Sub Index - Market Neutral Systematic

Systematic market neutral are those managers looking to isolate stock-specific alpha by buying securities with ‘positive’ attributes and selling securities with ‘negative’ attributes generally inferred through statistical analysis, while neutralising portfolio exposure to idiosyncratic (via portfolio diversification) and market risk (via residual hedges). Within this category, there is also a rather small cohort of managers applying price-based, trading orientated arbitrage techniques to exploit technical anomalies that can derive from changes in liquidity conditions, volatility, etc.

Strategy AUM
31 December 2023
£7.2b
-1.2% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 1.8 0.2 2.1
2023 -0.7 0.8 0.3 0.7 -0.5 1.1 -0.3 0.7 1.7 0.5 0.6 0.4 5.4
2022 -0.5 -0.4 1.7 0.2 -0.7 -0.3 0.6 -0.3 0.8 0.1 -0.2 0.0 1.1
2021 1.3 -0.4 2.0 1.1 0.6 0.4 1.7 0.0 -1.7 0.7 0.4 1.8 8.1
2020 -0.5 -1.6 -4.3 0.8 -0.6 -0.3 0.8 -0.7 0.2 -0.4 -2.5 0.6 -8.3
2019 0.5 -1.6 -0.4 -1.7 0.5 -0.1 -0.5 -0.7 -0.7 -0.7 -0.5 -0.6 -6.4
2018 0.7 -1.2 0.3 0.2 0.2 -1.1 -0.1 0.1 -0.3 -1.1 -2.2 0.9 -3.6
2017 0.2 1.0 0.0 0.1 -0.9 -0.3 0.8 1.0 -0.6 1.1 -0.1 -0.4 2.0
2016 -0.3 -0.1 0.8 -1.4 -0.7 -1.0 0.6 -1.2 0.6 0.0 -0.3 0.1 -2.8
2015 0.8 -0.3 0.4 -1.4 0.8 0.2 0.8 0.2 1.6 -0.7 0.5 1.7 4.7
2014 1.1 0.4 0.2 -0.4 0.3 0.0 0.1 0.0 0.9 0.8 0.8 1.3 5.7
2013 1.2 1.7 1.3 1.6 -0.1 1.0 0.3 -0.6 0.3 1.0 0.6 0.4 9.2
2012 -0.1 0.7 0.9 0.2 0.1 0.5 0.6 0.1 0.5 0.9 0.0 -0.6 4.0
2011 0.5 0.7 0.6 0.6 0.8 0.2 1.2 0.8 -0.6 -0.3 0.5 1.2 6.5
2010 0.5 0.2 0.5 -0.1 -0.8 -0.8 -0.5 0.0 1.0 0.6 0.9 -0.1 1.5
Show all
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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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
Ansa - Global Q Equity Market Neutral Oct 2022 Global £20m 0.85% 20% Yes 100,000 Daily 3.2 9.2 -0.1 0.8 2.1 5.4 14.5 DE000A3DEBZ3 Daily Germany Ansa Capital Management GmbH Yes Yes Article 8 Yes N/A N/A
BDLCM Funds - Durandal Nov 2018 Global £53m 0.90% 20% 100,000 Weekly 2.0 -0.1 0.9 2.0 5.1 LU1891683903 Weekly Luxembourg BDL Capital Management Maxime Hayot 27 26 92 66 59
BlackRock Asia Pacific Diversified Equity Absolute Return Feb 2017 Asia £61m 1.00% 20% No 100,000 Daily -0.1 4.7 17.1 -0.7 0.6 6.3 8.2 19.7 30.0 38.3 LU1508158190 Daily Luxembourg BlackRock Investment Manage... Jeff Shen Yes Yes Article 6 Yes Yes Yes 83 96 87 83 80
BlackRock Systematic Global Long/Short Equity Jun 2014 Global £17m 1.50% 0% Daily 0.1 4.3 10.0 -0.2 0.0 5.9 11.0 14.1 16.5 12.7 LU1069250113 Daily Luxembourg BlackRock Investment Manage... Kevin Franklin, Andrew Huzzey 70 72 56 73 81
BlackRock Systematic US Equity Absolute Return Feb 2012 US £554m 1.00% 20% No 10,000,000 Daily 0.5 3.7 7.8 -0.1 -1.3 2.8 10.0 8.8 15.8 28.4 LU0725887540 Daily Luxembourg BlackRock Investment Manage... Raffaele Savi, Travis Cooke Yes Yes Article 6 Yes Yes Yes 94 87 82 89 84
BNP THEAM Quant - Equity World DEFI Market Neutral Dec 2017 Global £18m 0.34% None 100,000 Daily 1.0 0.6 0.3 -2.5 1.1 2.9 4.7 -1.7 9.6 LU1685640408 Daily Luxembourg BNP Paribas Asset Management Fabrice Ricci 49 62 96 79 41
