Sub Index - Multi Strategy Systematic
This cohort of funds contains both Alternative Risk Premia (ARP) strategies and more actively managed quantitative multi-strategy offerings. As the name suggests, the underlying strategy allocations are systematic in nature, with the allocation to the underlying strategies generally rules based.
Strategy AUM
30 June 2023
£1.5b
-20.4% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | 0.2 | 1.2 | -1.0 | 0.8 | -0.2 | 1.1 | 0.1 | 0.8 | 3.0 | |||||
| 2022 | -0.3 | -0.5 | 0.6 | 1.4 | 0.3 | -1.1 | 0.2 | 0.1 | 0.5 | 1.4 | -0.3 | -0.3 | 2.0 | |
| 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 | |
| Show all | ||||||||||||||
Index Constituents
| 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 |
||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Allianz Multi Asset Risk Premia | Jun 2018 | Global | £66m | 0.75% | Daily | 3.2 | 3.1 | -0.1 | 0.8 | 3.2 | 1.2 | 4.5 | -0.9 | -1.4 | 8.6 | LU1794549805 | Daily | Luxembourg | Allianz GI | Claudio Marsala, Makato Kus... | Article 6 | 37 | 12 | 81 | 38 | 7 | ||||||||||
| Allspring (Lux) Worldwide - Alternative Risk Premia | Dec 2019 | Global | £16m | 0.60% | 1,000,000 | Daily | -0.8 | 1.8 | 4.9 | -0.1 | -1.5 | -0.7 | 1.5 | 2.4 | 6.5 | 9.3 | LU2000544150 | Daily | Luxembourg | Allspring Global Investments | Eddie Cheng, Monisha Jayaku... | Article 6 | 76 | 55 | 93 | 90 | 92 | |||||||||
| AQR Style Premia UCITS | Oct 2014 | Global | £343m | 0.60% | 10% | Yes | 100,000 | Daily | 7.6 | 17.9 | 24.2 | 3.2 | 8.5 | 11.4 | 20.0 | 28.6 | 53.1 | 60.1 | LU1103258866 | Daily | Luxembourg | AQR Capital Management | Andrea Frazzini, Yao Hua Oo... | Yes | Yes | Article 6 | Yes | Yes | Yes | 62 | 94 | 99 | 94 | 39 | ||
| AQR Systematic Total Return UCITS Fund | Feb 2017 | Global | £229m | 1.25% | 0% | No | 100,000 | Daily | 4.4 | 13.5 | 30.2 | 1.4 | 4.6 | 11.0 | 16.0 | 20.9 | 54.6 | 73.4 | LU1532680888 | Daily | Luxembourg | AQR Capital Management | John Huss, Andrea Frazzini,... | Yes | Yes | Article 6 | Yes | Yes | Yes | 77 | 98 | 99 | 97 | 58 | ||
| Assenagon Balanced EquiVol | Nov 2020 | Global | £92m | 0.60% | 0% | No | 125,000 | Daily | -0.7 | 6.0 | -5.7 | -0.8 | -0.3 | 0.8 | 1.2 | 2.1 | 3.0 | LU2249891487 | Daily | Luxembourg | Assenagon Asset Management ... | Daniel Jakubowski, Dorian R... | Yes | Yes | Article 8 | Yes | Yes | N/A | ||||||||
| BlackRock Style Advantage | Feb 2016 | Global | £97m | 0.66% | 0% | No | 0 | Daily | 2.5 | 15.8 | 1.0 | 1.4 | 3.0 | 4.7 | 8.2 | 13.6 | 22.4 | 26.0 | LU1352906538 | Daily | Luxembourg | BlackRock Investment Manage... | Ked Hogan, Philip Hodges | Yes | Yes | Article 6 | Yes | Yes | Yes | 66 | 76 | 59 | 94 | 68 | ||
| BlackRock Systematic Multi-Strategy ESG Screened Fund | Jun 2021 | Global | £63m | 0.90% | Daily | 0.4 | 1.8 | -2.2 | 0.1 | 0.5 | 2.1 | 2.2 | 4.3 | 2.0 | IE00BKPSQG65 | Daily | Ireland | BlackRock Investment Manage... | BlackRock IM | Article 8 | ||||||||||||||||
