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.
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 1.2 | 4.2 | 5.5 | |||||||||||
2023 | -1.2 | 1.6 | -5.7 | 2.4 | 1.3 | 3.0 | -1.1 | -0.6 | 1.9 | 0.8 | -3.3 | -0.4 | -1.6 | |
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 | ||||||||||
Show all |
Index Constituents
Name | Inception Date | Geography | AUM | AMC | Perf. Fee | Hurdle | Min Inv. | Liquidity | MTD | YTD | 2023 | 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 |
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---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Candriam Diversified Futures | Nov 2009 | Global | £255m | 1.20% | 20% | Yes | 250,000 | Daily | 2.1 | 2.3 | 0.0 | 0.9 | 1.7 | 0.3 | 10.2 | 10.9 | 22.6 | FR0010794792 | Daily | France | Candriam | Yes | Yes | Article 6 | No | N/A | N/A | 72 | 84 | 85 | 93 | 66 | ||||
Goldman Sachs Alternative Trend Portfolio | Jan 2015 | Global | £340m | 0.65% | 1,000,000 | Daily | 1.9 | 2.5 | 0.3 | 1.7 | 1.3 | -0.2 | 7.9 | 16.7 | 21.8 | LU1103308471 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 70 | 86 | 73 | 96 | 65 | |||||||||||
Lynx UCITS Fund | Mar 2019 | Global | £74m | 1.00% | 20% | Yes | 10,000 | Daily | 13.2 | -8.0 | 2.4 | 4.9 | 12.3 | 5.6 | 16.5 | 18.9 | 37.0 | IE00BGBVCN02 | Daily | Ireland | Lynx Asset Management AB | Yes | Yes | Article 6 | No | N/A | N/A | 53 | 87 | 61 | 100 | 28 | ||||
MontLake Crabel Advanced Trend | Oct 2017 | Global | £103m | 0.50% | 10,000,000 | Daily | 12.4 | -4.8 | 0.1 | 4.0 | 12.0 | 3.3 | 13.4 | 12.2 | 28.7 | IE00BF2X0569 | Daily | Ireland | Crabel Capital Management | 55 | 83 | 72 | 98 | 36 | ||||||||||||
Quantica Managed Futures Focus | Jul 2018 | Global | £58m | 0.90% | 20% | No | 10,000 | Daily | 8.5 | 1.2 | -0.1 | 4.0 | 7.8 | 4.4 | 19.9 | 20.7 | 6.7 | LU1825540146 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 29 | 40 | 65 | 99 | 18 | ||||
Quantica Managed Futures UCITS | Aug 2015 | Global | £93m | 0.70% | 20% | No | 10,000 | Daily | 9.8 | 0.1 | 0.1 | 2.9 | 9.2 | 2.8 | 19.5 | 13.8 | 11.3 | LU1869435468 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 39 | 57 | 71 | 95 | 20 | ||||
Aspect Diversified Trends Fund | Dec 2010 | Global | £345m | 1.00% | 15% | No | 100,000 | Daily | 16.9 | -1.6 | 1.1 | 5.5 | 16.4 | 8.9 | 22.7 | 31.1 | 61.8 | IE00B657BK41 | Daily | Ireland | Aspect Capital | Aspect Capital | Yes | Yes | Article 6 | No | N/A | N/A | 84 | 97 | 64 | 100 | 58 | |||
KLS BH-DG Systematic Trading UCITS | Dec 2023 | Global | £11m | 1.00% | 20% | Yes | Daily | 4.1 | 0.5 | 1.8 | 3.6 | IE0001WX9CH6 | Daily | Ireland | BH-DG Systematic Trading LLP | BH-DG Systematic Risk Commi... | ||||||||||||||||||||
CFM ISTrends Equity Capped Fund | Sep 2020 | Global | £71m | 0.75% | 10% | No | 10,000 | Daily | 8.5 | -0.2 | 1.0 | 2.8 | 8.0 | 3.7 | 12.4 | IE000IK66S24 | Daily | Ireland | Capital Fund Management | CFM | Yes | Yes | Article 6 | No | N/A | N/A | 58 | 66 | 63 | 98 | 36 | |||||
