Systematic Macro

Strategy Research, 15 Oct 2020

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 -0.9 -0.7 -2.8 -0.6 0.5 -0.2 1.0 0.6 -0.7 -3.6
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
Aspect Systematic Global Macro Systematic 3.7
LGT Alpha Generix UCITS Systematic 3.1
Quantitative Fixed Income Macro UCITS Systematic 1.0
DMS P/E FX Strategy Fund Systematic 0.4
Invesco Macro Allocation Strategy Systematic -2.0
AXA World Funds - Chorus Systematic Macro Systematic -2.5
Acadian Multi-Asset Absolute Return Systematic -2.9
ADG Systematic Macro Systematic -4.9
AQR Global Macro Opportunities UCITS Systematic -6.3
GAM Systematic Core Macro Systematic -7.4

Bottom Funds YTD

YTD
IPM Systematic Macro UCITS Systematic -8.3
Lyxor / Bridgewater Core Global Macro Systematic -7.5
GAM Systematic Core Macro Systematic -7.4
AQR Global Macro Opportunities UCITS Systematic -6.3
ADG Systematic Macro Systematic -4.9
Acadian Multi-Asset Absolute Return Systematic -2.9
AXA World Funds - Chorus Systematic Macro Systematic -2.5
Invesco Macro Allocation Strategy Systematic -2.0
DMS P/E FX Strategy Fund Systematic 0.4
Quantitative Fixed Income Macro UCITS Systematic 1.0

Largest New Launches (12M)

AUM
Lyxor / Bridgewater Core Global Macro £845m
AXA World Funds - Chorus Systematic Macro £333m

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £845m
AXA World Funds - Chorus Systema... £333m
IPM Systematic Macro UCITS £251m
GMO Systematic Global Macro Majo... £244m
Aspect Systematic Global Macro £122m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
River and Mercantile Global Macro £158m £98m
Acadian Multi-Asset Absolute Return £71m £84m
DMS P/E FX Strategy Fund £16m £64m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
IPM Systematic Macro UCITS £-854m £251m
Invesco Macro Allocation Strategy £-139m £71m
ADG Systematic Macro £-119m £19m
GMO Systematic Global Macro Majo... £-93m £244m
LGT Alpha Generix UCITS £-92m £54m

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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.