Managed Futures

Strategy Research, 15 Oct 2020

Index Research Funds

AH Managed Futures UCITS Index

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 -1.3 2.1 1.1 1.8
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
Allianz Multi Asset Long / Short Trend 10.1
Progressive Tulip Trend UCITS Trend 8.1
MontLake AlphaQuest UCITS Trend Plus 7.8
U Access (IRL) Campbell Absolute Return UCITS Trend Plus 7.8
Winton Trend Fund Trend 5.6
Garraway Financial Trends Trend 5.3
SEB Asset Selection Trend Plus 5.2
Alma Platinum IV Systematic Alpha Trend Plus 4.3
MontLake Crabel Advanced Trend Trend 4.2
KLS Niederhoffer Smart Alpha UCITS Fund Trend Plus 4.2

Bottom Funds YTD

YTD
Salus Alpha Directional Markets Trend -7.6
Cyril Systematic UCITS Trend -4.9
Next AM - Tendance Finance Trend -4.1
H2O Atlanterra Fund Trend Plus -3.0
BNP THEAM Quant - Multi Asset Diversified Trend -2.5
Tages Eckhardt Systematic Short Term UCITS... Trend Plus -1.8
Lyxor Epsilon Global Trend Trend -0.7
FORT Global UCITS Trend Trend -0.6
MainFirst Contrarian Opportunities Trend Plus -0.5
Man AHL Active Balanced Trend 0.0

Largest New Launches (12M)

AUM
Tages Eckhardt Systematic Short Term UCITS Fund £92m
KLS Niederhoffer Smart Alpha UCITS Fund £37m
U Access (IRL) Campbell Absolute Return UCITS £18m
CFM ISTrends Equity Capped Fund £9m

Strategy AUM

31 December 2020
£5.5b -13% YOY

Largest Managed Futures Funds

AUM
MontLake Crabel Gemini £855m
Man AHL Trend Alternative £540m
Lyxor Epsilon Global Trend £482m
AQR Managed Futures UCITS £439m
FORT Global UCITS Contrarian £438m

Largest Inflows (Q4'20 - Q4'19)

Change AUM
MontLake Crabel Gemini £568m £855m
Lyxor Epsilon Global Trend £150m £482m
Man AHL Trend Alternative £135m £540m
FORT Global UCITS Contrarian £128m £438m
Alma Platinum Quantica Managed F... £54m £98m

Largest Outflows (Q4'20 - Q4'19)

Change AUM
Alma Platinum IV Systematic Alpha £-614m £119m
SEB Asset Selection £-339m £321m
Lyxor - WNT Fund £-300m £14m
MainFirst Contrarian Opportunities £-140m £38m
Allianz Multi Asset Long / Short £-113m £172m

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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.