Multi Strategy Systematic

Strategy Research, 26 Aug 2021

Index Research Funds

Sub Index - Multi Strategy Systematic

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -0.3 -0.5 0.6 1.4 0.3 -1.0 0.3
2021 0.1 0.0 2.2 0.8 1.5 -0.3 3.1 0.3 -1.1 -0.2 -0.5 1.8 8.0
2020 -0.3 -2.8 -4.5 0.3 -0.4 -0.8 0.9 -0.2 -0.2 -1.0 0.5 1.1 -7.2
2019 0.9 0.1 0.9 0.4 -1.3 1.5 1.3 0.1 -0.5 -0.7 0.3 -0.5 2.4
2018 1.3 -2.3 0.0 -0.1 -1.0 -0.5 0.1 -0.3 -0.2 -1.2 -0.6 -0.4 -5.3
2017 -0.1 2.0 0.2 0.4 0.2 -0.8 0.8 1.1 -0.5 1.4 0.5 0.3 5.3
2016 0.5 0.5 0.8 -0.9 0.2 1.4 1.0 -0.1 0.5 -0.4 -0.5 0.7 3.8
2015 2.2 0.9 1.2 -1.1 0.6 -2.2 1.6 -2.0 0.9 0.2 0.3 -0.4 2.1
2014 -2.2 -0.6 1.6 1.0 2.9 1.5 0.0 1.4 -0.8 -1.2 2.1 0.0 5.6
2013 2.4 -0.3 0.3 0.7 -1.3 -3.3 0.1 -2.2 1.0 2.7 1.3 -0.7 0.6
2012 2.9 2.6 -1.7 -2.6 0.7 0.0 1.8 -1.8 3.1 0.9 1.1 0.5 7.3
2011 0.3 -1.4 1.5 1.8 0.6 -1.5 -1.1 -3.6 -1.4 6.2 -5.5 2.7 -1.9
2010 -2.5 -2.7 1.6 -3.6 -4.1 0.0 3.1 -1.8 2.7 2.4 -3.4 2.7 -5.9
Download Index Return Series

Top Funds YTD

YTD
AQR Systematic Total Return UCITS Fund Systematic 26.9
U Access (IRL) Campbell Absolute Return UCITS Systematic 20.2
AQR Style Premia UCITS Systematic 16.0
Nomura Fixed Income Risk Premia Systematic 15.9
Winton Diversified Fund (UCITS) Systematic 12.8
Franklin K2 Athena Risk Premia UCITS Fund Systematic 7.2
Allspring (Lux) Worldwide - Alternative Ri... Systematic 5.4
Man Alternative Style Risk Premia Systematic 4.3
Man AHL Multi Strategy Alternative Systematic 4.1
GAM Systematic Alternative Risk Premia Systematic 3.5

Bottom Funds YTD

YTD
FORT Global UCITS Diversified Systematic -27.2
Nordea 1 - Alpha 15 Systematic -10.9
Goldman Sachs Absolute Return Tracker Port... Systematic -7.7
NN (L) Alternative Beta Systematic -6.9
CS (Lux) Liquid Alternative Beta Systematic -6.0
Nordea 1 - Alpha 7 Systematic -5.2
Natixis - Loomis Sayles Alternative Risk P... Systematic -5.0
LFIS Vision UCITS - Perspective Strategy Systematic -4.3
VIA Absolute Return Systematic -3.5
Metzler Alternative Multi Strategy Systematic -3.5

Largest New Launches (12M)

AUM
Trium Alternative Growth Fund £17m

Largest Systematic Funds

AUM
Nordea 1 - Alpha 10 £4.3b
Nordea 1 - Alpha 15 £3.9b
Goldman Sachs Absolute Return Tr... £949m
CS (Lux) Liquid Alternative Beta £735m
Schroder ISF Cross Asset Momentu... £544m

Largest Inflows (Q1'22 - Q1'21)

Change AUM
Nordea 1 - Alpha 10 £1.1b £4.3b
Nordea 1 - Alpha 15 £892m £3.9b
Schroder ISF Cross Asset Momentu... £507m £544m
Goldman Sachs Absolute Return Tr... £417m £949m
CS (Lux) Liquid Alternative Beta £301m £735m

Largest Outflows (Q1'22 - Q1'21)

Change AUM
LFIS Vision UCITS - Premia £-201m £160m
Allianz Multi Asset Risk Premia £-93m £60m
Man Alternative Style Risk Premia £-90m £334m
BlackRock Style Advantage £-45m £108m
Man AHL Multi Strategy Alternative £-41m £20m

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Close 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.