AH Market Neutral UCITS Index

Market Neutral is an investing strategy that seeks to profit from stock specific fundamentals by taking long positions in stocks that are expected to appreciate, and short positions in stocks that are expected to decline. Portfolios are managed with equal exposure to longs and shorts with the aim of isolating the alpha component of a stocks return, while neutralising market beta. Equity Market Neutral strategies typically maintain net equity market exposure no greater than 10% long or short, and generally very close to 0%.

Strategy AUM
31 December 2023
£15.0b
-17.7% YoY

Performance

Monthly Returns

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2024 1.2 0.5 1.7
2023 0.0 0.4 -0.1 0.1 -0.2 0.4 -0.5 0.5 0.9 0.3 0.5 0.2 2.6
2022 -0.4 -0.1 0.5 0.1 -0.2 -0.5 0.4 -0.1 0.1 0.1 0.0 0.2 0.0
2021 0.3 0.3 0.4 0.6 0.2 0.0 0.3 0.3 -0.5 0.3 -0.2 0.6 2.4
2020 -0.2 -0.8 -2.5 0.9 -0.3 0.2 0.5 -0.1 0.1 -0.5 0.3 0.6 -1.8
2019 0.8 -0.9 -0.5 -1.0 0.2 0.0 -0.1 0.0 -0.4 -0.3 -0.2 0.2 -2.3
2018 0.7 -0.8 0.3 0.1 0.2 -0.7 0.0 -0.2 -0.2 -1.0 -1.7 0.3 -3.1
2017 0.4 0.4 0.1 0.3 -0.5 -0.3 0.5 0.6 -0.3 0.5 -0.2 -0.1 1.4
2016 -0.8 -0.7 0.2 -0.7 -0.1 -2.0 0.3 -0.3 0.5 0.0 -0.1 0.0 -3.6
2015 0.0 -0.2 0.1 0.2 0.6 0.4 0.2 0.0 0.1 0.0 0.6 1.1 3.1
2014 0.6 0.4 -0.5 -0.7 -0.4 0.0 0.1 0.3 0.2 0.1 0.3 0.2 0.5
2013 1.4 0.5 0.1 0.8 0.3 0.4 -0.1 -0.4 -0.1 0.4 0.3 0.2 3.7
2012 1.3 0.8 -0.1 -0.8 -1.5 0.2 1.0 0.6 0.5 -0.1 0.7 -0.1 2.4
2011 0.5 0.3 -0.1 0.7 -0.1 -0.2 0.9 -0.7 -0.7 0.8 -0.9 0.3 0.8
2010 0.4 0.2 0.7 0.1 -0.7 -0.5 0.4 0.7 0.4 0.2 -0.1 0.5 2.1
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  • Region Global
  • Currency Local Currency
  • Frequency Monthly Rebalancing
  • Methodology Equally Weighted
  • Download Index Return Series

