund | Oct 2022 | Global | £87m | 1.50% | 20% | No | 1,000,000 | Daily | 1.8 | -8.0 | -1.0 | 1.1 | -1.8 | -0.3 | IE000FJPVJV9 | Daily | Ireland | International Asset Management | Patrick Welton | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||
| Invesco Macro Allocation Strategy | Sep 2015 | Global | £17m | 0.75% | 1,000 | Daily | -2.0 | -4.7 | -13.5 | -2.1 | -0.2 | -1.3 | -3.5 | -6.8 | -17.5 | -7.5 | LU1233165411 | Daily | Luxembourg | Invesco Advisers Inc. | Scott E. Wolle | Article 6 | 5 | 14 | 52 | 25 | 16 | |||||||||
| PGIM Wadhwani Keynes Systematic Absolute Return Fund | Sep 2019 | Global | £241m | 0.75% | 0% | No | 10,000,000 | Daily | -0.1 | -5.4 | 11.5 | -0.8 | 0.3 | -2.9 | -2.9 | -5.8 | 5.6 | 17.3 | IE00BJV2JR76 | Daily | Ireland | PGIM Wadhwani | Sushil Wadhwani | No | No | Article 6 | No | N/A | N/A | 94 | 83 | 96 | 90 | 88 | ||
| PrivilEdge - Graham Quant Macro | Jun 2020 | Global | £152m | 0.85% | 15% | 1,000,000 | Weekly | 3.7 | 13.2 | 7.4 | 0.5 | 3.2 | 5.0 | 9.9 | 10.2 | 22.4 | 27.6 | LU2183933816 | Weekly | Luxembourg | Graham Capital Management L.P. | Graham Capital | 63 | 82 | 78 | 85 | 61 |
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