Managed Futures

Strategy Research, 12 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 1.0 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
AQR Managed Futures UCITS Trend 3.3
Aspect Diversified Trends Fund Trend 2.7
Fulcrum Multi Asset Trend Fund Trend 2.2
Tages Eckhardt Systematic Short Term UCITS... Trend Plus 1.4
CFM ISTrends Equity Capped Fund Trend 1.0
MontLake DUNN WMA Institutional UCITS Trend 0.6
Alma Platinum IV Systematic Alpha Trend Plus 0.3
Winton Trend Fund (UCITS) Trend 0.2
Bantleon Diversified Markets Trend Plus 0.1
Winton Absolute Return Futures Fund Trend 0.1

Bottom Funds YTD

YTD
FORT Global UCITS Contrarian Trend Plus -11.6
Man AHL Active Balanced Trend -6.1
FORT Global UCITS Trend Trend -6.1
Man AHL Trend Alternative Trend -6.0
Cyril Systematic UCITS Trend -5.7
Salus Alpha Directional Markets Trend -5.5
Alma Platinum Quantica Managed Futures Focus Trend -4.8
Man AHL Target Growth Alternative Trend -4.4
Man AHL Alpha Core Alternative Trend -4.2
Alma Platinum Quantica Managed Futures Trend -4.2

Strategy AUM

31 December 2021
£6.3b -9% YOY

Largest Managed Futures Funds

AUM
MontLake Crabel Gemini £1.1b
Man AHL Active Balanced £681m
Man AHL Trend Alternative £600m
Lyxor Epsilon Global Trend £454m
FORT Global UCITS Contrarian £424m

Largest Inflows (Q4'21 - Q4'20)

Change AUM
MontLake Crabel Gemini £205m £1.1b
Goldman Sachs Alternative Trend ... £107m £388m
Schroder GAIA BlueTrend £78m £164m
Man AHL Trend Alternative £60m £600m
CFM ISTrends Equity Capped Fund £50m £59m

Largest Outflows (Q4'21 - Q4'20)

Change AUM
Man AHL Active Balanced £-551m £681m
AQR Managed Futures UCITS £-139m £300m
SEB Asset Selection £-57m £264m
Alma Platinum IV Systematic Alpha £-54m £65m
Allianz Multi Asset Long / Short £-49m £124m

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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.