Sub Index - Trend
Managers in this cohort employ systematic investment processes designed to capture price momentum across asset classes using highly liquid instruments (futures, forwards, etc). Market trends are identified using a variety of momentum factors, with price and its derivative the most prevalent. While exposure to directional price momentum dominates (at least 70-80% of risk), in many instances this is complemented by a smaller allocation to other non-price based technical signals which frequently act as a risk-mitigation tool. More generally, managers have a wide range of dimensions by which they are able to differentiate themselves: lookback horizon (medium-term trend following, 2-4 months, remains the preferred option), investment universe, instruments traded (financials only, commodities, etc), portfolio construction and risk modulation techniques, and the volatility target.
Strategy AUM
30 June 2023
£4.8b
-6.6% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -1.2 | 1.6 | -5.7 | 2.4 | 1.3 | 3.0 | -1.1 | -0.6 | -0.6 | |||||
| 2022 | -0.5 | 1.2 | 5.7 | 4.9 | -0.9 | 2.6 | -3.6 | 3.3 | 6.0 | -0.7 | -5.0 | -0.8 | 12.1 | |
| 2021 | -1.1 | 2.0 | 0.8 | 1.1 | 1.3 | -1.5 | 0.7 | -0.1 | -1.9 | 2.2 | -3.4 | 0.2 | 0.0 | |
| 2020 | 0.7 | -0.7 | 1.6 | -0.1 | -1.4 | -1.1 | 2.1 | -0.6 | -2.2 | -0.8 | 1.1 | 4.0 | 2.5 | |
| 2019 | -2.2 | 0.1 | 5.5 | 2.2 | 0.2 | 2.8 | 3.7 | 4.4 | -2.8 | -3.5 | 0.9 | -1.0 | 10.4 | |
| 2018 | 5.5 | -6.8 | -1.2 | -0.3 | -2.1 | 0.2 | -0.5 | 2.3 | -1.7 | -3.0 | -1.9 | 1.2 | -8.4 | |
| 2017 | -0.4 | 3.1 | -1.2 | -0.1 | 1.3 | -2.5 | 2.1 | 1.3 | -1.9 | 4.0 | 1.1 | 0.5 | 7.3 | |
| 2016 | 4.2 | 1.9 | -2.2 | -2.8 | -1.3 | 4.0 | 1.0 | -1.8 | -1.1 | -3.3 | -0.6 | 1.3 | -1.0 | |
| 2015 | 5.2 | 0.9 | 1.6 | -3.6 | 0.2 | -3.7 | 2.3 | -0.8 | 1.7 | -2.0 | 2.3 | -2.5 | 1.2 | |
| 2014 | -2.5 | 0.7 | -1.8 | 1.4 | 2.2 | 1.9 | 0.0 | 4.6 | 1.3 | 1.0 | 6.1 | 3.1 | 19.1 | |
| 2013 | 1.8 | 1.1 | 1.9 | 3.3 | -3.1 | -2.9 | -0.7 | -2.8 | -0.9 | 2.9 | 3.7 | 0.4 | 4.2 | |
| 2012 | 0.0 | 0.9 | -1.7 | 0.2 | 2.8 | -5.0 | 3.0 | -2.4 | -2.0 | -3.8 | 0.6 | 0.9 | -6.7 | |
| 2011 | -2.3 | 1.2 | -3.4 | 3.6 | -2.6 | -2.7 | 4.2 | 1.3 | -0.1 | -4.5 | 0.3 | 1.5 | -3.8 | |
| 2010 | -2.1 | -0.5 | 2.8 | 0.0 | 0.3 | 0.4 | -0.9 | 3.3 | 0.4 | 2.4 | -3.7 | 2.8 | 5.1 | |
| 2009 | -0.5 | 0.2 | -3.9 | -4.1 | ||||||||||
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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 Multi Asset Long / Short | Nov 2016 | Global | £135m | 0.75% | 4,000,000 | Daily | 0.6 | -4.0 | 5.3 | -0.3 | 1.3 | -0.9 | -0.4 | -9.4 | -0.1 | 20.7 | LU1481688817 | Daily | Luxembourg | Allianz GI | Rahul Malhotra (Lead), Gior... | Article 6 | 57 | 79 | 100 | 89 | 61 | |||||||||
| AQR Alternative Trends UCITS Fund | Feb 2023 | Global | £229m | 1.50% | 20% | Yes | 100,000 | Daily | 2.7 | 0.2 | 2.9 | 5.9 | 16.6 | LU2392538067 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, John Liew, Cli... | Yes | Yes | Article 6 | Yes | Yes | No | ||||||||||||
| AQR Managed Futures UCITS | Oct 2014 | Global | £257m | 0.60% | 10% | Yes | 100,000 | Daily | 3.4 | 5.9 | 29.6 | 1.1 | 3.0 | 6.0 | 9.6 | 3.0 | 33.3 | 33.4 | LU1103258510 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, Ari Levine | Yes | Yes | Article 6 | Yes | N/A | Yes | 60 | 85 | 62 | 99 | 45 | ||
