Sub Index - Market Neutral Discretionary

These managers apply traditional long/short equity techniques to construct a market neutral portfolio, with a core focus on company-specific fundamentals. Within this category, we identify two broad approaches to portfolio construction and risk management. On one side, there are managers offering investors pure long-alpha products with portfolio beta neutralised using index futures or baskets of stocks. On the other hand, there are managers aiming to generate alpha from both sides of the portfolio including alpha shorts (the use of indices is limited to the purpose of hedging residual unintended risks). Within this strand of the discipline, some managers employ 'pair-trading' techniques with the aim to maximise exposure to stock level idiosyncrasies while minimising exposure to ‘market factors’ (sector, style, ect). This investment approach is often model/research intensive, with the opportunity set typically restricted to a limited number of stocks that are well known by the manager as they seek to arbitrage out inefficiencies in share price valuations.

Strategy AUM
30 June 2023
£9b
-20.7% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2023 0.4 0.2 -0.2 -0.2 -0.1 0.1 -0.5 0.4 0.1
2022 -0.3 0.0 0.1 0.1 -0.1 -0.6 0.3 0.0 -0.2 0.1 0.1 0.3 -0.3
2021 -0.3 0.7 -0.5 0.3 -0.1 -0.2 -0.3 0.5 0.0 0.2 -0.5 0.0 -0.3
2020 0.1 -0.1 -1.2 1.0 0.0 0.6 0.3 0.4 0.1 -0.5 1.9 0.5 3.0
2019 1.3 0.3 -0.8 0.1 -0.2 0.1 0.3 0.4 0.1 0.1 0.0 0.9 2.5
2018 0.6 -0.5 0.3 -0.1 0.4 -0.3 0.0 -0.8 0.0 -0.8 -1.0 -0.6 -2.8
2017 0.7 -0.2 0.1 0.4 -0.1 -0.2 0.3 0.1 0.1 0.0 -0.3 0.1 1.0
2016 -1.2 -0.9 -0.2 -0.6 0.5 -2.0 0.4 0.2 0.4 -0.1 0.1 -0.1 -3.4
2015 0.8 0.1 0.3 0.7 0.6 -0.6 0.3 0.1 -0.3 0.2 0.8 0.8 3.8
2014 0.6 0.4 -0.5 -1.1 -0.6 -0.2 -0.1 0.1 0.0 0.3 0.5 0.4 -0.1
2013 1.5 0.8 0.2 0.6 0.7 0.8 0.4 -0.1 0.4 0.2 0.7 0.2 6.3
2012 0.7 1.0 0.4 -0.5 -1.1 -0.1 -0.1 -0.2 0.2 0.6 0.6 0.3 1.9
2011 0.1 -0.2 0.2 -0.1 -0.5 0.2 -0.3 -1.2 -0.1 0.9 -0.2 -0.2 -1.3
2010 0.4 -0.2 0.9 0.2 -0.2 -0.5 0.8 -0.2 0.7 0.8 0.3 0.4 3.8
Show all
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

Filter by:
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
Aegon Global Equity Market Neutral Jun 2016 Global £86m 1.00% 500,000 Daily -0.8 -1.5 -6.8 -0.2 -1.1 -2.5 -1.1 -1.1 -9.7 0.5 IE00BYZHZV94 Daily Ireland Aegon Asset Management David Pringle Article 6 24 51 39 37 45
Alkimis Capital UCITS Nov 2009 Europe 1.00% 20% 1,000,000 Weekly 0.0 IT0005163743 Weekly Italy Alkimis SGR Massimo Morchio, Pierluca M... 66 34 18 38 55
BlackRock Asia Pacific Absolute Return Aug 2016 Asia £61m 1.00% 20% No 100,000 Daily 0.1 0.6 4.4 0.6 0.2 -2.1 -0.7 0.2 5.3 15.7 LU1495982438 Daily Luxembourg BlackRock Investment Manage... Samuel Vecht, Steve Wong, A... Yes Yes Article 6 Yes Yes Yes 94 79 93 88 92
