AH Managed Futures UCITS Index
Managed Futures is a alternative investment strategy that systematically seeks to identify and exploit price trends across a wide range of asset classes including equity indices, rates, currencies, and commodities. The philosophy behind this strategy is that markets tend to exhibit trending behaviour because of under-reaction of market participants to new information, persistency of macro cycles and other behavioural biases (loss aversion, herding, etc). Funds use quantitative signals to define when securities are trending and implement long and short positions in liquid futures and forward contracts.
Strategy AUM
30 September 2023
£6.5b
-9.1% YoY
Performance
Monthly Returns
| JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -1.3 | 1.5 | -4.9 | 1.8 | 0.9 | 2.3 | -1.1 | -0.6 | 2.2 | 0.5 | -2.8 | -1.7 | ||
| 2022 | -0.6 | 0.9 | 5.3 | 4.3 | -0.8 | 1.7 | -3.0 | 2.6 | 5.2 | -0.6 | -4.6 | -0.5 | 9.7 | |
| 2021 | -1.3 | 2.1 | 1.1 | 1.0 | 1.3 | -1.3 | 0.6 | -0.2 | -1.8 | 2.3 | -3.0 | 0.0 | 0.6 | |
| 2020 | 0.7 | -1.3 | -0.7 | -0.3 | -0.9 | -0.8 | 1.8 | -0.7 | -1.8 | -0.9 | 1.0 | 3.3 | -0.8 | |
| 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 | |
| Show all | ||||||||||||||
Index Constituents
| Name | Inception Date | Sub-Strategy | 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 Long / Short | Nov 2016 | Trend | Global | £117m | 0.75% | 4,000,000 | Daily | 0.3 | -4.4 | 5.3 | 0.2 | 0.1 | 0.2 | -0.2 | -5.2 | 0.8 | 15.2 | LU1481688817 | Daily | Luxembourg | Allianz GI | Rahul Malhotra (Lead), Gior... | Article 6 | 57 | 79 | 100 | 89 | 61 | |||||||||
| Alma Platinum IV Systematic Alpha | Jun 2010 | Trend Plus | Global | £80m | 0.85% | 18% | No | 1,000,000 | Daily | 11.3 | 18.7 | -0.4 | -0.7 | 2.0 | 6.0 | 12.6 | 33.7 | 47.3 | LU0462954479 | Daily | Luxembourg | Winton Capital | Winton Capital | No | No | Article 6 | No | N/A | N/A | 91 | 92 | 84 | 94 | 72 | |||
| Amundi Metori Epsilon Global Trend | Apr 2011 | Trend | Global | £394m | 1.00% | 15% | 500,000 | Daily | -2.0 | 17.6 | -1.0 | 0.4 | -2.1 | -1.4 | -2.1 | 17.4 | 13.5 | IE00B530CF08 | Daily | Ireland | Metori Capital Management | Lyxor | Article 6 | 35 | 72 | 88 | 94 | 62 | |||||||||
| AQR Alternative Trends UCITS Fund | Feb 2023 | Trend | Global | £257m | 1.50% | 20% | Yes | 100,000 | Daily | 0.0 | 0.0 | 1.8 | 3.7 | 6.3 | LU2392538067 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, John Liew, Cli... | Yes | Yes | Article 6 | Yes | Yes | No | ||||||||||||
| AQR Managed Futures UCITS | Oct 2014 | Trend | Global | £445m | 0.60% | 10% | Yes | 100,000 | Daily | -0.7 | 3.7 | 29.6 | -1.6 | -3.7 | 1.2 | 2.1 | 6.1 | 34.2 | 32.9 | LU1103258510 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, Ari Levine | Yes | Yes | Article 6 | Yes | N/A | Yes | 60 | 85 | 62 | 99 | 45 | ||
| ASG Managed Futures Fund | Jun 2016 | Trend | Global | £98m | 1.50% | n/a | 50,000 | Daily | -3.2 | 26.6 | -1.9 | 1.6 | 3.8 | -2.2 | 24.4 | 25.8 | LU1429556951 | Daily | Luxembourg | AlphaSimplex Group, LLC | ASG Managed Futures Team | 55 | 91 | 82 | 99 | 33 | |||||||||||