| ASG Managed Futures Fund | Jun 2016 | Global | £96m | 1.50% | n/a | 50,000 | Daily | 2.5 | -3.0 | 26.6 | -0.5 | 2.0 | 1.3 | 7.2 | -8.3 | 21.6 | 31.9 | LU1429556951 | Daily | Luxembourg | AlphaSimplex Group, LLC | ASG Managed Futures Team | 55 | 91 | 82 | 99 | 33 | |||||||||
| Aspect Diversified Trends Fund | Dec 2010 | Global | £325m | 1.00% | 15% | No | 100,000 | Daily | 3.0 | 5.2 | 36.8 | -0.4 | 3.0 | 5.2 | 13.4 | 3.9 | 41.1 | 61.5 | IE00B657BK41 | Daily | Ireland | Aspect Capital | Aspect Capital | Yes | Yes | Article 6 | No | N/A | N/A | 89 | 95 | 64 | 99 | 56 | ||
| BNP THEAM Quant - Multi Asset Diversified | Feb 2008 | Global | £40m | 0.50% | 100,000 | Daily | 0.0 | -2.7 | -0.6 | -2.1 | 0.3 | -4.1 | 1.1 | -15.7 | -6.9 | 6.9 | LU1353185074 | Daily | Luxembourg | BNP Paribas Asset Management | Solene Deharbonnier | 50 | 50 | 98 | 75 | 21 | ||||||||||
| Candriam Diversified Futures | Nov 2009 | Global | 1.20% | 20% | Yes | 250,000 | Daily | 1.0 | 3.5 | 13.8 | -0.9 | 0.7 | 1.4 | 9.5 | 1.0 | 20.7 | 22.2 | FR0010794792 | Daily | France | Candriam | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||
| CFM ISTrends Equity Capped Fund | Sep 2020 | Global | £3m | 0.75% | 10% | No | 10,000 | Daily | 2.3 | 4.0 | 0.2 | 1.3 | 4.6 | 8.4 | IE000IK66S24 | Daily | Ireland | Capital Fund Management | CFM | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||
| CFM ISTrends Fund | May 2021 | Global | £10m | 0.75% | 10% | No | 10,000 | Daily | 2.0 | 9.6 | 24.1 | -0.7 | 1.4 | 5.2 | 14.0 | 4.5 | 33.2 | IE00BMDKFQ17 | Daily | Ireland | Capital Fund Management | CFM | Yes | No | Article 6 | No | N/A | N/A | ||||||||
| Cyril Systematic UCITS | Jun 2011 | Global | £6m | 2.00% | 20% | EONIA | 500,000 | Daily | 0.2 | -1.4 | -0.6 | -2.5 | -3.5 | 4.3 | -9.5 | 9.0 | 0.8 | FR0000976342 | Daily | France | John Locke Investments | John Locke Investments | 18 | 34 | 99 | 80 | 17 | |||||||||
| Fulcrum Multi Asset Trend Fund | May 2015 | Global | £67m | 0.80% | 0% | No | 1,000,000 | Daily | 0.8 | 3.8 | 28.7 | -1.2 | 1.8 | 3.2 | 10.8 | -0.4 | 38.0 | 55.8 | LU1225880415 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Systematic Team | Yes | Yes | Article 6 | Yes | N/A | N/A | 82 | 96 | 62 | 99 | 55 | ||
| Garraway Financial Trends | Sep 2012 | Global | £30m | 1.00% | 20% | None | 100,000 | Daily | -0.7 | -6.4 | 5.9 | -1.4 | -1.8 | -3.5 | 3.2 | -17.0 | -5.8 | -4.6 | IE00B86V3N61 | Daily | Ireland | Garraway Capital Management... | Darran Goodwin | 13 | 22 | 85 | 96 | 12 | ||||||||
| Goldman Sachs Alternative Trend Portfolio | Jan 2015 | Global | £304m | 0.65% | 1,000,000 | Daily | 1.5 | 3.6 | 16.7 | -0.3 | 0.5 | 0.9 | 7.6 | 0.8 | 20.9 | 28.5 | LU1103308471 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 72 | 89 | 89 | 98 | 70 | ||||||||||
| Lynx UCITS Fund | Mar 2019 | Global | £80m | 1.00% | 20% | Yes | 10,000 | Daily | 5.8 | -3.7 | 35.2 | 0.4 | 3.0 | 1.8 | 8.1 | -8.2 | 28.8 | 44.3 | IE00BGBVCN02 | Daily | Ireland | Lynx Asset Management AB | Yes | Yes | Article 6 | No | N/A | N/A | 66 | 94 | 81 | 100 | 32 | |||
| Lyxor Epsilon Global Trend | Apr 2011 | Global | £413m | 1.00% | 15% | 500,000 | Daily | -2.2 | -1.9 | 17.6 | -1.5 | -2.5 | -3.7 | 1.6 | -4.1 | 15.3 | 14.5 | IE00B530CF08 | Daily | Ireland | Metori Capital Management | Lyxor | Article 6 | 35 | 72 | 88 | 94 | 62 | ||||||||
