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 December 2023
£6.1b
-10.0% YoY
Performance
Monthly Returns
JAN | FEB | MAR | APR | MAY | JUN | JUL | AUG | SEP | OCT | NOV | DEC | YTD | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 1.0 | 3.3 | 4.4 | |||||||||||
2023 | -1.3 | 1.5 | -4.9 | 1.8 | 0.9 | 2.3 | -1.1 | -0.6 | 2.2 | 0.5 | -2.9 | 0.0 | -1.8 | |
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 |
Index Constituents
Name | Inception Date | Sub-Strategy | Geography | AUM | AMC | Perf. Fee | Hurdle | Min Inv. | Liquidity | MTD | YTD | 2023 | 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 | £114m | 0.75% | 4,000,000 | Daily | 2.1 | 2.8 | -3.5 | 0.9 | 1.8 | 2.5 | 2.9 | 3.1 | -0.9 | 7.2 | LU1481688817 | Daily | Luxembourg | Allianz GI | Rahul Malhotra (Lead), Gior... | Article 6 | 35 | 55 | 93 | 88 | 42 | |||||||||
Amundi Metori Epsilon Global Trend | Apr 2011 | Trend | Global | £352m | 1.00% | 15% | 500,000 | Daily | 3.8 | 9.7 | -3.2 | 1.0 | 3.8 | 8.3 | 8.9 | 9.6 | 19.3 | 20.5 | IE00B530CF08 | Daily | Ireland | Metori Capital Management | Lyxor | Article 6 | 39 | 42 | 88 | 92 | 41 | ||||||||
BNP THEAM Quant - Multi Asset Diversified | Feb 2008 | Trend | Global | £32m | 0.50% | 100,000 | Daily | 3.7 | 4.7 | -5.2 | 1.4 | 3.7 | 3.8 | 1.6 | 2.9 | -8.8 | 1.6 | LU1353185074 | Daily | Luxembourg | BNP Paribas Asset Management | Solene Deharbonnier | 28 | 15 | 94 | 78 | 10 | ||||||||||
Goldman Sachs Alternative Trend Portfolio | Jan 2015 | Trend | Global | £340m | 0.65% | 1,000,000 | Daily | 1.2 | 1.4 | 2.5 | 0.3 | 1.1 | 0.8 | -0.9 | 7.5 | 16.4 | 21.3 | LU1103308471 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 70 | 86 | 73 | 96 | 65 | ||||||||||
MontLake AlphaQuest UCITS | Dec 2016 | Trend Plus | Global | £38m | 1.50% | 20% | 1,000,000 | Daily | 1.7 | 3.7 | -7.5 | -1.2 | 2.6 | 3.5 | 2.1 | 1.6 | -0.2 | 8.2 | IE00BD08G622 | Daily | Ireland | Quest Partners | Nigol Koulajian | 43 | 63 | 95 | 91 | 43 | |||||||||
MontLake Crabel Advanced Trend | Oct 2017 | Trend | Global | £103m | 0.50% | 10,000,000 | Daily | 3.7 | 11.5 | -4.8 | -0.5 | 3.1 | 11.7 | 2.7 | 12.3 | 11.4 | 27.7 | IE00BF2X0569 | Daily | Ireland | Crabel Capital Management | 55 | 83 | 72 | 98 | 36 | |||||||||||
Next AM - Tendance Finance | May 2012 | Trend | Global | £18m | 2.00% | 20% | 100,000 | Daily | 10.2 | 5.8 | 11.0 | 10.3 | 5.1 | 20.4 | 16.9 | 1.1 | -1.2 | LU0778101708 | Daily | Luxembourg | Tendance Finance | Herve Chatot | 5 | 9 | 36 | 18 | 11 | ||||||||||
Pimco TRENDS Managed Futures Strategy | Jun 2015 | Trend | Global | £189m | 1.40% | 5,000,000 | Daily | 1.1 | 1.7 | -3.5 | 1.4 | 0.6 | 1.2 | 0.6 | 6.1 | 2.8 | 10.6 | IE00BWX5WG52 | Daily | Ireland | PIMCO Asset Management | Matt Dorsten, Graham Rennison | Article 6 | 47 | 57 | 58 | 96 | 20 | |||||||||