| Aspect Diversified Trends Fund | Dec 2010 | Trend | Global | £346m | 1.00% | 15% | No | 100,000 | Daily | 1.6 | 36.8 | -0.7 | -2.3 | -0.6 | 0.4 | 3.0 | 42.8 | 56.3 | IE00B657BK41 | Daily | Ireland | Aspect Capital | Aspect Capital | Yes | Yes | Article 6 | No | N/A | N/A | 89 | 95 | 64 | 99 | 56 | |||
| Bantleon Diversified Markets | May 2018 | Trend Plus | Global | £25m | 1.00% | 10% | Yes | 250,000 | Daily | -4.7 | 2.0 | 0.5 | -1.8 | 0.9 | 1.2 | -6.0 | -0.1 | 1.2 | LU1808871997 | Daily | Luxembourg | Bantleon Bank AG | Umit Kinar | Yes | Yes | Article 6 | No | Yes | Yes | 81 | 39 | 86 | 87 | 24 | |||
| BNP THEAM Quant - Multi Asset Diversified | Feb 2008 | Trend | Global | £36m | 0.50% | 100,000 | Daily | -7.5 | -0.6 | -0.1 | -1.8 | -4.9 | -8.5 | -12.8 | -8.3 | -5.3 | LU1353185074 | Daily | Luxembourg | BNP Paribas Asset Management | Solene Deharbonnier | 50 | 50 | 98 | 75 | 21 | |||||||||||
| Candriam Diversified Futures | Nov 2009 | Trend | Global | 1.20% | 20% | Yes | 250,000 | Daily | 0.4 | 13.8 | 0.4 | -2.6 | -2.1 | 2.4 | 0.4 | 16.0 | 17.3 | FR0010794792 | Daily | France | Candriam | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||||
| CFM ISTrends Equity Capped Fund | Sep 2020 | Trend | Global | £3m | 0.75% | 10% | No | 10,000 | Daily | 3.2 | -0.7 | -3.4 | 1.2 | 3.2 | 4.7 | IE000IK66S24 | Daily | Ireland | Capital Fund Management | CFM | Yes | Yes | Article 6 | No | N/A | N/A | |||||||||||
| CFM ISTrends Fund | May 2021 | Trend | Global | £10m | 0.75% | 10% | No | 10,000 | Daily | 9.5 | 24.1 | -0.9 | -2.4 | 1.8 | 5.5 | 11.9 | 37.6 | IE00BMDKFQ17 | Daily | Ireland | Capital Fund Management | CFM | Yes | No | Article 6 | No | N/A | N/A | |||||||||
| Cyril Systematic UCITS | Jun 2011 | Trend | Global | £6m | 2.00% | 20% | EONIA | 500,000 | Daily | -0.6 | -1.2 | -1.4 | 0.5 | 4.6 | -3.1 | 11.3 | 10.0 | FR0000976342 | Daily | France | John Locke Investments | John Locke Investments | 18 | 34 | 99 | 80 | 17 | ||||||||||
| Fulcrum Multi Asset Trend Fund | May 2015 | Trend | Global | £69m | 0.80% | 0% | No | 1,000,000 | Daily | 0.5 | -1.5 | 28.7 | -1.3 | -4.4 | -3.7 | -4.1 | 1.3 | 30.2 | 47.8 | LU1225880415 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Systematic Team | Yes | Yes | Article 6 | Yes | N/A | N/A | 82 | 96 | 62 | 99 | 55 | ||
| Garraway Financial Trends | Sep 2012 | Trend | Global | £31m | 1.00% | 20% | None | 100,000 | Daily | -10.2 | 5.9 | -0.9 | -7.7 | -4.9 | -4.2 | -9.7 | -5.7 | -5.4 | IE00B86V3N61 | Daily | Ireland | Garraway Capital Management... | Darran Goodwin | 13 | 22 | 85 | 96 | 12 | |||||||||
| Goldman Sachs Alternative Trend Portfolio | Jan 2015 | Trend | Global | £329m | 0.65% | 1,000,000 | Daily | 0.3 | 16.7 | -0.6 | -4.8 | -2.1 | 1.7 | 1.8 | 17.9 | 22.6 | LU1103308471 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 72 | 89 | 89 | 98 | 70 | |||||||||||
| iMGP DBi Managed Futures Fund | Jan 2023 | Trend | Europe | 0.75% | 0% | No | 1,000,000 | Daily | 0.0 | LU2550556745 | Daily | Luxembourg | DBi | Dynamic Beta Investments (n... | No | No | Article 6 | No | Yes | Yes | |||||||||||||||||