CFM ISTrends Fund | May 2021 | Global | £10m | 0.75% | 10% | No | 10,000 | Daily | 17.6 | 4.5 | 1.3 | 5.6 | 16.6 | 13.1 | 26.5 | 33.8 | IE00BMDKFQ17 | Daily | Ireland | Capital Fund Management | CFM | Yes | No | Article 6 | No | N/A | N/A | |||||||||
Garraway Financial Trends | Sep 2012 | Global | £28m | 1.00% | 20% | None | 100,000 | Daily | 6.6 | -11.2 | 1.0 | 4.2 | 6.1 | -1.2 | 4.7 | -4.6 | -9.1 | IE00B86V3N61 | Daily | Ireland | Garraway Capital Management... | Darran Goodwin | 4 | 8 | 77 | 94 | 8 | |||||||||
iMGP DBi Managed Futures Fund | Jan 2023 | Europe | £59m | 0.75% | 0% | No | 1,000,000 | Daily | 11.1 | 0.4 | 5.2 | 10.9 | 2.2 | 11.9 | LU2550556745 | Daily | Luxembourg | DBi | Dynamic Beta Investments (n... | No | No | Article 6 | No | Yes | Yes | |||||||||||
Fulcrum Multi Asset Trend Fund | May 2015 | Global | £61m | 0.80% | 0% | No | 1,000,000 | Daily | 14.4 | -6.3 | 1.5 | 4.1 | 14.2 | 3.2 | 13.4 | 16.6 | 51.0 | LU1225880415 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Systematic Team | Yes | Yes | Article 6 | Yes | N/A | N/A | 76 | 94 | 62 | 97 | 47 | |||
SEB Asset Selection | Oct 2006 | Global | £296m | 1.10% | 20% | Daily | 12.8 | -7.8 | 0.3 | 3.2 | 12.1 | 4.4 | 10.3 | 11.5 | 20.0 | LU0256624742 | Daily | Luxembourg | SEB Asset Management | Hans-Olov Bornemann | 54 | 64 | 74 | 95 | 30 | |||||||||||
Next AM - Tendance Finance | May 2012 | Global | £18m | 2.00% | 20% | 100,000 | Daily | 5.8 | 11.0 | 10.6 | 5.1 | 20.5 | 17.2 | 1.0 | -1.2 | LU0778101708 | Daily | Luxembourg | Tendance Finance | Herve Chatot | 5 | 9 | 36 | 18 | 11 | |||||||||||
Cyril Systematic UCITS | Jun 2011 | Global | £6m | 2.00% | 20% | EONIA | 500,000 | Daily | 10.7 | -2.6 | 0.1 | 3.0 | 10.3 | 6.8 | 14.8 | 26.6 | 19.6 | FR0000976342 | Daily | France | John Locke Investments | John Locke Investments | 15 | 37 | 99 | 86 | 24 | |||||||||
Schroder GAIA BlueTrend | Dec 2015 | Global | £269m | 1.50% | 20% | 500,000 | Daily | 8.9 | -9.4 | 1.4 | 4.4 | 8.8 | 4.0 | 13.6 | 9.5 | 30.7 | LU1293074479 | Daily | Luxembourg | Systematica Investments Lim... | Leda Braga, David Kitson | Article 6 | 62 | 83 | 53 | 99 | 22 | |||||||||
Amundi Metori Epsilon Global Trend | Apr 2011 | Global | £352m | 1.00% | 15% | 500,000 | Daily | 9.7 | -3.2 | 0.8 | 3.8 | 9.3 | 8.7 | 9.5 | 19.6 | 20.5 | IE00B530CF08 | Daily | Ireland | Metori Capital Management | Lyxor | Article 6 | 39 | 42 | 88 | 92 | 41 | |||||||||
MontLake DUNN WMA Institutional UCITS | Sep 2011 | Global | £362m | 0.10% | 25% | No | 100,000 | Daily | 15.4 | -5.0 | -0.1 | 0.7 | 14.5 | 5.2 | 16.6 | 21.6 | 41.9 | IE00B6R2TB45 | Daily | Ireland | DUNN Capital Management | Marty H. Bergin, Roberto Os... | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 89 | 70 | 94 | 55 | |||
Pimco TRENDS Managed Futures Strategy | Jun 2015 | Global | £189m | 1.40% | 5,000,000 | Daily | 2.1 | -3.5 | 1.2 | 1.5 | 1.7 | 1.1 | 7.0 | 2.6 | 11.0 | IE00BWX5WG52 | Daily | Ireland | PIMCO Asset Management | Matt Dorsten, Graham Rennison | Article 6 | 47 | 57 | 58 | 96 | 20 | ||||||||||