| Man AHL Alpha Core Alternative | Nov 2009 | Global | £106m | 1.00% | 15% | Yes | 1,000 | Daily | 3.1 | -1.4 | 12.7 | 0.2 | 1.4 | -3.9 | 3.5 | -5.4 | 4.9 | 7.9 | LU0424370269 | Daily | Luxembourg | Man Group Plc | Matthew Sargaison, Russell ... | No | Yes | Article 6 | No | N/A | N/A | 42 | 60 | 95 | 92 | 24 | ||
| Man AHL Trend Alternative | Oct 2009 | Global | £901m | 1.50% | 20% | Yes | 100,000 | Daily | 4.4 | -1.4 | 12.6 | -0.3 | 1.2 | -2.9 | 4.8 | -6.1 | 4.9 | 14.5 | LU0428380553 | Daily | Luxembourg | Man Group Plc | Otto Hamaoui, Tom Bowles | No | Yes | Article 6 | No | N/A | N/A | 57 | 75 | 94 | 89 | 29 | ||
| MontLake Crabel Advanced Trend | Oct 2017 | Global | £60m | 0.50% | 10,000,000 | Daily | 2.3 | 2.6 | 23.4 | -1.2 | 2.4 | 2.9 | 9.5 | -5.9 | 24.9 | 43.8 | IE00BF2X0569 | Daily | Ireland | Crabel Capital Management | 74 | 94 | 90 | 97 | 42 | |||||||||||
| MontLake DUNN WMA Institutional UCITS | Sep 2011 | Global | £361m | 0.30% | 25% | No | 1,000,000 | Daily | 1.5 | 4.3 | 28.8 | -1.4 | 2.0 | 2.4 | 10.7 | 2.6 | 34.9 | 41.9 | IE00B6R2TB45 | Daily | Ireland | DUNN Capital Management | William Dunn, Marty Bergin | Yes | Yes | Article 6 | No | N/A | N/A | 74 | 93 | 72 | 96 | 65 | ||
| Next AM - Tendance Finance | May 2012 | Global | £15m | 2.00% | 20% | 100,000 | Daily | -2.6 | -3.5 | -11.2 | -1.1 | -0.4 | 0.5 | -4.5 | -8.3 | -15.7 | -24.6 | LU0778101708 | Daily | Luxembourg | Tendance Finance | Herve Chatot | 1 | 1 | 47 | 17 | 6 | |||||||||
| Pimco TRENDS Managed Futures Strategy | Jun 2015 | Global | £238m | 1.40% | 5,000,000 | Daily | 2.6 | -3.9 | 10.7 | 0.3 | 1.6 | -0.4 | 3.9 | -9.3 | 6.2 | 12.8 | IE00BWX5WG52 | Daily | Ireland | PIMCO Asset Management | Matt Dorsten, Graham Rennison | Article 6 | 66 | 72 | 72 | 96 | 22 | |||||||||
| Quantica Managed Futures Focus | Jul 2018 | Global | £57m | 0.90% | 20% | No | 10,000 | Daily | 3.3 | 3.7 | 9.4 | 0.2 | 1.9 | 3.0 | 13.9 | -4.5 | 5.1 | 12.7 | LU1825540146 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 30 | 30 | 80 | 95 | 7 | |||
| Quantica Managed Futures UCITS | Aug 2015 | Global | £99m | 0.70% | 20% | No | 10,000 | Daily | 5.2 | 5.4 | 11.7 | -0.5 | 4.1 | 5.9 | 15.6 | -0.5 | 7.6 | 27.8 | LU1869435468 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 60 | 79 | 92 | 92 | 25 | |||
| Schroder GAIA BlueTrend | Dec 2015 | Global | £349m | 1.50% | 20% | 500,000 | Daily | 4.5 | -7.5 | 30.4 | -0.1 | 3.0 | 2.5 | 6.3 | -11.8 | 16.1 | 39.9 | LU1293074479 | Daily | Luxembourg | Systematica Investments Lim... | Leda Braga, David Kitson | Article 6 | 76 | 90 | 75 | 99 | 25 | ||||||||
| SEB Asset Selection | Oct 2006 | Global | £315m | 1.10% | 20% | Daily | -0.5 | -0.6 | 15.6 | -1.3 | 0.1 | -1.2 | 6.7 | -7.4 | 14.4 | 31.1 | LU0256624742 | Daily | Luxembourg | SEB Asset Management | Hans-Olov Bornemann | 70 | 91 | 90 | 95 | 48 | ||||||||||
| Tulip Trend Fund UCITS | Apr 2018 | Global | £55m | 1.50% | 16% | No | 100,000 | Weekly | 1.0 | 7.9 | 8.7 | 1.4 | 3.4 | 20.3 | -2.0 | 20.1 | 46.5 | IE00BFWJRT76 | Weekly | Ireland | Transtrend B.V. | Transtrend B.V. | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 97 | 86 | 93 | 19 | |||
| Winton Trend Fund (UCITS) | Feb 2018 | Global | £369m | 0.80% | 0% | No | 50,000 | Daily | 2.3 | 5.3 | 18.0 | -0.2 | 1.6 | 3.3 | 10.3 | 0.3 | 22.0 | 45.2 | IE00BG382P13 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 86 | 92 | 82 | 94 | 56 |
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