| KLS Niederhoffer Smart Alpha UCITS Fund | Jul 2020 | Trend Plus | Global | £29m | 1.25% | 20% | No | 2,500,000 | Daily | -4.9 | 4.0 | -1.1 | -1.8 | 2.4 | -1.2 | -3.8 | -3.2 | -3.4 | IE00BMVFY279 | Daily | Ireland | R. G. Niederhoffer Capital ... | Roy Niederhoffer | Article 6 | 40 | 15 | 60 | 95 | 18 | ||||||||
| Lumyna - Millburn Diversified UCITS | Mar 2017 | Trend Plus | Global | £75m | 1.50% | 20% | No | 1,000,000 | Weekly | -0.9 | 14.8 | -0.8 | -4.5 | 1.1 | 6.6 | 4.2 | 12.5 | 23.3 | LU1565208292 | Weekly | Luxembourg | Millburn | Barry Goodman | No | No | Article 6 | No | No | Yes | 64 | 83 | 74 | 96 | 44 | |||
| Lynx UCITS Fund | Mar 2019 | Trend | Global | £85m | 1.00% | 20% | Yes | 10,000 | Daily | -9.5 | 35.2 | -0.7 | -5.6 | -1.3 | -1.2 | -8.0 | 20.9 | 30.1 | IE00BGBVCN02 | Daily | Ireland | Lynx Asset Management AB | Yes | Yes | Article 6 | No | N/A | N/A | 66 | 94 | 81 | 100 | 32 | ||||
| Man AHL Alpha Core Alternative | Nov 2009 | Trend | Global | £130m | 1.00% | 15% | Yes | 1,000 | Daily | -3.3 | 12.7 | -0.7 | -6.8 | 0.4 | -3.2 | -3.6 | 7.9 | 5.1 | LU0424370269 | Daily | Luxembourg | Man Group Plc | Matthew Sargaison, Russell ... | No | Yes | Article 6 | No | N/A | N/A | 70 | 76 | 65 | 56 | 40 | |||
| Man AHL Trend Alternative | Oct 2009 | Trend | Global | £818m | 1.50% | 20% | Yes | 100,000 | Daily | -5.1 | 12.6 | -0.1 | -7.7 | -0.3 | -3.9 | -5.4 | 6.1 | 9.1 | LU0428380553 | Daily | Luxembourg | Man Group Plc | Otto Hamaoui, Tom Bowles | No | Yes | Article 6 | No | N/A | N/A | 57 | 75 | 94 | 89 | 29 | |||
| MontLake AlphaQuest UCITS | Dec 2016 | Trend Plus | Global | £41m | 1.50% | 20% | 1,000,000 | Daily | -7.2 | 13.4 | 0.1 | -1.7 | 2.5 | -1.0 | -7.0 | 4.0 | 9.1 | IE00BD08G622 | Daily | Ireland | Quest Partners | Nigol Koulajian | 62 | 42 | 96 | 89 | 43 | ||||||||||
| MontLake Crabel Advanced Trend | Oct 2017 | Trend | Global | £63m | 0.50% | 10,000,000 | Daily | -0.8 | 23.4 | -1.1 | -3.8 | -1.4 | 0.3 | -0.1 | 24.0 | 32.0 | IE00BF2X0569 | Daily | Ireland | Crabel Capital Management | 74 | 94 | 90 | 97 | 42 | ||||||||||||
| MontLake Crabel Gemini | Oct 2017 | Trend Plus | Global | £566m | 2.00% | 0% | No | 25,000,000 | Daily | -1.0 | -0.3 | 0.7 | 2.8 | 0.6 | -0.5 | -2.7 | -0.3 | 4.2 | IE00BF2X9719 | Daily | Ireland | Crabel Capital Management | Crabel Capital Management | No | Yes | Article 6 | No | N/A | N/A | 81 | 33 | 53 | 41 | 71 | |||
| MontLake DUNN WMA Institutional UCITS | Sep 2011 | Trend | Global | £382m | 0.10% | 25% | No | 100,000 | Daily | -2.7 | 28.8 | -1.8 | -4.8 | -5.3 | -3.8 | -0.2 | 27.5 | 32.5 | IE00B6R2TB45 | Daily | Ireland | DUNN Capital Management | Marty H. Bergin, Roberto Os... | Yes | Yes | Article 6 | No | N/A | N/A | 74 | 93 | 72 | 96 | 65 | |||
| Next AM - Tendance Finance | May 2012 | Trend | Global | £16m | 2.00% | 20% | 100,000 | Daily | 3.3 | -11.2 | 2.0 | 7.3 | 4.6 | 6.1 | -1.7 | -9.7 | -16.8 | LU0778101708 | Daily | Luxembourg | Tendance Finance | Herve Chatot | 1 | 1 | 47 | 17 | 6 | ||||||||||