Man AHL Alpha Core Alternative | Nov 2009 | Global | £107m | 0.80% | 0% | Yes | 100,000 | Daily | 5.8 | -1.8 | 1.1 | 3.8 | 5.4 | 2.7 | 9.2 | 13.2 | 5.9 | LU0424370269 | Daily | Luxembourg | Man Group Plc | Matthew Sargaison, Russell ... | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 84 | 73 | 62 | 49 | |||
Nomura Cross Asset Momentum UCITS Fund | Mar 2016 | Global | £91m | 1.00% | 0% | No | 100,000 | Daily | 4.0 | 7.6 | 0.0 | 3.1 | 3.4 | 2.5 | 16.1 | 20.8 | 41.2 | IE00BYY18K23 | Daily | Ireland | Nomura Alternative Investme... | Michel Laurent, Sam Jérémie | Yes | No | Article 6 | No | N/A | N/A | 75 | 97 | 90 | 96 | 53 | |||
Man AHL Trend Alternative | Oct 2009 | Global | £769m | 1.50% | 20% | Yes | 100,000 | Daily | 7.5 | -3.3 | 1.0 | 5.1 | 6.9 | 2.5 | 10.7 | 11.7 | 11.3 | LU0428380553 | Daily | Luxembourg | Man Group Plc | Otto Hamaoui, Tom Bowles | Yes | Yes | Article 6 | No | N/A | N/A | 42 | 43 | 73 | 96 | 23 | |||
Allianz Multi Asset Long / Short | Nov 2016 | Global | £114m | 0.75% | 4,000,000 | Daily | 3.2 | -3.5 | 0.7 | 2.4 | 2.9 | 3.0 | 3.9 | -1.3 | 7.7 | LU1481688817 | Daily | Luxembourg | Allianz GI | Rahul Malhotra (Lead), Gior... | Article 6 | 35 | 55 | 93 | 88 | 42 | ||||||||||
BNP THEAM Quant - Multi Asset Diversified | Feb 2008 | Global | £32m | 0.50% | 100,000 | Daily | 5.9 | -5.2 | 1.3 | 5.2 | 5.3 | 3.1 | 4.5 | -7.7 | 2.7 | LU1353185074 | Daily | Luxembourg | BNP Paribas Asset Management | Solene Deharbonnier | 28 | 15 | 94 | 78 | 10 | |||||||||||
Tulip Trend Fund UCITS | Apr 2018 | Global | £51m | 1.50% | 16% | No | 100,000 | Weekly | 19.4 | 0.2 | 1.7 | 2.1 | 17.4 | 11.6 | 33.0 | 4.6 | 44.2 | IE00BFWJRT76 | Weekly | Ireland | Transtrend B.V. | Transtrend B.V. | Yes | Yes | Article 6 | No | N/A | N/A | 58 | 93 | 84 | 93 | 18 | |||
Alma Platinum IV Systematic Alpha | Jun 2010 | Global | £77m | 0.85% | 18% | No | 1,000,000 | Daily | 9.9 | 10.1 | 0.8 | 2.8 | 9.7 | 7.9 | 22.7 | 25.5 | 48.1 | LU0462954479 | Daily | Luxembourg | Winton Capital | Winton Capital | No | No | Article 6 | No | N/A | N/A | 90 | 96 | 82 | 93 | 76 | |||
Winton Trend Fund (UCITS) | Feb 2018 | Global | £396m | 0.80% | 0% | No | 50,000 | Daily | 8.6 | 2.6 | 0.6 | 2.8 | 8.3 | 4.7 | 16.0 | 15.1 | 35.3 | IE00BG382P13 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 79 | 90 | 68 | 94 | 53 | |||
AQR Managed Futures UCITS | Oct 2014 | Global | £439m | 0.60% | 10% | Yes | 100,000 | Daily | 11.2 | 2.3 | 1.0 | 2.5 | 10.8 | 5.9 | 17.6 | 24.5 | 37.7 | LU1103258510 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, Ari Levine | Yes | Yes | Article 6 | Yes | N/A | Yes | 81 | 91 | 56 | 99 | 47 | |||
AQR Alternative Trends UCITS Fund | Feb 2023 | Global | £404m | 1.50% | 20% | Yes | 100,000 | Daily | 7.1 | 0.6 | 1.0 | 7.5 | 7.5 | 24.8 | LU2392538067 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, John Liew, Cli... | Yes | Yes | Article 6 | Yes | Yes | No |