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
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
Fulcrum Multi Asset Trend Fund Trend 5.7
Progressive Tulip Trend UCITS Trend 5.2
Linden Core Fund 2X Trend Plus 4.9
LGT Crown Managed Futures UCITS Trend Plus 4.6
DB Platinum Quantica Managed Futures Focus Trend 4.3
FORT Global UCITS Futures Trend Plus 4.2
Cyril Systematic UCITS Trend 4.1
Lyxor Epsilon Global Trend Trend 4.0
FORT Global UCITS Contrarian Trend Plus 3.9
Allianz Multi Asset Long / Short Trend 3.2

Bottom Funds YTD

YTD
MontLake Tiber Diversified UCITS Trend Plus -1.9
MontLake AlphaQuest UCITS Trend Plus -0.8
Tungsten TRYCON Basic Invest HAIG Trend -0.6
MainFirst Contrarian Opportunities Trend Plus -0.2
AQR Managed Futures UCITS Trend -0.1
Lumyna - Millburn Diversified UCITS Trend Plus 0.0
MontLake Crabel Gemini Trend Plus 0.7
Uni-Global - Cross Asset Trend Follower Trend 0.7
MAN AHL Diversity Alternative Trend 0.8
Schroder GAIA BlueTrend Trend 0.9

Strategy AUM

30 September 2019
£6.7b -3% YOY

Largest Managed Futures Funds

AUM
DB 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 (Q3'19 - Q3'18)

Change AUM
AQR Managed Futures UCITS £387m £518m
AQR Managed Futures UCITS £316m £518m
MontLake Crabel Gemini £142m £287m
MontLake Crabel Gemini £125m £287m
MainFirst Contrarian Opportunities £124m £178m

Largest Outflows (Q3'19 - Q3'18)

Change AUM
SEB Asset Selection £-334m £660m
SEB Asset Selection £-320m £660m
Lyxor - WNT Fund £-177m £314m
DB Platinum IV Systematic Alpha £-168m £733m
Schroder GAIA BlueTrend £-111m £66m

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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.