| BNP THEAM - Absolute Alpha | Aug 2015 | Global | £14m | 0.54% | 1,000,000 | Daily | 2.3 | 1.8 | -7.9 | 0.2 | 2.3 | 4.1 | 6.7 | 0.5 | -6.2 | 1.4 | LU1120439341 | Daily | Luxembourg | BNP Paribas Asset Management | Marie Barberot | 47 | 20 | 78 | 53 | 32 | ||||||||||
| CS (Lux) Liquid Alternative Beta | Jul 2016 | Global | £489m | 0.85% | 500,000 | Daily | -0.3 | 1.9 | -5.0 | -0.5 | 0.3 | -0.9 | 2.2 | 4.3 | -2.8 | 16.8 | LU1394301409 | Daily | Luxembourg | Credit Suisse Asset Managem... | Credit Suisse Asset Managem... | Article 6 | 67 | 80 | 27 | 26 | 74 | |||||||||
| Diversified Systematic Fund | Apr 2022 | Global | 0.00% | 0% | No | 0 | Daily | 0.0 | IE00001AGYX7 | Daily | Ireland | Santander Asset Management | Santander Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||||||||
| First Private Systematic Flows | Jul 2022 | Global | £24m | 0.95% | 20% | No | 1,000,000 | Daily | 0.7 | 1.2 | 0.4 | 2.8 | 0.4 | 0.1 | -0.9 | DE000A0Q95R0 | Daily | Germany | First Private Investment Ma... | Yes | Yes | Article 8 | Yes | Yes | Yes | |||||||||||
| First Private Wealth | Nov 2008 | Global | £78m | 0.50% | 10% | Yes | 1,000,000 | Daily | 0.2 | 5.0 | -4.0 | -0.1 | 1.4 | 2.1 | 4.2 | 3.7 | 5.0 | 29.7 | DE000A0KFUX6 | Daily | Germany | First Private Investment Ma... | Yes | Yes | Article 8 | Yes | Yes | Yes | ||||||||
| Fortem Capital Alternative Growth Fund | May 2019 | Global | £43m | 0.60% | 0% | No | 1 | Daily | -0.2 | -1.7 | 1.0 | 0.4 | -0.4 | 0.1 | -3.2 | -1.9 | -0.8 | -1.9 | IE00BJ116W86 | Daily | Ireland | Fortem Capital | No | Yes | Article 6 | No | N/A | N/A | 28 | 17 | 54 | 87 | 72 | |||
| Franklin K2 Athena Risk Premia UCITS Fund | Jun 2021 | Global | £71m | 0.60% | 5,000,000 | Daily | 2.7 | 4.4 | 9.9 | 1.1 | 2.9 | 3.3 | 4.1 | 7.1 | 13.9 | LU2303826205 | Daily | Luxembourg | K2 Advisors | Paul Fraynt | Article 6 | |||||||||||||||
| Fulcrum Risk Premia | Nov 2007 | Global | £31m | 0.80% | 0% | No | 1,000,000 | Daily | -0.3 | 4.1 | 0.0 | 1.9 | 1.1 | 4.4 | 10.2 | LU0442866967 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Investment Committee | Yes | Yes | Article 6 | Yes | N/A | N/A | 98 | 59 | 73 | 76 | 94 | |||||
| Goldman Sachs Absolute Return Tracker Portfolio | Jan 2015 | Global | £728m | 0.65% | 1,000,000 | Daily | -0.8 | 6.3 | -6.6 | -0.7 | -0.1 | 0.2 | 3.6 | 9.7 | 0.0 | 13.4 | LU1103307580 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 52 | 73 | 9 | 16 | 59 | ||||||||||
| iMGP Stable Return | Dec 2017 | Global | £28m | 0.75% | 10% | 1,000,000 | Daily | 0.0 | 1.8 | 1.7 | -0.1 | 0.1 | 0.4 | 3.3 | 1.1 | 4.8 | 17.0 | LU1726319590 | Daily | Luxembourg | Dynamic Beta Investments | Andrew Beer | Article 8 | 94 | 76 | 53 | 56 | 94 | ||||||||
