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
31 March 2023
£6.5b
17.4% 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 -2.2
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
  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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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 £148m 0.75% 4,000,000 Daily 0.5 -4.0 5.3 0.6 -0.2 -2.5 -4.2 -7.4 0.6 20.0 LU1481688817 Daily Luxembourg Allianz GI Rahul Malhotra (Lead), Gior... Article 6 64 66 97 89 55
Alma Platinum IV Systematic Alpha Jun 2010 Trend Plus Global £158m 0.85% 18% 1,000,000 Daily 0.1 5.0 18.7 -0.5 2.2 1.6 6.3 6.2 22.2 30.0 LU0462954479 Daily Luxembourg Winton Capital Winton Capital 77 60 79 93 34
AQR Alternative Trends UCITS Fund Feb 2023 Trend Global £182m 1.50% 20% Yes 100,000 Daily 0.0 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 £241m 0.60% 10% Yes 100,000 Daily -0.6 0.9 29.6 -0.6 2.8 -0.9 3.4 5.9 18.5 22.9 LU1103258510 Daily Luxembourg AQR Capital Management Yao Hua Ooi, Ari Levine Yes Yes Article 6 Yes N/A Yes 37 57 63 99 17
ASG Managed Futures Fund Jun 2016 Trend Global £104m 1.50% n/a 50,000 Daily 0.3 -6.8 26.6 -1.5 0.7 -8.7 -5.6 -0.9 11.2 28.7 LU1429556951 Daily Luxembourg AlphaSimplex Group, LLC ASG Managed Futures Team 51 75 78 99 14
Aspect Diversified Trends Fund Dec 2010 Trend Global £289m 1.00% 15% No 100,000 Daily 0.4 1.2 36.8 0.4 3.6 -1.6 2.7 8.6 34.6 43.9 IE00B657BK41 Daily Ireland Aspect Capital Aspect Capital Yes Yes Article 6 No N/A N/A 70 85 65 99 28
Bantleon Diversified Markets May 2018 Trend Plus Global £31m 1.00% 10% Yes 250,000 Daily 0.0 -5.8 2.0 -0.7 0.1 -8.0 -6.9 -10.9 -10.0 4.3 LU1808871997 Daily Luxembourg Bantleon Bank AG Umit Kinar Yes Yes Article 6 No Yes Yes 79 18 82 85 20
BNP THEAM Quant - Multi Asset Diversified Feb 2008 Trend Global £43m 0.50% 100,000 Daily 0.3 1.1 -0.6 0.6 0.8 1.3 -4.3 -9.5 -0.5 7.0 LU1353185074 Daily Luxembourg BNP Paribas Asset Management Solene Deharbonnier 49 25 94 74 13
CFM ISTrends Equity Capped Fund Sep 2020 Trend Global £3m 0.65% 0% No 10,000 Daily 0.2 0.3 23.0 -0.6 1.6 -1.1 2.3 0.4 13.0 IE00BMB3HZ57 Daily Ireland Capital Fund Management CFM Yes Yes Article 6 No N/A N/A
CFM ISTrends Fund May 2021 Trend Global 0.75% 10% No 10,000 Daily 0.0 IE00BMDKFQ17 Daily Ireland Capital Fund Management CFM Yes No Article 6 No N/A N/A
Cyril Systematic UCITS Jun 2011 Trend Global £5m 2.00% 20% EONIA 500,000 Daily 0.2 -4.9 -3.4 0.6 -5.9 -6.7 -4.8 4.8 -4.8 FR0000976342 Daily France John Locke Investments John Locke Investments 8 5 99 80 7
