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
31 December 2023
£7.7b
-28.9% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 0.8 0.7 1.5
2023 0.4 0.2 -0.2 -0.2 -0.1 0.1 -0.5 0.4 0.5 0.2 0.4 0.0 1.3
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 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
Aegon Global Equity Market Neutral Jun 2016 Global £82m 1.00% 500,000 Daily 0.9 -0.4 0.0 1.2 0.5 1.1 1.3 -3.0 -4.3 IE00BYZHZV94 Daily Ireland Aegon Asset Management David Pringle Article 6 5 18 41 34 33
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 £99m 1.00% 20% No 100,000 Daily 0.4 1.9 6.6 0.1 -1.1 1.3 7.5 6.4 9.9 20.7 LU1495982438 Daily Luxembourg BlackRock Investment Manage... Samuel Vecht, Steve Wong, A... Yes Yes Article 6 Yes Yes Yes 86 84 87 87 82
BPI Alternative Iberian Equities Long/Short Jan 2010 Europe £287m 1.50% 20% 150,000 Daily 0.5 1.8 -0.3 0.1 0.7 2.1 1.2 4.9 8.2 LU0784437740 Daily Luxembourg BPI Gestão de Activos Paulo Freire Oliveira, Pedr... 90 58 85 74 96
Candriam Absolute Return Equity Market Neutral Aug 2018 Global £582m 0.80% 20% Yes 0 Daily -2.1 7.4 0.1 -1.7 -0.9 0.6 3.6 -3.2 6.7 LU1819523264 Daily Luxembourg Candriam Emmanuel Terraz, Olivier Ro... Yes Yes Article 6 No Yes Yes 62 70 35 49 56
CT Real Estate Equity Market Neutral Fund Dec 2012 Europe £223m 1.00% 15% 5,000,000 Daily 0.7 8.1 -0.1 0.5 0.6 2.8 7.1 8.2 13.2 IE00B8GGKQ36 Daily Ireland BMO GAM Alban Lhonneur, Marcus Phay... Article 6 96 69 86 76 96
DNCA Invest - Miuri Dec 2011 Europe £248m 1.00% 20% 200,000 Daily 2.3 9.8 0.2 1.3 3.0 5.1 4.0 10.7 11.7 LU0641746143 Daily Luxembourg DNCA Finance Luxembourg Mathieu Picard, Alexis Albert Article 8 60 71 59 54 73
Exane Ceres Feb 2007 Global £138m 1.50% 20% EONIA +1% 125,000 Weekly 4.6 13.7 -0.4 2.4 6.9 8.5 9.7 16.3 16.9 LU0284634564 Weekly Luxembourg Exane Asset Management Charles-Henri Neme, Pierre ... 42 58 27 32 62
Exane Overdrive May 2013 Global £106m 2.00% 20% EONIA +1% 125,000 Daily 4.1 5.0 0.0 1.3 6.3 6.6 3.6 12.6 6.8 LU0923609035 Daily Luxembourg Exane Asset Management Eric Lauri 47 33 63 67 42
Exane Pleiade May 2011 Global £991m 1.25% 20% Daily 1.6 1.5 0.2 0.7 2.1 2.4 1.4 5.8 2.3 LU0616900691 Daily France Exane Asset Management Eric Lauri 70 34 61 66 78
Franklin K2 ActusRay European Alpha UCITS Fund Dec 2022 Europe £73m 1.25% 20% Yes 5,000,000 Daily 0.0 6.2 4.8 1.2 1.9 3.3 8.2 9.1 LU2511867744 Daily Luxembourg K2 Advisors Andrew Alexander Yes No Article 6 No N/A N/A
Fulcrum Thematic Equity Market Neutral Aug 2020 Global £371m 1.50% 20% No 1,000,000 Daily -0.2 11.1 -2.8 1.0 6.0 9.3 11.9 10.7 0.7 -2.9 LU2164659893 Daily Luxembourg Fulcrum Asset Management LLP Fawaz Chaudhry Yes Yes Article 6 No N/A N/A 16 6 85 59 15
HI European Market Neutral Fund Oct 2012 Europe £33m 1.50% 20% 500,000 Daily 1.9 2.5 0.3 0.7 0.6 5.4 5.0 6.8 8.3 IE00B83N7116 Daily Ireland Hedge Invest SGR p.A. Paul Marriage Article 6 78 44 90 78 93
InRIS Perdurance Market Neutral Oct 2017 Global £10m 1.00% 20% None 500,000 Daily 2.8 -0.2 -0.5 2.2 2.4 -2.8 -1.6 0.6 -6.0 IE00BZ60LC73 Daily Ireland Perdurance Asset Management Ivan Briery 38 19 83 83 22
JPM Europe Equity Absolute Alpha Dec 2013 Europe £517m 0.75% 15% Daily 5.7 3.0 1.1 2.0 2.8 8.8 8.0 14.7 33.1 LU1001748398 Daily Luxembourg J.P.Morgan Asset Management Nicholas Horne, Ben Stapley... Article 8 90 92 66 93 87
KLS Scopia Market Neutral Equity Aug 2023 US £39m 1.50% 20% Yes 1,000,000 Daily 3.3 -0.5 0.8 4.3 6.7 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 £365m 1.00% 20% Yes 1,000,000 Daily 0.0 2.0 0.3 0.7 -0.1 1.2 0.5 4.5 8.1 LU2214765658 Daily Luxembourg Landseer Asset Management (... Andy Billett, Roger Guy, Pa... Yes Yes Article 8 Yes No Yes 99 66 97 78 97
