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 |
||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Cyril Systematic UCITS | Jun 2011 | Trend | Global | £6m | 2.00% | 20% | EONIA | 500,000 | Daily | 10.7 | -2.6 | 0.1 | 3.0 | 10.3 | 6.8 | 14.8 | 26.6 | 19.6 | FR0000976342 | Daily | France | John Locke Investments | John Locke Investments | 15 | 37 | 99 | 86 | 24 | |||||||||
Candriam Diversified Futures | Nov 2009 | Trend | Global | £255m | 1.20% | 20% | Yes | 250,000 | Daily | 2.1 | 2.3 | 0.0 | 0.9 | 1.7 | 0.3 | 10.2 | 10.9 | 22.6 | 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 | 4.1 | 0.5 | 1.8 | 3.6 | IE0001WX9CH6 | Daily | Ireland | BH-DG Systematic Trading LLP | BH-DG Systematic Risk Commi... | ||||||||||||||||||||
CFM ISTrends Equity Capped Fund | Sep 2020 | Trend | Global | £71m | 0.75% | 10% | No | 10,000 | Daily | 8.5 | -0.2 | 1.0 | 2.8 | 8.0 | 3.7 | 12.4 | IE000IK66S24 | Daily | Ireland | Capital Fund Management | CFM | Yes | Yes | Article 6 | No | N/A | N/A | 58 | 66 | 63 | 98 | 36 | |||||
Amundi Metori Epsilon Global Trend | Apr 2011 | Trend | Global | £352m | 1.00% | 15% | 500,000 | Daily | 9.7 | -3.2 | 0.8 | 3.8 | 9.3 | 8.7 | 9.5 | 19.6 | 20.5 | IE00B530CF08 | Daily | Ireland | Metori Capital Management | Lyxor | Article 6 | 39 | 42 | 88 | 92 | 41 | |||||||||
Aspect Diversified Trends Fund | Dec 2010 | Trend | Global | £345m | 1.00% | 15% | No | 100,000 | Daily | 16.9 | -1.6 | 1.1 | 5.5 | 16.4 | 8.9 | 22.7 | 31.1 | 61.8 | IE00B657BK41 | Daily | Ireland | Aspect Capital | Aspect Capital | Yes | Yes | Article 6 | No | N/A | N/A | 84 | 97 | 64 | 100 | 58 | |||
MontLake DUNN WMA Institutional UCITS | Sep 2011 | Trend | Global | £362m | 0.10% | 25% | No | 100,000 | Daily | 15.4 | -5.0 | -0.1 | 0.7 | 14.5 | 5.2 | 16.6 | 21.6 | 41.9 | 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 | |||
Garraway Financial Trends | Sep 2012 | Trend | Global | £28m | 1.00% | 20% | None | 100,000 | Daily | 6.6 | -11.2 | 1.0 | 4.2 | 6.1 | -1.2 | 4.7 | -4.6 | -9.1 | IE00B86V3N61 | Daily | Ireland | Garraway Capital Management... | Darran Goodwin | 4 | 8 | 77 | 94 | 8 | |||||||||
MontLake AlphaQuest UCITS | Dec 2016 | Trend Plus | Global | £38m | 1.50% | 20% | 1,000,000 | Daily | 3.5 | -7.5 | -1.4 | 2.4 | 3.6 | 1.8 | 1.3 | -1.4 | 7.9 | 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 | 12.4 | -4.8 | 0.1 | 4.0 | 12.0 | 3.3 | 13.4 | 12.2 | 28.7 | IE00BF2X0569 | Daily | Ireland | Crabel Capital Management | 55 | 83 | 72 | 98 | 36 | ||||||||||||
MontLake Crabel Gemini | Oct 2017 | Trend Plus | Global | £275m | 2.00% | 0% | No | 25,000,000 | Daily | -2.7 | 1.6 | -0.5 | 0.9 | -2.7 | 1.1 | -0.5 | -3.3 | 2.2 | IE00BF2X9719 | Daily | Ireland | Crabel Capital Management | Crabel Capital Management | No | Yes | Article 6 | No | N/A | N/A | 68 | 47 | 48 | 46 | 61 | |||
Tulip Trend Fund UCITS | Apr 2018 | Trend | Global | £51m | 1.50% | 16% | No | 100,000 | Weekly | 19.4 | 0.2 | 1.7 | 2.1 | 17.4 | 11.6 | 33.0 | 4.6 | 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 | 8.6 | 2.6 | 0.6 | 2.8 | 8.3 | 4.7 | 16.0 | 15.1 | 35.3 | IE00BG382P13 | Daily | Ireland | Winton Capital | Winton Capital Management L... | Yes | Yes | Article 6 | No | N/A | N/A | 79 | 90 | 68 | 94 | 53 | |||