Fulcrum Multi Asset Trend Fund May 2015 Trend Global £74m 0.80% 0% No 1,000,000 Daily -0.1 2.6 28.7 1.3 3.8 2.1 6.6 5.7 36.3 47.0 LU1225880415 Daily Luxembourg Fulcrum Asset Management LLP Fulcrum Systematic Team Yes Yes Article 6 Yes N/A N/A 74 89 63 99 29
Garraway Financial Trends Sep 2012 Trend Global £35m 1.00% 20% None 100,000 Daily -0.1 -6.3 5.9 -4.2 0.9 -2.7 -5.7 -5.8 -15.0 -8.3 IE00B86V3N61 Daily Ireland Garraway Capital Management... Darran Goodwin 9 1 77 94 3
Goldman Sachs Alternative Trend Portfolio Jan 2015 Trend Global £303m 0.65% 1,000,000 Daily 0.0 -1.3 16.7 -1.5 1.2 -4.2 0.2 7.8 11.4 22.0 LU1103308471 Daily Luxembourg Goldman Sachs Asset Managem... Article 6 60 61 83 98 43
KLS Niederhoffer Smart Alpha UCITS Fund Jul 2020 Trend Plus Global £46m 1.25% 20% No 2,500,000 Daily -0.5 -3.7 4.0 -2.4 -1.6 -1.4 -1.5 -6.6 0.1 IE00BMVFY279 Daily Ireland R. G. Niederhoffer Capital ... Roy Niederhoffer Article 6
Lumyna - Millburn Diversified UCITS Mar 2017 Trend Plus Global £83m 1.50% 20% No 1,000,000 Weekly -0.7 -7.0 14.8 -3.4 0.1 -6.5 -2.0 -2.5 2.6 21.3 LU1565208292 Weekly Luxembourg Millburn Barry Goodman No No Article 6 No No Yes 69 78 73 96 21
Lynx UCITS Fund Mar 2019 Trend Global £81m 1.00% 20% Yes 10,000 Daily -1.1 -8.4 35.2 -2.2 1.2 -8.3 -6.8 -4.2 15.9 39.0 IE00BGBVCN02 Daily Ireland Lynx Asset Management AB Yes Yes Article 6 No N/A N/A 61 89 80 99 16
Lyxor Epsilon Global Trend Apr 2011 Trend Global £438m 1.00% 15% 500,000 Daily 0.3 -0.6 17.6 -1.1 1.1 -5.4 -0.4 8.9 11.1 16.6 IE00B530CF08 Daily Ireland Metori Capital Management Lyxor Article 6 27 41 86 94 27
Man AHL Alpha Core Alternative Nov 2009 Trend Global £109m 1.00% 15% Yes 1,000 Daily -0.1 -0.1 12.7 -1.0 2.8 -1.8 -0.1 4.6 -2.2 7.8 LU0424370269 Daily Luxembourg Man Group Plc Matthew Sargaison, Russell ... No Yes Article 6 No N/A N/A 29 11 92 91 9
Man AHL Trend Alternative Oct 2009 Trend Global £865m 1.50% 20% Yes 100,000 Daily 0.1 -1.2 12.6 -1.1 3.2 -3.8 -1.2 1.7 -0.7 13.1 LU0428380553 Daily Luxembourg Man Group Plc Otto Hamaoui, Tom Bowles No Yes Article 6 No N/A N/A 43 17 92 86 5
MontLake AlphaQuest UCITS Dec 2016 Trend Plus Global £76m 1.50% 20% 1,000,000 Daily -0.9 -6.3 13.4 -0.6 -0.3 -3.9 -5.7 -5.7 4.1 5.7 IE00BD08G622 Daily Ireland Quest Partners Nigol Koulajian 70 23 95 89 33
MontLake Crabel Advanced Trend Oct 2017 Trend Global £52m 0.50% 10,000,000 Daily 0.6 -1.0 23.4 -1.2 2.5 -1.9 0.5 1.6 11.1 35.1 IE00BF2X0569 Daily Ireland Crabel Capital Management 66 74 90 97 19
