Systematic Macro

Strategy Research, 31 Aug 2022

Index Research Funds

Sub Index - Systematic Macro

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 -0.9 1.7 0.8
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
Download Index Return Series

Top Funds YTD

YTD
PrivilEdge - Graham Quant Macro Systematic 3.5
DMS P/E FX Strategy Fund Systematic 2.7
Lyxor / Bridgewater Core Global Macro Systematic 1.1
GMO SGM Major Markets Investment Fund Systematic -0.3
Acadian Multi-Asset Absolute Return Systematic -1.5
Invesco Macro Allocation Strategy Systematic -1.7
PGIM Wadhwani Keynes Systematic Absolute R... Systematic -3.2
Aspect Systematic Global Macro Fund Systematic -9.8

Bottom Funds YTD

YTD
Aspect Systematic Global Macro Fund Systematic -9.8
PGIM Wadhwani Keynes Systematic Absolute R... Systematic -3.2
Invesco Macro Allocation Strategy Systematic -1.7
Acadian Multi-Asset Absolute Return Systematic -1.5
GMO SGM Major Markets Investment Fund Systematic -0.3
Lyxor / Bridgewater Core Global Macro Systematic 1.1
DMS P/E FX Strategy Fund Systematic 2.7
PrivilEdge - Graham Quant Macro Systematic 3.5

Largest Systematic Funds

AUM
Lyxor / Bridgewater Core Global ... £711m
PGIM Wadhwani Keynes Systematic ... £182m
PrivilEdge - Graham Quant Macro £171m
DMS P/E FX Strategy Fund £160m
Aspect Systematic Global Macro Fund £131m

Largest Inflows (Q4'22 - Q4'21)

Change AUM
PrivilEdge - Graham Quant Macro £103m £171m
PGIM Wadhwani Keynes Systematic ... £62m £182m
DMS P/E FX Strategy Fund £58m £160m
Aspect Systematic Global Macro Fund £14m £131m

Largest Outflows (Q4'22 - Q4'21)

Change AUM
Lyxor / Bridgewater Core Global ... £-76m £711m
Acadian Multi-Asset Absolute Return £-41m £106m
GMO SGM Major Markets Investment... £-31m £32m
Millennium Global Systematic Cur... £-14m £102m
Invesco Macro Allocation Strategy £-8m £22m

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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.