Schroder GAIA BlueTrend | Dec 2015 | Trend | Global | £269m | 1.50% | 20% | 500,000 | Daily | 3.5 | 7.8 | -9.4 | 1.5 | 2.7 | 7.2 | 3.6 | 12.2 | 8.6 | 29.3 | LU1293074479 | Daily | Luxembourg | Systematica Investments Lim... | Leda Braga, David Kitson | Article 6 | 62 | 83 | 53 | 99 | 22 | ||||||||
SEB Asset Selection | Oct 2006 | Trend | Global | £296m | 1.10% | 20% | Daily | 2.8 | 12.3 | -7.8 | 1.1 | 2.7 | 11.3 | 4.6 | 9.6 | 12.5 | 19.5 | LU0256624742 | Daily | Luxembourg | SEB Asset Management | Hans-Olov Bornemann | 54 | 64 | 74 | 95 | 30 | ||||||||||
Tungsten TRYCON AI Global Markets | Feb 2010 | Trend Plus | Global | £90m | 1.45% | 20% | 100,000 | Daily | -0.6 | 4.3 | -1.9 | -0.5 | -0.5 | 4.1 | 2.2 | 3.3 | 7.5 | 6.3 | LU0451958135 | Daily | Luxembourg | Tungsten Capital Management... | Pablo Hess | 66 | 41 | 97 | 79 | 74 | |||||||||
Cyril Systematic UCITS | Jun 2011 | Trend | Global | £6m | 2.00% | 20% | EONIA | 500,000 | Daily | 3.6 | 10.7 | -2.6 | 1.2 | 2.5 | 9.7 | 7.0 | 14.3 | 26.6 | 19.6 | FR0000976342 | Daily | France | John Locke Investments | John Locke Investments | 15 | 37 | 99 | 86 | 24 | ||||||||
Alma Platinum IV Systematic Alpha | Jun 2010 | Trend | Global | £77m | 0.85% | 18% | No | 1,000,000 | Daily | 2.9 | 9.9 | 10.1 | 1.2 | 2.5 | 9.6 | 8.1 | 23.0 | 25.1 | 48.2 | LU0462954479 | Daily | Luxembourg | Winton Capital | Winton Capital | No | No | Article 6 | No | N/A | N/A | 90 | 96 | 82 | 93 | 76 | ||
Aspect Diversified Trends Fund | Dec 2010 | Trend | Global | £345m | 1.00% | 15% | No | 100,000 | Daily | 4.9 | 16.3 | -1.6 | 1.8 | 3.7 | 14.9 | 8.6 | 22.6 | 29.6 | 61.0 | IE00B657BK41 | Daily | Ireland | Aspect Capital | Aspect Capital | Yes | Yes | Article 6 | No | N/A | N/A | 84 | 97 | 64 | 100 | 58 | ||
CFM ISTrends Equity Capped Fund | Sep 2020 | Trend | Global | £71m | 0.75% | 10% | No | 10,000 | Daily | 2.5 | 8.2 | -0.2 | 0.8 | 2.1 | 7.0 | 3.4 | 12.2 | IE000IK66S24 | Daily | Ireland | Capital Fund Management | CFM | Yes | Yes | Article 6 | No | N/A | N/A | 58 | 66 | 63 | 98 | 36 | ||||
CFM ISTrends Fund | May 2021 | Trend | Global | £10m | 0.75% | 10% | No | 10,000 | Daily | 4.8 | 16.8 | 4.5 | 1.6 | 4.3 | 15.5 | 12.4 | 26.3 | 33.6 | IE00BMDKFQ17 | Daily | Ireland | Capital Fund Management | CFM | Yes | No | Article 6 | No | N/A | N/A | ||||||||
Fulcrum Multi Asset Trend Fund | May 2015 | Trend | Global | £61m | 0.80% | 0% | No | 1,000,000 | Daily | 4.4 | 13.6 | -6.3 | 1.7 | 3.3 | 12.8 | 3.3 | 12.8 | 17.5 | 50.0 | LU1225880415 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Systematic Team | Yes | Yes | Article 6 | Yes | N/A | N/A | 76 | 94 | 62 | 97 | 47 | ||