Index Constituents

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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
Alkimis Capital UCITS Nov 2009 Discretionary Europe 1.00% 20% 1,000,000 Weekly 0.0 IT0005163743 Weekly Italy Alkimis SGR Massimo Morchio, Pierluca M... 66 34 18 38 55
Ansa - Global Q Equity Market Neutral Oct 2022 Systematic Global £20m 0.85% 20% Yes 100,000 Daily 1.9 5.1 9.2 -0.9 1.6 6.3 6.9 9.7 DE000A3DEBZ3 Daily Germany Ansa Capital Management GmbH Yes Yes Article 8 Yes N/A N/A
BDLCM Funds - Durandal Nov 2018 Systematic Global £53m 0.90% 20% 100,000 Weekly 0.0 2.0 0.2 -0.1 1.9 4.4 LU1891683903 Weekly Luxembourg BDL Capital Management Maxime Hayot 27 26 92 66 59
BlackRock Asia Pacific Absolute Return Aug 2016 Discretionary Asia £99m 1.00% 20% No 100,000 Daily 1.2 2.7 6.6 -0.9 1.2 2.6 7.4 8.8 9.3 17.6 LU1495982438 Daily Luxembourg BlackRock Investment Manage... Samuel Vecht, Steve Wong, A... Yes Yes Article 6 Yes Yes Yes 86 84 87 87 82
BlackRock Asia Pacific Diversified Equity Absolute Return Feb 2017 Systematic Asia £61m 1.00% 20% No 100,000 Daily 3.1 8.0 17.1 0.0 2.7 7.9 11.8 22.3 34.8 38.9 LU1508158190 Daily Luxembourg BlackRock Investment Manage... Jeff Shen Yes Yes Article 6 Yes Yes Yes 83 96 87 83 80
BlackRock Systematic Global Long/Short Equity Jun 2014 Systematic Global £17m 1.50% 0% Daily 3.9 8.1 10.0 1.1 4.0 8.3 14.4 17.3 20.5 15.0 LU1069250113 Daily Luxembourg BlackRock Investment Manage... Kevin Franklin, Andrew Huzzey 70 72 56 73 81
BlackRock Systematic US Equity Absolute Return Feb 2012 Systematic US £554m 1.00% 20% No 10,000,000 Daily 2.8 6.0 7.8 0.4 2.3 6.0 10.7 11.2 18.3 29.3 LU0725887540 Daily Luxembourg BlackRock Investment Manage... Raffaele Savi, Travis Cooke Yes Yes Article 6 Yes Yes Yes 94 87 82 89 84
BNP THEAM Quant - Equity World DEFI Market Neutral Dec 2017 Systematic Global £18m 0.34% None 100,000 Daily 1.1 2.1 0.6 0.5 0.1 2.3 -0.3 6.8 -1.0 5.6 LU1685640408 Daily Luxembourg BNP Paribas Asset Management Fabrice Ricci 49 62 96 79 41
BPI Alternative Iberian Equities Long/Short Jan 2010 Discretionary Europe £287m 1.50% 20% 150,000 Daily 2.1 2.6 1.8 0.1 1.9 2.9 3.4 4.2 8.1 9.5 LU0784437740 Daily Luxembourg BPI Gestão de Activos Paulo Freire Oliveira, Pedr... 90 58 85 74 96
Candriam Absolute Return Equity Market Neutral Aug 2018 Discretionary Global £582m 0.80% 20% Yes 0 Daily 2.5 0.4 7.4 0.5 2.4 0.5 0.4 8.2 -0.7 7.9 LU1819523264 Daily Luxembourg Candriam Emmanuel Terraz, Olivier Ro... Yes Yes Article 6 No Yes Yes 62 70 35 49 56
CC&L Q Global Equity Market Neutral UCITS Fund Systematic Global 1.00% 20% Yes 10,000,000 Daily 0.0 IE00BMGM5869 Daily Ireland Connor, Clark & Lunn Invest... Connor, Clark & Lunn Invest... Yes Yes Article 6 Yes Yes Yes
CT Real Estate Equity Market Neutral Fund Dec 2012 Discretionary Europe £223m 1.00% 15% 5,000,000 Daily 0.7 1.4 8.1 0.1 0.4 1.5 2.8 7.8 8.0 14.3 IE00B8GGKQ36 Daily Ireland BMO GAM Alban Lhonneur, Marcus Phay... Article 6 96 69 86 76 96
DNCA Invest - Miuri Dec 2011 Discretionary Europe £248m 1.00% 20% 200,000 Daily 0.2 2.5 9.8 -0.2 0.5 2.5 3.9 6.1 10.7 10.8 LU0641746143 Daily Luxembourg DNCA Finance Luxembourg Mathieu Picard, Alexis Albert Article 8 60 71 59 54 73
Exane Ceres Feb 2007 Discretionary Global £138m 1.50% 20% EONIA +1% 125,000 Weekly 1.0 5.6 13.7 0.3 1.1 5.7 10.3 10.5 18.8 16.9 LU0284634564 Weekly Luxembourg Exane Asset Management Charles-Henri Neme, Pierre ... 42 58 27 32 62
Exane Overdrive May 2013 Discretionary Global £106m 2.00% 20% 125,000 Daily 1.3 5.4 5.0 -0.5 1.2 5.5 8.7 7.9 14.3 9.6 LU0923609035 Daily Luxembourg Exane Asset Management Eric Lauri 47 33 63 67 42
Exane Pleiade May 2011 Discretionary Global £991m 1.25% 20% Daily 0.8 2.3 1.5 -0.2 0.7 2.4 4.1 3.5 5.3 3.9 LU0616900691 Daily France Exane Asset Management Eric Lauri 70 34 61 66 78
