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 -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
Download Index Return Series

Top Funds YTD

YTD
Next AM - Tendance Finance Trend 4.3
MontLake Crabel Gemini Trend Plus 2.7
BNP THEAM Quant - Multi Asset Diversified Trend 2.5
Tages Eckhardt Systematic Short Term UCITS... Trend Plus 1.9
Lyxor Epsilon Global Trend Trend 0.2
Bantleon Diversified Markets Trend Plus 0.1
Tulip Trend Fund UCITS Trend 0.1
Pimco TRENDS Managed Futures Strategy Trend -0.2
Man AHL Trend Alternative Trend -0.2
Man AHL Alpha Core Alternative Trend -0.7

Bottom Funds YTD

YTD
KLS Niederhoffer Smart Alpha UCITS Fund Trend Plus -5.9
Garraway Financial Trends Trend -4.9
Fulcrum Multi Asset Trend Fund Trend -4.7
MontLake DUNN WMA Institutional UCITS Trend -4.2
Aspect Diversified Trends Fund Trend -3.6
Schroder GAIA BlueTrend Trend -3.4
Lumyna - Millburn Diversified UCITS Trend Plus -3.4
SEB Asset Selection Trend -3.1
CFM ISTrends Equity Capped Fund Trend -3.0
Lynx UCITS Fund Trend -2.9

Strategy AUM

31 December 2022
£6.9b 24% YOY

Largest Managed Futures Funds

AUM
Man AHL Trend Alternative £916m
MontLake Crabel Gemini £866m
SEB Asset Selection £558m
Lyxor Epsilon Global Trend £532m
Schroder GAIA BlueTrend £373m

Largest Inflows (Q4'22 - Q4'21)

Change AUM
Man AHL Trend Alternative £315m £916m
SEB Asset Selection £294m £558m
Pimco TRENDS Managed Futures Str... £288m £363m
Winton Trend Fund (UCITS) £248m £294m
Schroder GAIA BlueTrend £208m £373m

Largest Outflows (Q4'22 - Q4'21)

Change AUM
MontLake Crabel Gemini £-194m £866m
AQR Managed Futures UCITS £-69m £231m
Goldman Sachs Alternative Trend ... £-39m £349m
Cyril Systematic UCITS £-29m £5m
Man AHL Alpha Core Alternative £-21m £118m

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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.