MontLake Crabel Gemini Oct 2017 Trend Plus Global £810m 2.00% 0% No 25,000,000 Daily -0.2 -0.6 -0.3 -1.0 -1.1 -3.8 -1.8 -4.3 2.2 2.3 IE00BF2X9719 Daily Ireland Crabel Capital Management Crabel Capital Management No Yes Article 6 No N/A N/A 81 27 64 41 71
MontLake DUNN WMA Institutional UCITS Sep 2011 Trend Global £332m 0.30% 25% No 1,000,000 Daily 1.2 1.1 28.8 -0.4 2.6 -1.0 3.9 7.9 25.3 32.0 IE00B6R2TB45 Daily Ireland DUNN Capital Management William Dunn, Marty Bergin Yes Yes Article 6 No N/A N/A 59 76 72 96 32
Next AM - Tendance Finance May 2012 Trend Global £17m 2.00% 20% 100,000 Daily -0.1 -2.7 -11.2 -1.2 -4.2 -4.3 -7.3 -9.7 -16.6 -25.0 LU0778101708 Daily Luxembourg Tendance Finance Herve Chatot 0 1 43 18 24
Pimco TRENDS Managed Futures Strategy Jun 2015 Trend Global £362m 1.40% 5,000,000 Daily 0.3 -5.9 10.7 -0.5 2.0 -5.8 -6.1 -3.9 4.4 10.2 IE00BWX5WG52 Daily Ireland PIMCO Asset Management Matt Dorsten, Graham Rennison Article 6 60 32 68 95 14
Quantica Managed Futures Focus Jul 2018 Trend Global £59m 0.90% 20% No 10,000 Daily 0.8 -4.7 9.4 -1.5 3.2 -7.2 -4.6 -0.3 -8.5 5.2 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 £102m 0.70% 20% No 10,000 Daily 0.3 -2.3 11.7 -0.7 3.4 -4.5 -2.3 -3.5 -6.0 17.3 LU1869435468 Daily Luxembourg Quantica Capital AG Yes Yes Article 6 No N/A N/A 62 59 93 92 11
Schroder GAIA BlueTrend Dec 2015 Trend Global £359m 1.50% 20% 500,000 Daily -0.7 -9.7 30.4 -2.0 3.9 -9.6 -8.3 -3.9 7.9 29.5 LU1293074479 Daily Luxembourg Systematica Investments Lim... Leda Braga, David Kitson Article 6 67 64 76 98 6
SEB Asset Selection Oct 2006 Trend Global £345m 1.10% 20% Daily 0.5 -1.7 15.6 -0.8 1.5 -3.7 -3.0 -0.2 10.8 28.0 LU0256624742 Daily Luxembourg SEB Asset Management Hans-Olov Bornemann 60 65 73 96 29
Tages Eckhardt Systematic Short Term UCITS Fund Oct 2020 Trend Plus Global £94m 1.25% 15% No 1,000,000 Daily 0.5 -3.8 12.8 -1.1 -1.8 -4.3 -4.6 -2.4 5.3 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 £48m 1.50% 16% No 100,000 Weekly 6.1 8.7 1.8 3.2 4.7 3.3 -11.2 21.8 46.6 IE00BFWJRT76 Weekly Ireland Transtrend B.V. Transtrend B.V. Yes Yes Article 6 No N/A N/A 66 84 84 93 7
Tungsten TRYCON AI Global Markets Feb 2010 Trend Plus Global £95m 1.45% 20% 100,000 Daily -0.7 -0.2 2.9 -0.8 0.1 -1.7 0.6 -0.5 1.1 9.9 LU0451958135 Daily Luxembourg Tungsten Capital Management... Pablo Hess 78 37 88 76 75
Winton Trend Fund (UCITS) Feb 2018 Trend Global £338m 0.80% 0% No 50,000 Daily 0.4 0.4 18.0 -0.7 2.3 -0.2 2.0 -0.1 15.5 36.1 IE00BG382P13 Daily Ireland Winton Capital Winton Capital Management L... Yes Yes Article 6 No N/A N/A 80 73 78 94 33
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