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 16.3
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 37.8
Aspect Diversified Trends Fund Trend 36.8
Schroder GAIA BlueTrend Trend 33.8
ASG Managed Futures Fund Trend 31.8
AQR Managed Futures UCITS Trend 31.7
Fulcrum Multi Asset Trend Fund Trend 31.7
MontLake Crabel Advanced Trend Trend 30.2
MontLake DUNN WMA Institutional UCITS Trend 29.0
CFM ISTrends Equity Capped Fund Trend 25.8
SEB Asset Selection Trend 23.1

Bottom Funds YTD

YTD
FORT Global UCITS Contrarian Trend Plus -38.1
FORT Global UCITS Trend Trend -16.0
Next AM - Tendance Finance Trend -4.3
MontLake Crabel Gemini Trend Plus 1.7
Tungsten TRYCON AI Global Markets Trend Plus 3.7
Bantleon Diversified Markets Trend Plus 6.3
Allianz Multi Asset Long / Short Trend 10.1
BNP THEAM Quant - Multi Asset Diversified Trend 11.7
Quantica Managed Futures Focus Trend 12.3
KLS Niederhoffer Smart Alpha UCITS Fund Trend Plus 13.0

Strategy AUM

30 June 2022
£6.7b 16% YOY

Largest Managed Futures Funds

AUM
MontLake Crabel Gemini £1.0b
Man AHL Trend Alternative £862m
SEB Asset Selection £763m
Lyxor Epsilon Global Trend £467m
Goldman Sachs Alternative Trend ... £388m

Largest Inflows (Q2'22 - Q2'21)

Change AUM
SEB Asset Selection £469m £763m
Man AHL Trend Alternative £269m £862m
Winton Trend Fund (UCITS) £177m £216m
Schroder GAIA BlueTrend £116m £245m
Goldman Sachs Alternative Trend ... £92m £388m

Largest Outflows (Q2'22 - Q2'21)

Change AUM
FORT Global UCITS Contrarian £-322m £105m
AQR Managed Futures UCITS £-302m £237m
Lyxor Epsilon Global Trend £-47m £467m
Allianz Multi Asset Long / Short £-19m £151m
Cyril Systematic UCITS £-14m £31m

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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.