Managed Futures

Strategy Research, 03 Oct 2019

Index Research Funds

AH Managed Futures UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.7 -1.3 -0.7 -0.3 -0.9 -0.8 1.8 -1.6
2019 -1.5 0.0 4.0 1.3 0.2 2.1 2.9 3.4 -2.4 -2.9 0.7 -0.9 6.8
2018 4.9 -6.2 -1.2 -0.4 -1.7 0.2 -1.1 1.5 -1.8 -3.2 -1.4 0.9 -9.3
2017 -0.8 2.0 -1.1 -0.2 0.9 -2.9 1.4 1.1 -1.9 3.2 0.7 0.4 2.6
2016 4.1 2.3 -2.9 -1.9 -1.8 4.6 0.8 -2.2 -1.1 -3.2 -1.0 1.4 -1.3
2015 5.0 -0.2 1.3 -3.0 -0.1 -3.4 2.1 -1.7 1.9 -2.2 1.6 -2.8 -1.9
2014 -2.1 1.3 -2.2 0.9 2.2 1.5 -0.2 3.8 1.0 1.0 5.0 1.6 14.3
2013 2.6 -0.2 1.4 2.5 -2.7 -3.5 -0.1 -2.6 0.3 2.2 2.6 1.1 3.4
2012 -0.5 0.5 -2.6 0.4 1.1 -3.6 3.2 -1.9 -2.0 -3.3 0.3 0.6 -7.7
2011 0.2 -0.6 -2.4 2.2 -2.6 -0.7 1.3 -2.1 -1.1 -3.5 -1.2 0.2 -10.1
2010 -2.0 1.1 2.5 0.9 -2.7 -0.1 -0.6 0.1 2.0 0.7 -2.0 1.9 1.7
Download Index Return Series

Top Funds YTD

YTD
Next AM - Tendance Finance Trend 18.7
MontLake Crabel Advanced Trend Trend 11.3
Salus Alpha Directional Markets Trend 10.6
Cyril Systematic UCITS Trend 9.5
MontLake AlphaQuest UCITS Trend Plus 8.2
Schroder GAIA BlueTrend Trend 6.6
Lyxor Epsilon Global Trend Trend 6.5
MontLake Crabel Gemini Trend Plus 4.8
Tungsten TRYCON AI Global Markets Trend 4.0
FORT Global UCITS Trend Trend 1.9

Bottom Funds YTD

YTD
Linden Core Fund 2X Trend Plus -24.6
Alma Platinum IV Systematic Alpha Trend Plus -19.0
Lyxor - WNT Fund Trend Plus -15.1
BNP THEAM Quant - Multi Asset Diversified Trend -13.9
MainFirst Contrarian Opportunities Trend Plus -10.1
Lumyna - Millburn Diversified UCITS Trend Plus -9.3
Allianz Multi Asset Long / Short Trend -8.0
Aspect Diversified Trends Trend -7.2
Fulcrum Multi Asset Trend Fund Trend -7.1
SEB Asset Selection Trend Plus -7.1

Strategy AUM

30 June 2020
£5.8b -8% YOY

Largest Managed Futures Funds

AUM
MontLake Crabel Gemini £571m
SEB Asset Selection £499m
AQR Managed Futures UCITS £482m
Man AHL Trend Alternative £477m
Lyxor Epsilon Global Trend £470m

Largest Inflows (Q2'20 - Q2'19)

Change AUM
MontLake Crabel Gemini £336m £571m
Lyxor Epsilon Global Trend £177m £470m
AQR Managed Futures UCITS £113m £482m
Man AHL Trend Alternative £111m £477m
FORT Global UCITS Contrarian £71m £405m

Largest Outflows (Q2'20 - Q2'19)

Change AUM
Alma Platinum IV Systematic Alpha £-563m £287m
Lyxor - WNT Fund £-315m £23m
SEB Asset Selection £-278m £499m
Lumyna - Millburn Diversified UCITS £-89m £135m
InRIS CFM Trends £-84m £163m

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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.