BNY Mellon Absolute Return Equity Jan 2011 Europe £111m 1.00% 15% 500,000 Daily 0.8 -0.2 2.3 0.1 0.6 1.0 -0.1 0.0 1.5 5.1 IE00B3RZQQ62 Daily Ireland BNY Mellon Asset Management Andrew Cawker, Iain Brown, ... Article 6 88 39 80 82 95
BPI Alternative Iberian Equities Long/Short Jan 2010 Europe £322m 1.50% 20% 150,000 Daily 1.1 1.1 1.7 0.4 0.8 0.7 0.6 4.0 3.1 8.7 LU0784437740 Daily Luxembourg BPI Gestão de Activos Paulo Freire Oliveira, Pedr... 84 48 91 75 96
Candriam Absolute Return Equity Market Neutral Aug 2018 Global £615m 0.80% 20% Yes 0 Daily 1.7 6.4 -6.7 0.9 2.1 4.1 7.3 7.0 3.2 15.1 LU1819523264 Daily Luxembourg Candriam Emmanuel Terraz, Olivier Ro... Yes Yes Article 6 No Yes Yes 48 52 28 37 53
CT Real Estate Equity Market Neutral Fund Dec 2012 Europe £268m 1.00% 15% 5,000,000 Daily 0.9 6.6 -2.3 0.3 0.6 2.2 4.8 5.5 7.1 9.6 IE00B8GGKQ36 Daily Ireland BMO GAM Alban Lhonneur, Marcus Phay... Article 6 92 56 94 77 97
DNCA Invest - Miuri Dec 2011 Europe £262m 1.00% 20% 200,000 Daily 0.5 7.3 -3.4 0.4 0.8 1.6 1.4 10.4 4.1 16.4 LU0641746143 Daily Luxembourg DNCA Finance Luxembourg Mathieu Picard, Alexis Albert Article 8 50 71 58 49 77
Exane Ceres Feb 2007 Global £172m 1.50% 20% EONIA +1% 125,000 Weekly 0.0 9.7 -6.1 0.4 0.3 0.2 1.1 13.4 5.0 7.7 LU0284634564 Weekly Luxembourg Exane Asset Management Charles-Henri Neme, Pierre ... 34 47 26 27 58
Exane Overdrive May 2013 Global £152m 2.00% 20% EONIA +1% 125,000 Daily -0.3 1.9 -0.1 0.5 -1.8 -0.9 -0.4 2.6 0.7 6.2 LU0923609035 Daily Luxembourg Exane Asset Management Eric Lauri 30 47 69 67 50
Exane Pleiade May 2011 Global £1.3b 1.25% 20% Daily -0.6 -0.1 1.8 0.0 -1.5 -0.9 -0.3 0.2 0.7 5.7 LU0616900691 Daily France Exane Asset Management Eric Lauri 73 50 71 74 85
Franklin K2 ActusRay European Alpha UCITS Fund Dec 2022 Europe £63m 1.25% 20% Yes 5,000,000 Daily 3.0 5.1 0.7 2.8 3.7 2.6 LU2511867744 Daily Luxembourg K2 Advisors Andrew Alexander Yes No Article 6 No N/A N/A
Fulcrum Thematic Equity Market Neutral Aug 2020 Global £394m 1.50% 20% No 1,000,000 Daily 0.7 -2.8 -5.1 -0.1 0.6 1.8 -0.6 -8.8 -8.4 -14.0 LU2164659893 Daily Luxembourg Fulcrum Asset Management LLP Fawaz Chaudhry Yes Yes Article 6 No N/A N/A
HI European Market Neutral Fund Oct 2012 Europe £70m 1.50% 20% 500,000 Daily 2.2 1.0 2.0 0.6 1.9 1.8 2.6 1.6 3.3 2.1 IE00B83N7116 Daily Ireland Hedge Invest SGR p.A. Paul Marriage Article 6 70 33 77 70 74
InRIS Perdurance Market Neutral Oct 2017 Global £10m 1.00% 20% None 500,000 Daily -0.3 5.2 3.7 0.0 -0.2 1.0 1.2 1.3 2.9 2.8 IE00BZ60LC73 Daily Ireland Perdurance Asset Management Ivan Briery 24 18 98 86 23