Lynx UCITS Fund | Mar 2019 | Trend | Global | £74m | 1.00% | 20% | Yes | 10,000 | Daily | 13.2 | -8.0 | 2.4 | 4.9 | 12.3 | 5.6 | 16.5 | 18.9 | 37.0 | IE00BGBVCN02 | Daily | Ireland | Lynx Asset Management AB | Yes | Yes | Article 6 | No | N/A | N/A | 53 | 87 | 61 | 100 | 28 | ||||
Tages Eckhardt Systematic Short Term UCITS Fund | Oct 2020 | Trend Plus | Global | £74m | 1.25% | 15% | No | 1,000,000 | Daily | -0.2 | -6.7 | -0.4 | 0.7 | -0.5 | 0.2 | -6.1 | -5.7 | 0.7 | IE00BL3HNF00 | Daily | Ireland | Eckhardt Trading Company | Eckhardt Trading Company | Yes | Yes | Article 6 | No | N/A | N/A | 19 | 30 | 97 | 77 | 32 | |||
CFM ISTrends Fund | May 2021 | Trend | Global | £10m | 0.75% | 10% | No | 10,000 | Daily | 17.6 | 4.5 | 1.3 | 5.6 | 16.6 | 13.1 | 26.5 | 33.8 | IE00BMDKFQ17 | Daily | Ireland | Capital Fund Management | CFM | Yes | No | Article 6 | No | N/A | N/A | |||||||||
Pimco TRENDS Managed Futures Strategy | Jun 2015 | Trend | Global | £189m | 1.40% | 5,000,000 | Daily | 2.1 | -3.5 | 1.2 | 1.5 | 1.7 | 1.1 | 7.0 | 2.6 | 11.0 | IE00BWX5WG52 | Daily | Ireland | PIMCO Asset Management | Matt Dorsten, Graham Rennison | Article 6 | 47 | 57 | 58 | 96 | 20 | ||||||||||
Nomura Cross Asset Momentum UCITS Fund | Mar 2016 | Trend | Global | £91m | 1.00% | 0% | No | 100,000 | Daily | 4.0 | 7.6 | 0.0 | 3.1 | 3.4 | 2.5 | 16.1 | 20.8 | 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 | |||
SEB Asset Selection | Oct 2006 | Trend | Global | £296m | 1.10% | 20% | Daily | 12.8 | -7.8 | 0.3 | 3.2 | 12.1 | 4.4 | 10.3 | 11.5 | 20.0 | LU0256624742 | Daily | Luxembourg | SEB Asset Management | Hans-Olov Bornemann | 54 | 64 | 74 | 95 | 30 | |||||||||||
Man AHL Alpha Core Alternative | Nov 2009 | Trend | Global | £107m | 0.80% | 0% | Yes | 100,000 | Daily | 5.8 | -1.8 | 1.1 | 3.8 | 5.4 | 2.7 | 9.2 | 13.2 | 5.9 | 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 | 7.5 | -3.3 | 1.0 | 5.1 | 6.9 | 2.5 | 10.7 | 11.7 | 11.3 | LU0428380553 | Daily | Luxembourg | Man Group Plc | Otto Hamaoui, Tom Bowles | Yes | Yes | Article 6 | No | N/A | N/A | 42 | 43 | 73 | 96 | 23 | |||
Tungsten TRYCON AI Global Markets | Feb 2010 | Trend Plus | Global | £90m | 1.45% | 20% | 100,000 | Daily | 4.4 | -1.9 | -0.1 | -0.4 | 4.4 | 2.2 | 3.5 | 6.9 | 6.4 | LU0451958135 | Daily | Luxembourg | Tungsten Capital Management... | Pablo Hess | 66 | 41 | 97 | 79 | 74 | ||||||||||
Alma Platinum IV Systematic Alpha | Jun 2010 | Trend | Global | £77m | 0.85% | 18% | No | 1,000,000 | Daily | 9.9 | 10.1 | 0.8 | 2.8 | 9.7 | 7.9 | 22.7 | 25.5 | 48.1 | LU0462954479 | Daily | Luxembourg | Winton Capital | Winton Capital | No | No | Article 6 | No | N/A | N/A | 90 | 96 | 82 | 93 | 76 | |||
Next AM - Tendance Finance | May 2012 | Trend | Global | £18m | 2.00% | 20% | 100,000 | Daily | 5.8 | 11.0 | 10.6 | 5.1 | 20.5 | 17.2 | 1.0 | -1.2 | LU0778101708 | Daily | Luxembourg | Tendance Finance | Herve Chatot | 5 | 9 | 36 | 18 | 11 | |||||||||||
AQR Managed Futures UCITS | Oct 2014 | Trend | Global | £439m | 0.60% | 10% | Yes | 100,000 | Daily | 11.2 | 2.3 | 1.0 | 2.5 | 10.8 | 5.9 | 17.6 | 24.5 | 37.7 | LU1103258510 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, Ari Levine | Yes | Yes | Article 6 | Yes | N/A | Yes | 81 | 91 | 56 | 99 | 47 | |||