| LFIS Vision UCITS - Perspective Strategy | Jul 2015 | Europe | £39m | 0.60% | 15% | Yes | 0 | Daily | -1.4 | 2.2 | -2.1 | -0.4 | -0.4 | -0.9 | 1.4 | 5.1 | 1.4 | 11.3 | LU1966095553 | Daily | Luxembourg | LFIS Capital | Edouard Laurent-Bellue, Ach... | No | Yes | Article 8 | No | No | Yes | 86 | 65 | 28 | 36 | 85 | ||
| LFIS Vision UCITS - Premia | May 2014 | Global | £65m | 1.25% | 15% | Yes | 0 | Daily | 1.5 | 4.9 | 3.6 | 0.7 | 1.1 | 2.7 | 3.4 | 6.6 | 10.0 | 10.9 | LU1162198839 | Daily | Luxembourg | LFIS Capital | Guillaume Dupin | No | Yes | Article 6 | No | No | No | 88 | 58 | 94 | 78 | 97 | ||
| LGT Dynamic Protection UCITS | Jan 2017 | Global | £77m | 0.75% | 0% | No | 1,000,000 | Daily | 0.4 | -2.5 | -4.5 | -0.4 | 0.4 | 1.9 | 0.2 | -6.6 | -11.3 | -23.3 | IE00BD365334 | Daily | Ireland | LGT Capital Partners | LGT Capital Partners | Yes | Yes | Article 6 | No | N/A | N/A | 8 | 1 | 56 | 83 | 6 | ||
| Man AHL Multi Strategy Alternative | Mar 2017 | Global | £23m | 1.00% | 20% | Yes | 1,000,000 | Daily | 1.2 | -0.3 | 11.8 | -0.3 | 0.6 | -0.7 | 4.7 | -0.4 | 9.6 | 8.0 | IE00BRJT8355 | Daily | Ireland | Man Group Plc | Tom Bowles, Russell Korgaonkar | No | Yes | Article 6 | No | N/A | N/A | 56 | 57 | 86 | 79 | 35 | ||
| Man Alternative Style Risk Premia | Oct 2017 | Global | £230m | 1.00% | 0% | No | 1,000,000 | Daily | 0.6 | 2.7 | 11.4 | 0.1 | -0.5 | 0.2 | 4.4 | 3.0 | 19.5 | 27.2 | IE00BF52FK00 | Daily | Ireland | Man Group Plc | Jens Foehrenbach | No | Yes | Article 6 | No | N/A | N/A | 93 | 83 | 87 | 84 | 73 | ||
| Natixis - Loomis Sayles Alternative Risk Premia | Oct 2020 | Global | £21m | 1.00% | 100,000 | Daily | -0.5 | 6.5 | -3.5 | -0.7 | 0.5 | 2.8 | 8.5 | 6.8 | 3.8 | IE00BM9BYW79 | Daily | Ireland | Loomis, Sayles & Company | Loomis Sayles | Article 6 | |||||||||||||||
| NN (L) Alternative Beta | Jun 2008 | Global | £252m | 0.50% | Daily | -1.3 | 4.1 | -4.4 | -0.7 | -0.5 | 0.6 | 3.3 | 6.0 | -0.6 | 16.9 | LU0370038324 | Daily | Luxembourg | NN Investment Partners | Willem Van Dommelen | 51 | 81 | 12 | 17 | 70 | |||||||||||
| Nomura Fixed Income Risk Premia | Jul 2018 | Global | £2m | 0.50% | 10% | 1,000,000 | Daily | 2.5 | 13.7 | 35.1 | 0.4 | 2.2 | 5.3 | 26.9 | 28.2 | 47.3 | 51.1 | IE00BF51ZC98 | Daily | Ireland | Nomura Alternative Investme... | 61 | 96 | 96 | 95 | 41 | ||||||||||
| Nordea 1 - Alpha 10 | Sep 2009 | Global | £3.8b | 1.00% | No | 75,000 | Daily | -0.6 | -0.2 | -4.1 | -0.3 | -0.6 | 2.0 | -1.3 | 4.0 | -1.6 | 9.0 | LU0445386955 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 55 | 42 | 42 | 30 | 52 | |||
| Nordea 1 - Alpha 15 | Aug 2011 | Global | £3.5b | 1.20% | No | 75,000 | Daily | -1.0 | -1.8 | -6.6 | -0.5 | -1.0 | 2.4 | -3.0 | 4.0 | -4.4 | 11.7 | LU0607983383 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 54 | 61 | 43 | 21 | 36 | |||
| Nordea 1 - Alpha 7 | May 2018 | Global | £445m | 0.90% | No | 75,000 | Daily | -0.3 | 0.2 | -2.9 | -0.2 | -0.3 | 1.5 | -0.7 | 3.2 | -1.0 | 6.0 | LU1807426629 | Daily | Luxembourg | Nordea | Asbjoern Trolle Hansen, Cla... | No | No | Article 6 | No | N/A | N/A | 69 | 40 | 44 | 40 | 77 | |||
