Managed Futures

Strategy Research, 09 May 2022

Index Research Funds

AH Managed Futures UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 -0.6 0.9 5.3 4.3 -0.8 1.7 11.1
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
Download Index Return Series

Top Funds YTD

YTD
Lynx UCITS Fund Trend 33.9
Aspect Diversified Trends Fund Trend 29.8
Schroder GAIA BlueTrend Trend 28.9
AQR Managed Futures UCITS Trend 26.6
Fulcrum Multi Asset Trend Fund Trend 26.6
Tulip Trend Fund UCITS Trend 25.5
ASG Managed Futures Fund Trend 25.5
MontLake Crabel Advanced Trend Trend 23.5
CFM ISTrends Equity Capped Fund Trend 22.0
MontLake DUNN WMA Institutional UCITS Trend 21.2

Bottom Funds YTD

YTD
FORT Global UCITS Contrarian Trend Plus -36.9
FORT Global UCITS Trend Trend -19.2
Next AM - Tendance Finance Trend -3.2
Tungsten TRYCON AI Global Markets Trend Plus 2.6
MontLake Crabel Gemini Trend Plus 3.9
Bantleon Diversified Markets Trend Plus 6.5
Lyxor Epsilon Global Trend Trend 8.8
Garraway Financial Trends Trend 9.4
Allianz Multi Asset Long / Short Trend 9.9
Man AHL Alpha Core Alternative Trend 10.1

Strategy AUM

31 March 2022
£5.6b 0% YOY

Largest Managed Futures Funds

AUM
MontLake Crabel Gemini £1.1b
Man AHL Trend Alternative £581m
Lyxor Epsilon Global Trend £391m
Goldman Sachs Alternative Trend ... £381m
MontLake DUNN WMA Institutional ... £310m

Largest Inflows (Q1'22 - Q1'21)

Change AUM
MontLake Crabel Gemini £171m £1.1b
Goldman Sachs Alternative Trend ... £87m £381m
Schroder GAIA BlueTrend £76m £181m
Winton Trend Fund (UCITS) £53m £88m
Quantica Managed Futures Focus £38m £101m

Largest Outflows (Q1'22 - Q1'21)

Change AUM
AQR Managed Futures UCITS £-228m £274m
FORT Global UCITS Contrarian £-131m £287m
Lyxor Epsilon Global Trend £-130m £391m
Allianz Multi Asset Long / Short £-36m £127m
Lumyna - Millburn Diversified UCITS £-25m £62m

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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.