LGT Sustainable Equity Market Neutral Sep 2017 Global £71m 0.80% 0% No 1,000,000 Daily -4.0 -3.3 -1.1 -2.8 -3.3 -2.3 -6.3 -7.5 -10.3 IE00BF1D8J71 Daily Ireland LGT Capital Partners LGT Capital Partners Yes Yes Article 8 Yes Yes Yes 11 12 81 63 35
LO Funds - TerreNeuve Sep 2018 Global £61m 1.50% 20% 1,000,000 Weekly -4.9 -15.7 0.0 -1.8 -4.2 -10.0 -18.7 -17.3 -22.8 LU1858041194 Weekly Luxembourg Lombard Odier Investment Ma... Arnaud Langlois Yes Yes Article 8 Yes Yes N/A 31 4 76 54 9
Lumyna - Sandbar Global Equity Market Neutral UCITS Oct 2019 Global £306m 1.40% 20% No 1,000,000 Daily 0.6 0.5 -0.3 1.0 1.6 2.4 0.2 -8.0 -11.6 LU2061570466 Daily Luxembourg Sandbar Asset Management (SAM) Michael Cowley Yes Yes Article 8 Yes Yes Yes 8 5 73 54 12
Man GLG Alpha Select Alternative Feb 2010 UK £1.7b 0.75% 20% Yes 1,000,000 Daily 1.4 10.2 0.5 0.8 1.4 6.7 9.0 16.6 27.4 IE00B60S2G54 Daily Ireland Man Group Plc Charles Long, Nick Judge No Yes Article 6 No N/A N/A 100 90 71 85 95
Man GLG Asia Pacific (ex Japan) Equity Alternative Dec 2020 Asia £91m 1.00% 20% No 1,000,000 Daily 2.0 -2.5 0.3 1.2 2.1 0.9 -1.1 6.9 8.8 IE00BN15T637 Daily Ireland Man Group Plc Andrew Swan No Yes Article 8 Yes N/A N/A 58 51 81 89 86
Man GLG European Equity Alternative Jul 2011 Europe £83m 2.00% 20% Yes 1,000,000 Daily 2.7 -2.5 -0.4 1.4 1.6 2.3 0.9 0.5 -0.9 IE00B5591813 Daily Ireland Man Group Plc Ikitsa Anastasov, Neil Mason No Yes Article 6 No N/A N/A 34 20 79 76 45
Marble Bar - Chelodina UCITS Nov 2019 Global £66m 1.50% 20% 5,000,000 Daily 0.4 -1.9 0.0 0.3 0.9 0.6 -1.1 2.9 2.9 IE00BFMZN539 Daily Ireland Marble Bar MBAM 66 36 77 80 87
Nordea 1 - Global Equity Market Neutral Fund Jun 2020 Global £33m 1.00% 15% 75,000 Daily -0.1 -0.1 0.0 -0.2 2.6 0.7 3.7 1.1 -0.3 LU2166349774 Daily Luxembourg Nordea Jakob Nordestedt Article 8 68 42 98 79 82
Pictet Agora Jul 2014 Europe £185m 1.10% 20% Yes 1,000,000 Weekly 0.6 1.3 -0.4 -1.1 0.5 1.9 -3.8 3.9 -6.1 LU1071463266 Weekly Luxembourg Pictet Funds (Europe) S.A. Vincent Ljaouane, Julian Al... Yes Yes Article 6 Yes Yes Yes 52 16 96 71 37
Portland Hill Fund SICAV - ESG European Long/Short Dec 2018 Europe £3m 1.50% 20% No 1,000,000 Weekly -0.4 4.4 4.8 -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 35 54 30 28 39
Protea UCITS II ECO Advisors ESG Absolute Return Jul 2019 Global £84m 0.60% 0% No 3,000,000 Daily -2.3 -6.4 -1.7 -3.2 -6.7 -5.1 -3.6 -3.9 LU2002381171 Daily Luxembourg Ethical Capital Opportunity... Josh Gennet, Tristan Elwell Yes Yes Article 8 Yes Yes Yes 77 22 87 49 48
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
TM Tellworth UK Select Dec 2014 UK £162m 0.50% 10% Yes 5,000,000 Daily 0.1 2.9 6.9 0.6 1.3 1.9 7.9 9.9 17.9 31.5 GB00BTC2N411 Daily UK Tellworth Investments John Warren 95 93 86 86 97
Trium Climate Impact Fund Oct 2022 Europe £39m 0.50% 10% Yes 1,000 Daily -0.2 -7.8 0.4 0.7 0.6 0.1 -5.3 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 £318m 1.00% 20% Yes 1,000 Daily -2.3 4.8 0.7 -0.2 -2.4 -0.3 0.6 8.8 16.6 IE00BKDV3Y45 Daily Ireland Trium Capital Joe Mares Yes Yes Article 8 Yes Yes Yes 81 76 85 92 68
U Access – Long/Short Japan Corporate Governance Jul 2020 Japan £43m 1.25% 15% Weekly 3.1 9.2 3.5 2.4 6.3 11.4 13.4 11.2 LU2187695437 Weekly Luxembourg UBP Asset Management Zuhair Kahn Article 6 57 68 54 46 50
Velox Fund Apr 2016 Europe £223m 1.25% 20% No 5,000,000 Daily -1.3 -3.7 -0.3 -1.7 -2.0 -1.6 -5.6 0.6 5.5 LU1358059639 Daily Luxembourg Marble Bar Dimitri Kern, Jeremy Stone Yes Yes Article 8 Yes Yes Yes 83 55 52 90 84
Zest North America Pairs Relative May 2015 US £48m 0.90% 20% 100,000 Daily 1.0 1.0 -0.2 1.0 2.0 3.2 8.3 10.1 10.5 LU1216084308 Daily Luxembourg Zest Asset Management Pasquale Corvino 52 54 16 5 18
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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.