CC&L Q Global Equity Market Neutral UCITS Fund Global 1.00% 20% Yes 10,000,000 Daily 0.0 IE00BMGM5869 Daily Ireland Connor, Clark & Lunn Invest... Connor, Clark & Lunn Invest... Yes Yes Article 6 Yes Yes Yes
Fidelity Absolute Return Global Equity Sep 2020 Global £91m 0.80% 15% 10,000,000 Daily 0.2 2.0 10.6 0.4 1.7 2.4 5.3 12.7 23.9 28.8 LU2210152588 Daily Luxembourg Fidelity International Hiten Savani, Matt Jones Article 6 97 91 61 81 97
FP Artellium Evolution May 2021 Global £95m 1.25% 20% Yes 5,000,000 Daily 4.6 5.2 -0.5 2.1 2.2 0.3 6.9 4.8 DE000A0Q95M1 Daily Germany First Private Investment Ma... No Yes Article 6 No No No
GMO Equity Dislocation Investment Fund May 2021 Global £1.2b 0.35% 20% Yes 1,000,000 Daily 0.1 1.2 3.9 -0.6 -1.2 3.1 3.0 3.3 12.2 IE00BF199475 Daily Ireland Grantham, Mayo, Van Otterlo... Ben Inker, Simon Harris Yes Yes Article 6 Yes Yes N/A
Jupiter Merian Global Equity Absolute Return Fund Jun 2009 Global £1.5b 0.75% 20% Yes 1,000,000 Daily -0.1 3.0 9.3 0.6 0.6 3.3 7.0 11.6 21.5 39.1 IE00BLP5S809 Daily Ireland Jupiter Investment Manageme... Ian Heslop, Amadeo Alentorn... Yes No Article 6 No N/A N/A 93 97 98 90 96
Lumyna - MW Systematic Alpha UCITS Fund Jul 2015 Global £713m 1.00% 20% 5,000,000 Daily -0.1 -1.6 0.8 3.1 1.1 4.7 -0.5 3.8 LU2367654154 Daily Ireland Marshall Wace LLP Anthony Clake, Alan Hofmeyr 48 55 73 88 42
Lumyna - MW TOPS Environmental Focus (Market Neutral) UCITS Fund Jul 2020 Global £1.2b 1.00% 20% 5,000,000 Weekly -0.4 7.7 -0.4 -0.1 1.6 5.6 7.2 18.1 LU2367661019 Weekly Ireland Marshall Wace LLP Anthony Clake Article 8 89 88 93 68 85
Lumyna - MW TOPS (Market Neutral) UCITS Fund Nov 2007 Global £1.5b 1.50% 20% No 1,000,000 Daily 0.0 3.8 0.0 1.0 -0.2 3.0 5.3 13.1 LU2367665861 Daily Luxembourg Marshall Wace LLP Anthony Clake Yes Yes Article 6 No Yes Yes 96 91 93 87 93
Nanjia Capital ICAV - CYRUS Nov 2021 Asia £15m 1.50% 20% 1,000,000 Weekly 0.2 1.2 0.1 0.7 2.1 0.0 3.1 IE00BMQ8YW11 Weekly Ireland WaterValley Capital Managem... WaterValley Capital Management
Ossiam ESG Opportunity Oct 2022 Global £9m 0.50% 0% No 1,000,000 Daily 0.0 IE000NGJAI70 Daily Ireland Ossiam Yes Yes Article 8 Yes N/A Yes
Persephone Cointegration Alpha Mar 2022 Europe 0.90% 0% No 100,000 Daily 0.0 DE000A3CQVR4 Daily Germany Persephone Quantitative Fin... Persephone Quantitative Fin... No No Article 6 No N/A N/A
RAM (LUX) Systematic Funds Long/Short European Equities Dec 2011 Europe £119m 1.50% 15% No 1,000,000 Daily 8.2 -3.4 0.7 2.5 5.7 10.9 5.2 4.1 21.6 LU0705071701 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 41 73 90 82 65
RAM (LUX) Systematic Funds Long/Short Global Equities Dec 2016 Global £16m 1.50% 15% No 1,000,000 Daily 2.3 -0.5 -0.1 -1.1 0.7 4.8 4.0 -0.8 12.1 LU1520759363 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 50 81 100 84 73
Seven Fortress Fund Jul 2016 Global £2m 1.00% 10% EONIA 100,000 Daily 0.5 9.2 -0.1 0.0 4.4 5.9 8.7 3.5 -7.3 LU1388503580 Daily Luxembourg Seven Capital Management Seven Capital Management 12 8 16 10 9
Trium Avala Dynamic Equity Fund Jun 2022 Global £18m 1.00% 15% Yes 1,000 Daily 2.2 2.5 0.5 0.3 1.0 1.5 2.3 IE0000UA16W8 Daily Ireland Trium Capital Dan Jelicic & Adrian Luck Yes Yes Article 6 No N/A No
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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.