| Nomura Cross Asset Momentum UCITS Fund | Mar 2016 | Trend | Global | £95m | 1.00% | 0% | No | 100,000 | Daily | 4.3 | 20.6 | -0.3 | -1.7 | -3.0 | 0.5 | 5.0 | 28.0 | 40.1 | IE00BYY18K23 | Daily | Ireland | Nomura Alternative Investme... | Michel Laurent, Sam Jérémie | Yes | No | Article 6 | No | N/A | N/A | ||||||||
| Pimco TRENDS Managed Futures Strategy | Jun 2015 | Trend | Global | £225m | 1.40% | 5,000,000 | Daily | 0.2 | -6.7 | 10.7 | 0.1 | -5.3 | -0.5 | -0.9 | -7.3 | 3.6 | 8.1 | IE00BWX5WG52 | Daily | Ireland | PIMCO Asset Management | Matt Dorsten, Graham Rennison | Article 6 | 66 | 72 | 72 | 96 | 22 | |||||||||
| Quantica Managed Futures Focus | Jul 2018 | Trend | Global | £60m | 0.90% | 20% | No | 10,000 | Daily | 1.0 | 9.4 | -1.3 | -6.6 | 0.1 | 6.0 | 0.8 | 10.0 | 4.2 | LU1825540146 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 30 | 30 | 80 | 95 | 7 | ||||
| Quantica Managed Futures UCITS | Aug 2015 | Trend | Global | £104m | 0.70% | 20% | No | 10,000 | Daily | 0.4 | 11.7 | -1.2 | -5.0 | -0.6 | 2.8 | 0.1 | 9.4 | 14.7 | LU1869435468 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 60 | 79 | 92 | 92 | 25 | ||||
| Schroder GAIA BlueTrend | Dec 2015 | Trend | Global | £330m | 1.50% | 20% | 500,000 | Daily | -10.7 | 30.4 | -0.5 | -5.8 | 0.2 | -1.2 | -9.9 | 16.8 | 29.3 | LU1293074479 | Daily | Luxembourg | Systematica Investments Lim... | Leda Braga, David Kitson | Article 6 | 76 | 90 | 75 | 99 | 25 | |||||||||
| SEB Asset Selection | Oct 2006 | Trend | Global | £322m | 1.10% | 20% | Daily | -3.2 | 15.6 | -1.4 | -2.7 | -3.1 | -0.9 | -4.2 | 11.8 | 20.5 | LU0256624742 | Daily | Luxembourg | SEB Asset Management | Hans-Olov Bornemann | 70 | 91 | 90 | 95 | 48 | |||||||||||
| Tages Eckhardt Systematic Short Term UCITS Fund | Oct 2020 | Trend Plus | Global | £77m | 1.25% | 15% | No | 1,000,000 | Daily | -10.8 | 12.8 | 0.4 | -0.9 | -1.7 | -7.3 | -11.6 | -3.8 | -3.9 | IE00BL3HNF00 | Daily | Ireland | Eckhardt Trading Company | Eckhardt Trading Company | Yes | Yes | Article 6 | No | N/A | N/A | ||||||||
| Tulip Trend Fund UCITS | Apr 2018 | Trend | Global | £58m | 1.50% | 16% | No | 100,000 | Weekly | 4.1 | 8.7 | 1.0 | -2.8 | -2.6 | -1.9 | 1.3 | 10.7 | 45.1 | IE00BFWJRT76 | Weekly | Ireland | Transtrend B.V. | Transtrend B.V. | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 97 | 86 | 93 | 19 | |||
| Tungsten TRYCON AI Global Markets | Feb 2010 | Trend Plus | Global | £102m | 1.45% | 20% | 100,000 | Daily | 0.2 | -1.2 | 2.9 | -0.3 | -0.2 | -0.8 | -1.8 | -1.6 | 2.3 | 5.7 | LU0451958135 | Daily | Luxembourg | Tungsten Capital Management... | Pablo Hess | 88 | 55 | 98 | 78 | 80 | |||||||||
| Winton Trend Fund (UCITS) | Feb 2018 | Trend | Global | £383m | 0.80% | 0% | No | 50,000 | Daily | 3.2 | 18.0 | -0.7 | -2.4 | -0.2 | 2.9 | 4.9 | 22.3 | 38.2 | IE00BG382P13 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 86 | 92 | 82 | 94 | 56 |
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