iMGP DBi Managed Futures Fund | Jan 2023 | Trend | Europe | £59m | 0.75% | 0% | No | 1,000,000 | Daily | 4.2 | 10.4 | 1.0 | 4.2 | 10.2 | 1.3 | 11.7 | LU2550556745 | Daily | Luxembourg | DBi | Dynamic Beta Investments (n... | No | No | Article 6 | No | Yes | Yes | ||||||||||
Lumyna - Millburn Diversified UCITS | Mar 2017 | Trend Plus | Global | £51m | 1.50% | 20% | No | 1,000,000 | Weekly | -0.4 | 5.1 | -5.1 | -0.4 | -1.1 | 5.2 | -4.9 | 7.2 | 7.4 | 16.4 | LU1565208292 | Weekly | Luxembourg | Millburn | Barry Goodman | No | No | Article 6 | No | No | Yes | 56 | 74 | 58 | 97 | 41 | ||
MontLake Crabel Gemini | Oct 2017 | Trend Plus | Global | £275m | 2.00% | 0% | No | 25,000,000 | Daily | 0.7 | -3.0 | 1.6 | -0.3 | 0.5 | -2.9 | 0.7 | -1.1 | -3.6 | 1.8 | IE00BF2X9719 | Daily | Ireland | Crabel Capital Management | Crabel Capital Management | No | Yes | Article 6 | No | N/A | N/A | 68 | 47 | 48 | 46 | 61 | ||
MontLake DUNN WMA Institutional UCITS | Sep 2011 | Trend | Global | £362m | 0.10% | 25% | No | 100,000 | Daily | 0.1 | 14.7 | -5.0 | -0.1 | 0.3 | 13.8 | 4.9 | 15.6 | 21.4 | 41.1 | IE00B6R2TB45 | Daily | Ireland | DUNN Capital Management | Marty H. Bergin, Roberto Os... | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 89 | 70 | 94 | 55 | ||
Nomura Cross Asset Momentum UCITS Fund | Mar 2016 | Trend | Global | £91m | 1.00% | 0% | No | 100,000 | Daily | 2.7 | 4.0 | 7.6 | 1.0 | 2.9 | 4.6 | 3.1 | 17.6 | 22.2 | 41.2 | IE00BYY18K23 | Daily | Ireland | Nomura Alternative Investme... | Michel Laurent, Sam Jérémie | Yes | No | Article 6 | No | N/A | N/A | 75 | 97 | 90 | 96 | 53 | ||
Quantica Managed Futures Focus | Jul 2018 | Trend | Global | £58m | 0.90% | 20% | No | 10,000 | Daily | 3.3 | 8.0 | 1.2 | 0.9 | 3.5 | 6.5 | 3.7 | 19.4 | 20.4 | 6.1 | LU1825540146 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 29 | 40 | 65 | 99 | 18 | |||
Quantica Managed Futures UCITS | Aug 2015 | Trend | Global | £93m | 0.70% | 20% | No | 10,000 | Daily | 2.5 | 9.3 | 0.1 | 0.7 | 2.5 | 8.1 | 3.1 | 19.4 | 12.5 | 10.8 | LU1869435468 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 39 | 57 | 71 | 95 | 20 | |||
Tages Eckhardt Systematic Short Term UCITS Fund | Oct 2020 | Trend Plus | Global | £74m | 1.25% | 15% | No | 1,000,000 | Daily | 0.5 | -0.5 | -6.7 | -0.8 | 0.1 | -0.1 | 0.3 | -7.0 | -5.6 | 0.4 | IE00BL3HNF00 | Daily | Ireland | Eckhardt Trading Company | Eckhardt Trading Company | Yes | Yes | Article 6 | No | N/A | N/A | 19 | 30 | 97 | 77 | 32 | ||
Tulip Trend Fund UCITS | Apr 2018 | Trend | Global | £51m | 1.50% | 16% | No | 100,000 | Weekly | 3.7 | 19.4 | 0.2 | 1.7 | 2.1 | 17.4 | 11.6 | 33.0 | 7.6 | 44.2 | IE00BFWJRT76 | Weekly | Ireland | Transtrend B.V. | Transtrend B.V. | Yes | Yes | Article 6 | No | N/A | N/A | 58 | 93 | 84 | 93 | 18 | ||