Janus Henderson Global Equity Market Neutral Fund Feb 2017 Global £33m 0.75% 20% Yes 1,000,000 Daily 0.5 -1.4 -1.5 -0.2 1.1 1.6 1.3 -0.6 -3.7 -7.2 LU1542613549 Daily Luxembourg Janus Henderson Investors Steve Johnstone Yes Yes Article 6 Yes Yes N/A 20 10 65 69 47
JPM Europe Equity Absolute Alpha Dec 2013 Europe £283m 0.75% 15% Daily 3.9 3.8 8.3 0.6 3.7 4.1 4.3 2.5 16.7 26.5 LU1001748398 Daily Luxembourg J.P.Morgan Asset Management Nicholas Horne, Ben Stapley... Article 8 96 87 73 93 91
KLS Scopia Market Neutral Equity Aug 2023 US 1.50% 20% Yes 1,000,000 Daily 0.0 IE0001IUURY9 Daily Ireland Scopia Capital Management LP Matt Sirovich, Jeremy Mindi... Yes Yes Article 8 Yes Yes N/A
LandseerAM European Equity Focus Long/Short Fund Oct 2020 Europe £459m 1.00% 20% Yes 1,000,000 Daily 1.6 2.0 2.0 -0.3 1.7 2.5 2.3 2.0 4.4 LU2214765658 Daily Luxembourg Landseer Asset Management (... Andy Billett, Roger Guy, Pa... Yes Yes Article 8 Yes No Yes
LGT Sustainable Equity Market Neutral Sep 2017 Global £89m 0.80% 0% No 1,000,000 Daily -0.3 -5.4 -0.6 0.1 -1.0 -3.1 -6.4 -4.3 -8.2 -9.8 IE00BF1D8J71 Daily Ireland LGT Capital Partners LGT Capital Partners Yes Yes Article 8 Yes Yes Yes 10 12 76 66 41
LO Funds - TerreNeuve Sep 2018 Global £87m 1.50% 20% 1,000,000 Weekly -1.9 -12.5 11.8 0.6 -1.9 -3.3 -8.7 -15.5 -4.8 1.5 LU1858041194 Weekly Luxembourg Lombard Odier Investment Ma... Arnaud Langlois Yes Yes Article 8 Yes Yes N/A 38 46 66 78 27
Lumyna - Sandbar Global Equity Market Neutral UCITS Oct 2019 Global £364m 1.40% 20% No 1,000,000 Daily 1.4 -0.1 -7.1 0.2 1.4 0.6 -1.3 -8.5 -10.8 -16.7 LU2061570466 Daily Luxembourg Sandbar Asset Management (SAM) Michael Cowley Yes Yes Article 6 Yes Yes Yes 4 3 74 52 11
Man GLG Alpha Select Alternative Feb 2010 UK £1.6b 0.75% 20% Yes 1,000,000 Daily 1.8 6.4 4.7 0.5 1.5 1.3 4.0 5.2 14.2 21.7 IE00B60S2G54 Daily Ireland Man Group Plc Charles Long, Nick Judge No Yes Article 6 No N/A N/A 100 84 71 84 96
Man GLG Asia Pacific (ex Japan) Equity Alternative Dec 2020 Asia £58m 1.00% 20% No 1,000,000 Daily -0.6 -2.3 5.7 0.6 -0.9 -2.9 -3.2 -0.2 4.5 IE00BN15T637 Daily Ireland Man Group Plc Andrew Swan No Yes Article 8 Yes N/A N/A
Man GLG European Equity Alternative Jul 2011 Europe £106m 2.00% 20% Yes 1,000,000 Daily 0.4 -2.2 -2.5 0.6 0.4 -1.2 -1.4 -3.5 -5.2 -2.4 IE00B5591813 Daily Ireland Man Group Plc Ikitsa Anastasov, Neil Mason No Yes Article 6 No N/A N/A 58 32 80 87 63
Marble Bar - Chelodina UCITS Nov 2019 Global £112m 1.50% 20% 5,000,000 Daily 0.5 -1.7 5.3 0.1 0.8 -0.6 -2.2 -0.4 2.5 5.2 IE00BFMZN539 Daily Ireland Marble Bar MBAM 89 55 87 86 98
Nordea 1 - Global Equity Market Neutral Fund Jun 2020 Global £39m 1.00% 15% 75,000 Daily -0.1 -0.1 1.3 -0.2 2.6 0.7 3.7 1.1 -0.3 LU2166349774 Daily Luxembourg Nordea Jakob Nordestedt Article 8 41 25 96 87 70