| Schroder GAIA Two Sigma Diversified | Aug 2016 | Global | £389m | 1.40% | 20% | 500,000 | Weekly | 1.3 | 6.2 | 2.8 | 0.6 | 1.5 | 1.9 | 2.2 | 7.0 | 13.2 | 12.2 | LU1429039115 | Weekly | Luxembourg | Two Sigma | Geoff Duncombe | Article 6 | 59 | 51 | 91 | 86 | 42 | ||||||||
| Schroder ISF Cross Asset Momentum Component | Jul 2018 | Global | £407m | 0.60% | 5,000,000 | Daily | 0.9 | 2.7 | 5.9 | 0.0 | 1.2 | 1.3 | 4.3 | 1.4 | 8.4 | 12.9 | LU0487285610 | Daily | Luxembourg | Schroders | Multi-Asset Investment Team | Article 6 | 87 | 68 | 87 | 88 | 90 | |||||||||
| SEI Liquid Alternative | Nov 2015 | Global | £772m | 0.75% | Daily | 0.2 | 3.1 | 4.0 | -0.3 | 0.2 | 1.7 | 5.2 | 0.5 | 9.5 | 29.2 | IE00BYXVWD44 | Daily | Ireland | Dynamic Beta Investments | Dynamic Beta Investments | 86 | 87 | 71 | 77 | 81 | |||||||||||
| Systematica Alternative Risk Premia | Nov 2017 | Global | £147m | 1.00% | 0% | No | 100,000 | Daily | -0.7 | 5.2 | -1.4 | -0.3 | 1.7 | 7.8 | 9.7 | IE00BDGJFD96 | Daily | Ireland | Systematica Investments Lim... | Matthias Hagmann | No | No | Article 6 | No | N/A | N/A | 40 | 30 | 97 | 78 | 48 | |||||
| Tages Paladin | Aug 2018 | Global | £10m | 0.85% | 1,000,000 | Daily | -1.5 | 0.4 | -0.2 | 0.2 | -2.6 | -2.4 | -5.2 | IE00BFLVDT61 | Daily | Ireland | Tages Capital LLP | Berouz Fatemi | 6 | 14 | 67 | 87 | 56 | |||||||||||||
| THEAM Quant-Cross Asset High Focus | Nov 2021 | Global | £799m | 0.76% | 0% | No | 100,000 | Daily | 1.2 | 8.8 | 25.6 | -0.6 | 0.3 | 0.5 | 8.0 | 20.5 | LU2346216455 | Daily | Luxembourg | BNP Paribas Asset Management | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||||
| Trium Alternative Growth Fund | Sep 2021 | Global | £65m | 0.80% | 0% | No | 5,000,000 | Daily | 0.8 | 1.7 | 2.1 | 0.1 | 0.7 | 0.4 | 1.2 | 0.3 | 8.8 | IE00BP2C4N93 | Daily | Ireland | Trium Capital | Toby Hayes | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||
| U Access (IRL) Campbell Absolute Return UCITS | Jun 2020 | Global | £219m | 1.05% | 15% | Yes | 100 | Daily | 2.9 | 4.6 | 22.2 | -0.4 | 1.2 | 2.3 | 1.7 | 1.3 | 31.4 | 41.8 | IE00BKYBHH48 | Daily | Ireland | Campbell & Company | Campbell & Company Investme... | No | No | Article 6 | No | N/A | N/A | 80 | 93 | 90 | 97 | 78 | ||
| VIA Absolute Return | Mar 2016 | Global | £31m | 0.87% | 10% | 200,000 | Daily | 0.1 | 2.3 | -3.6 | -0.1 | 0.6 | 0.8 | 2.3 | 3.0 | -1.2 | 8.1 | LU1369534786 | Daily | Luxembourg | Veritas Investment Associates | Guillaume Dolisi, Laurent Pla | Article 6 | 72 | 51 | 27 | 39 | 81 | ||||||||
| Winton Diversified Fund (UCITS) | Jul 2017 | Global | £74m | 0.85% | 18% | Yes | 50,000 | Daily | 2.1 | 7.4 | 12.5 | 0.3 | 1.9 | 4.6 | 10.1 | 6.1 | 20.1 | 28.9 | IE00BYWTYX35 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 97 | 78 | 57 | 93 | 67 |
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