Goldman Sachs Alternative Trend Portfolio | Jan 2015 | Trend | Global | £340m | 0.65% | 1,000,000 | Daily | 1.9 | 2.5 | 0.3 | 1.7 | 1.3 | -0.2 | 7.9 | 16.7 | 21.8 | LU1103308471 | Daily | Luxembourg | Goldman Sachs Asset Managem... | Article 6 | 70 | 86 | 73 | 96 | 65 | |||||||||||
Fulcrum Multi Asset Trend Fund | May 2015 | Trend | Global | £61m | 0.80% | 0% | No | 1,000,000 | Daily | 14.4 | -6.3 | 1.5 | 4.1 | 14.2 | 3.2 | 13.4 | 16.6 | 51.0 | LU1225880415 | Daily | Luxembourg | Fulcrum Asset Management LLP | Fulcrum Systematic Team | Yes | Yes | Article 6 | Yes | N/A | N/A | 76 | 94 | 62 | 97 | 47 | |||
Schroder GAIA BlueTrend | Dec 2015 | Trend | Global | £269m | 1.50% | 20% | 500,000 | Daily | 8.9 | -9.4 | 1.4 | 4.4 | 8.8 | 4.0 | 13.6 | 9.5 | 30.7 | LU1293074479 | Daily | Luxembourg | Systematica Investments Lim... | Leda Braga, David Kitson | Article 6 | 62 | 83 | 53 | 99 | 22 | |||||||||
BNP THEAM Quant - Multi Asset Diversified | Feb 2008 | Trend | Global | £32m | 0.50% | 100,000 | Daily | 5.9 | -5.2 | 1.3 | 5.2 | 5.3 | 3.1 | 4.5 | -7.7 | 2.7 | LU1353185074 | Daily | Luxembourg | BNP Paribas Asset Management | Solene Deharbonnier | 28 | 15 | 94 | 78 | 10 | |||||||||||
Allianz Multi Asset Long / Short | Nov 2016 | Trend | Global | £114m | 0.75% | 4,000,000 | Daily | 3.2 | -3.5 | 0.7 | 2.4 | 2.9 | 3.0 | 3.9 | -1.3 | 7.7 | LU1481688817 | Daily | Luxembourg | Allianz GI | Rahul Malhotra (Lead), Gior... | Article 6 | 35 | 55 | 93 | 88 | 42 | ||||||||||
Lumyna - Millburn Diversified UCITS | Mar 2017 | Trend Plus | Global | £51m | 1.50% | 20% | No | 1,000,000 | Weekly | 4.5 | -5.1 | -0.7 | -1.5 | 4.9 | -6.0 | 6.3 | 7.1 | 15.8 | LU1565208292 | Weekly | Luxembourg | Millburn | Barry Goodman | No | No | Article 6 | No | No | Yes | 56 | 74 | 58 | 97 | 41 | |||
Bantleon Diversified Markets | May 2018 | Trend Plus | Global | £22m | 1.00% | 10% | Yes | 250,000 | Daily | 4.6 | 0.1 | 0.6 | 4.8 | 4.0 | 10.1 | 10.7 | -0.2 | 5.6 | LU1808871997 | Daily | Luxembourg | Bantleon Bank AG | Umit Kinar | Yes | Yes | Article 6 | No | Yes | Yes | 66 | 38 | 80 | 88 | 24 | |||
Quantica Managed Futures Focus | Jul 2018 | Trend | Global | £58m | 0.90% | 20% | No | 10,000 | Daily | 8.5 | 1.2 | -0.1 | 4.0 | 7.8 | 4.4 | 19.9 | 20.7 | 6.7 | 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 | 9.8 | 0.1 | 0.1 | 2.9 | 9.2 | 2.8 | 19.5 | 13.8 | 11.3 | LU1869435468 | Daily | Luxembourg | Quantica Capital AG | Yes | Yes | Article 6 | No | N/A | N/A | 39 | 57 | 71 | 95 | 20 | ||||
AQR Alternative Trends UCITS Fund | Feb 2023 | Trend | Global | £404m | 1.50% | 20% | Yes | 100,000 | Daily | 7.1 | 0.6 | 1.0 | 7.5 | 7.5 | 24.8 | LU2392538067 | Daily | Luxembourg | AQR Capital Management | Yao Hua Ooi, John Liew, Cli... | Yes | Yes | Article 6 | Yes | Yes | No | |||||||||||
iMGP DBi Managed Futures Fund | Jan 2023 | Trend | Europe | £59m | 0.75% | 0% | No | 1,000,000 | Daily | 11.1 | 0.4 | 5.2 | 10.9 | 2.2 | 11.9 | LU2550556745 | Daily | Luxembourg | DBi | Dynamic Beta Investments (n... | No | No | Article 6 | No | Yes | Yes |
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