Pictet Agora Jul 2014 Europe £249m 1.10% 20% Yes 1,000,000 Weekly 0.1 0.2 1.5 0.0 0.1 -1.0 -3.2 -0.9 0.6 0.4 LU1071463266 Weekly Luxembourg Pictet Funds (Europe) S.A. Vincent Ljaouane, Julian Al... Yes Yes Article 6 Yes Yes Yes 33 21 95 78 41
Portland Hill Fund SICAV - ESG European Long/Short Dec 2018 Europe £4m 1.50% 20% No 1,000,000 Weekly -0.4 4.4 -8.8 -0.4 -2.5 0.1 1.9 1.7 -2.5 7.8 LU1842610906 Weekly Luxembourg Other Thierry Lucas No Yes Article 8 Yes Yes Yes 39 53 32 24 37
Protea UCITS II ECO Advisors ESG Absolute Return Jul 2019 Global £159m 0.60% 0% No 3,000,000 Daily -0.2 -0.8 1.6 0.3 -0.1 -2.1 -0.1 -0.9 4.0 1.2 LU2002381171 Daily Luxembourg Ethical Capital Opportunity... Josh Gennet, Tristan Elwell Yes Yes Article 8 Yes Yes Yes 88 41 59 58 79
S14 Absolute Return Feb 2022 Global £8m 1.25% 20% Yes 250,000 Daily 0.0 FR0014004I24 Daily France S14 Capital No No Article 6 No No N/A
Schroder ISF Sustainable European Market Neutral Fund Aug 2012 Europe £19m 0.75% 20% Yes 1,000 Daily -0.6 -1.7 -5.4 0.1 -1.3 -2.0 -3.5 -1.5 -7.7 -6.9 LU0748063848 Daily Luxembourg Schroders Nicholette MacDonald-Brown,... Yes Yes Article 8 Yes Yes Yes 11 4 79 59 20
TM Tellworth UK Select Dec 2014 UK £587m 0.50% 10% Yes 5,000,000 Daily 2.5 4.3 7.8 0.7 2.4 3.6 5.4 6.0 14.6 30.3 GB00BTC2N411 Daily UK Tellworth Investments John Warren 100 88 88 85 100
Trium Climate Impact Fund Oct 2022 Europe £31m 0.50% 10% Yes 1,000 Daily -0.3 0.3 -0.1 -2.5 IE000J6OJ9C5 Daily Ireland Trium Capital Joe Mares & Tom Ayres Yes Yes Article 9 Yes Yes N/A
Trium ESG Emissions Improvers Fund Sep 2019 Europe £290m 1.00% 20% Yes 1,000 Daily 2.5 4.9 12.6 0.8 2.3 5.2 5.4 7.7 20.2 14.3 IE00BKDV3Y45 Daily Ireland Trium Capital Joe Mares Yes Yes Article 8 Yes Yes Yes 67 69 92 93 69
U Access – Long/Short Japan Corporate Governance Jul 2020 Japan £49m 1.25% 15% Weekly 1.2 7.6 -1.3 0.6 1.2 0.5 6.3 14.1 3.9 14.6 LU2187695437 Weekly Luxembourg UBP Asset Management Zuhair Kahn Article 6 48 74 44 51 52
UBAM - Europe Market Neutral Jul 2019 Europe £13m 1.00% Daily 0.6 2.5 -10.7 -0.1 1.1 2.3 2.9 2.1 -8.1 -7.3 LU2001958847 Daily Luxembourg UBP Asset Management Geoffroy Gridel, Alexandre ... Article 6 17 11 45 29 23
Velox Fund Apr 2016 Europe £278m 1.25% 20% No 5,000,000 Daily 1.1 -2.5 9.9 0.5 0.9 -1.2 -2.7 -2.7 7.1 12.3 LU1358059639 Daily Luxembourg Marble Bar Dimitri Kern, Jeremy Stone Yes Yes Article 8 Yes Yes Yes 98 72 55 92 97
Wellington Climate Market Neutral Fund Oct 2021 Global £29m 1.00% 20% No 1,000,000 Daily -1.9 -5.3 -6.5 -0.7 -1.2 -1.9 -4.9 -6.0 LU2378186360 Daily Luxembourg Wellington Management Alan Hsu Article 8
Zest North America Pairs Relative May 2015 US £38m 0.90% 20% 100,000 Daily 0.4 12.5 -8.7 0.0 1.4 5.1 20.6 2.4 12.6 LU1216084993 Daily Luxembourg Zest Asset Management Pasquale Corvino 54 67 11 3 16
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