Winton Trend Fund (UCITS) | Feb 2018 | Trend | Global | £396m | 0.80% | 0% | No | 50,000 | Daily | 2.4 | 8.2 | 2.6 | 0.7 | 1.9 | 8.0 | 4.5 | 15.8 | 14.5 | 34.9 | IE00BG382P13 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 79 | 90 | 68 | 94 | 53 | ||
Garraway Financial Trends | Sep 2012 | Trend | Global | £28m | 1.00% | 20% | None | 100,000 | Daily | 3.6 | 5.5 | -11.2 | 0.7 | 2.9 | 5.6 | -1.0 | 3.5 | -5.1 | -10.0 | IE00B86V3N61 | Daily | Ireland | Garraway Capital Management... | Darran Goodwin | 4 | 8 | 77 | 94 | 8 | ||||||||
AQR Alternative Trends UCITS Fund | Feb 2023 | Trend | Global | £404m | 1.50% | 20% | Yes | 100,000 | Daily | 1.5 | 7.0 | 0.6 | 0.6 | 7.0 | 7.5 | 24.7 | 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 | £439m | 0.60% | 10% | Yes | 100,000 | Daily | 3.3 | 11.1 | 2.3 | 1.1 | 2.3 | 10.9 | 6.8 | 17.3 | 24.9 | 37.5 | LU1103258510 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, Ari Levine | Yes | Yes | Article 6 | Yes | N/A | Yes | 81 | 91 | 56 | 99 | 47 | ||
Bantleon Diversified Markets | May 2018 | Trend Plus | Global | £22m | 1.00% | 10% | Yes | 250,000 | Daily | 4.4 | 4.2 | 0.1 | 1.5 | 4.2 | 3.6 | 10.1 | 10.5 | -0.7 | 5.2 | LU1808871997 | Daily | Luxembourg | Bantleon Bank AG | Umit Kinar | Yes | Yes | Article 6 | No | Yes | Yes | 66 | 38 | 80 | 88 | 24 | ||
Candriam Diversified Futures | Nov 2009 | Trend | Global | £255m | 1.20% | 20% | Yes | 250,000 | Daily | 0.6 | 1.7 | 2.3 | 0.2 | 0.1 | 0.8 | -0.1 | 9.8 | 11.1 | 22.1 | FR0010794792 | Daily | France | Candriam | Yes | Yes | Article 6 | No | N/A | N/A | 72 | 84 | 85 | 93 | 66 | |||
KLS BH-DG Systematic Trading UCITS | Dec 2023 | Trend | Global | £11m | 1.00% | 20% | Yes | Daily | 1.3 | 3.4 | 0.5 | 0.9 | 3.3 | IE0001WX9CH6 | Daily | Ireland | BH-DG Systematic Trading LLP | BH-DG Systematic Risk Commi... | |||||||||||||||||||
Lynx UCITS Fund | Mar 2019 | Trend | Global | £74m | 1.00% | 20% | Yes | 10,000 | Daily | 3.8 | 11.9 | -8.0 | 2.2 | 2.8 | 11.4 | 4.3 | 15.5 | 16.5 | 35.5 | IE00BGBVCN02 | Daily | Ireland | Lynx Asset Management AB | Yes | Yes | Article 6 | No | N/A | N/A | 53 | 87 | 61 | 100 | 28 | |||
Man AHL Alpha Core Alternative | Nov 2009 | Trend | Global | £107m | 0.80% | 0% | Yes | 100,000 | Daily | 3.2 | 5.2 | -1.8 | 1.6 | 3.0 | 4.5 | 2.1 | 8.4 | 12.7 | 5.3 | LU0424370269 | Daily | Luxembourg | Man Group Plc | Matthew Sargaison, Russell ... | Yes | Yes | Article 6 | No | N/A | N/A | 70 | 84 | 73 | 62 | 49 | ||
Man AHL Trend Alternative | Oct 2009 | Trend | Global | £769m | 1.50% | 20% | Yes | 100,000 | Daily | 4.2 | 6.7 | -3.3 | 1.6 | 3.6 | 5.0 | 2.3 | 9.7 | 11.0 | 10.4 | LU0428380553 | Daily | Luxembourg | Man Group Plc | Otto Hamaoui, Tom Bowles | Yes | Yes | Article 6 | No | N/A | N/A | 42 | 43 | 73 | 96 | 23 |
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