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 -0.6
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 19.0
MontLake Crabel Advanced Trend Trend 17.4
Salus Alpha Directional Markets Trend 11.0
Schroder GAIA BlueTrend Trend 10.5
Cyril Systematic UCITS Trend 10.1
MontLake AlphaQuest UCITS Trend Plus 8.8
Garraway Financial Trends Trend 8.0
Lyxor Epsilon Global Trend Trend 6.8
Man AHL Diversity Alternative Trend 4.2
Winton Trend Fund Trend 4.1

Bottom Funds YTD

YTD
Lumyna - Millburn Diversified UCITS Trend Plus -15.7
BNP THEAM Quant - Multi Asset Diversified Trend -12.0
FORT Global UCITS Futures Trend Plus -11.4
Progressive Tulip Trend UCITS Trend -11.2
Allianz Multi Asset Long / Short Trend -10.9
Lyxor - WNT Fund Trend Plus -10.5
Linden Core Fund 2X Trend Plus -10.0
MainFirst Contrarian Opportunities Trend Plus -9.8
LGT Crown Managed Futures UCITS Trend Plus -9.5
Alma Platinum Quantica Managed Futures Focus Trend -9.4

Strategy AUM

31 December 2019
£6.3b -1% YOY

Largest Managed Futures Funds

AUM
Alma Platinum IV Systematic Alpha £733m
SEB Asset Selection £660m
AQR Managed Futures UCITS £518m
Man AHL Trend Alternative £405m
MontLake DUNN WMA Institutional ... £342m

Largest Inflows (Q4'19 - Q4'18)

Change AUM
AQR Managed Futures UCITS £316m £518m
MontLake Crabel Gemini £125m £287m
MainFirst Contrarian Opportunities £124m £178m
Man AHL Trend Alternative £59m £405m
MontLake DUNN WMA Institutional ... £41m £342m

Largest Outflows (Q4'19 - Q4'18)

Change AUM
SEB Asset Selection £-334m £660m
Alma Platinum IV Systematic Alpha £-168m £733m
Allianz Multi Asset Long / Short £-74m £285m
BNP THEAM Quant - Multi Asset Di... £-66m £95m
Man AHL Diversity Alternative £-49m £162m

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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.