Fidelity Absolute Return Global Equity Sep 2020 Systematic Global £91m 0.80% 15% 10,000,000 Daily 1.8 3.6 10.6 0.7 2.0 3.7 7.5 14.5 23.4 31.0 LU2210152588 Daily Luxembourg Fidelity International Hiten Savani, Matt Jones Article 6 97 91 61 81 97
FP Artellium Evolution May 2021 Systematic Global £95m 1.25% 20% Yes 5,000,000 Daily 1.0 5.6 5.2 0.1 1.1 5.6 0.3 7.2 7.9 DE000A0Q95M1 Daily Germany First Private Investment Ma... No Yes Article 6 No No No
Franklin K2 ActusRay European Alpha UCITS Fund Dec 2022 Discretionary Europe £73m 1.25% 20% Yes 5,000,000 Daily 1.7 8.0 4.8 0.8 2.5 8.0 6.8 9.8 LU2511867744 Daily Luxembourg K2 Advisors Andrew Alexander Yes No Article 6 No N/A N/A
Fulcrum Thematic Equity Market Neutral Aug 2020 Discretionary Global £371m 0.75% 15% No 50,000,000 Daily 1.4 13.1 -0.8 1.0 1.9 13.1 13.4 14.3 3.6 8.8 LU2164661527 Daily Luxembourg Fulcrum Asset Management LLP Fawaz Chaudhry Yes Yes Article 6 No N/A N/A 16 6 85 59 15
GMO Equity Dislocation Investment Fund May 2021 Systematic Global £1.2b 0.35% 20% Yes 1,000,000 Daily 1.5 2.7 3.9 0.4 1.2 2.6 1.5 8.0 11.4 IE00BF199475 Daily Ireland Grantham, Mayo, Van Otterlo... Ben Inker, Simon Harris Yes Yes Article 6 Yes Yes N/A
HI European Market Neutral Fund Oct 2012 Discretionary Europe £33m 1.50% 20% 500,000 Daily -0.6 1.3 2.5 -0.6 -0.6 1.0 2.6 5.3 5.2 9.3 IE00B83N7116 Daily Ireland Hedge Invest SGR p.A. Paul Marriage Article 6 78 44 90 78 93
InRIS Perdurance Market Neutral Oct 2017 Discretionary Global £10m 1.00% 20% None 500,000 Daily 0.7 3.6 -0.2 0.5 1.6 3.3 -1.5 -0.6 -1.4 -2.0 IE00BZ60LC73 Daily Ireland Perdurance Asset Management Ivan Briery 38 19 83 83 22
JPM Europe Equity Absolute Alpha Dec 2013 Discretionary Europe £517m 0.75% 15% Daily 2.5 8.4 3.0 0.5 3.5 8.3 7.3 11.6 16.1 32.1 LU1001748398 Daily Luxembourg J.P.Morgan Asset Management Nicholas Horne, Ben Stapley... Article 8 90 92 66 93 87
Jupiter Merian Global Equity Absolute Return Fund Jun 2009 Systematic Global £1.5b 0.75% 20% Yes 1,000,000 Daily 0.3 3.4 9.3 0.3 0.7 2.8 5.5 11.4 20.8 33.1 IE00BLP5S809 Daily Ireland Jupiter Investment Manageme... Ian Heslop, Amadeo Alentorn... Yes No Article 6 No N/A N/A 93 97 98 90 96
KLS Scopia Market Neutral Equity Aug 2023 Discretionary US £39m 1.50% 20% Yes 1,000,000 Daily 0.7 3.9 -0.1 0.1 4.4 7.9 IE0001IUURY9 Daily Ireland Scopia Capital Management LP Matt Sirovich, Jeremy Mindi... Yes Yes Article 8 Yes Yes N/A
LandseerAM European Equity Focus Long/Short Fund Oct 2020 Discretionary Europe £365m 1.00% 20% Yes 1,000,000 Daily 2.0 2.0 2.0 0.7 2.0 2.2 2.3 4.2 5.2 9.5 LU2214765658 Daily Luxembourg Landseer Asset Management (... Andy Billett, Roger Guy, Pa... Yes Yes Article 8 Yes No Yes 99 66 97 78 97
LGT Sustainable Equity Market Neutral Sep 2017 Discretionary Global £71m 0.80% 0% No 1,000,000 Daily -1.3 -5.2 -3.3 -1.1 -2.4 -4.5 -3.2 -9.4 -6.0 -12.2 IE00BF1D8J71 Daily Ireland LGT Capital Partners LGT Capital Partners Yes Yes Article 8 Yes Yes Yes 11 12 81 63 35
LO Funds - TerreNeuve Sep 2018 Discretionary Global £61m 1.50% 20% 1,000,000 Weekly -0.2 -5.1 -15.7 0.4 -0.2 -5.0 -7.2 -16.3 -18.7 -21.0 LU1858041194 Weekly Luxembourg Lombard Odier Investment Ma... Arnaud Langlois Yes Yes Article 8 Yes Yes N/A 31 4 76 54 9
Lumyna - MW Systematic Alpha UCITS Fund Jul 2015 Systematic Global £713m 1.00% 20% 5,000,000 Daily 0.1 0.0 -1.6 0.1 -0.2 0.5 2.6 2.3 -1.4 LU2367654154 Daily Ireland Marshall Wace LLP Anthony Clake, Alan Hofmeyr 48 55 73 88 42
Lumyna - MW TOPS Environmental Focus (Market Neutral) UCITS Fund Jul 2020 Systematic Global £1.2b 1.00% 20% 5,000,000 Weekly 1.3 0.9 7.7 0.9 0.9 1.5 6.0 8.1 13.5 LU2367661019 Weekly Ireland Marshall Wace LLP Anthony Clake Article 8 89 88 93 68 85
Lumyna - MW TOPS (Market Neutral) UCITS Fund Nov 2007 Systematic Global £1.5b 1.50% 20% No 1,000,000 Daily 0.9 1.0 3.8 0.2 0.6 1.1 3.5 4.2 9.8 LU2367665861 Daily Luxembourg Marshall Wace LLP Anthony Clake Yes Yes Article 6 No Yes Yes 96 91 93 87 93
Lumyna - Sandbar Global Equity Market Neutral UCITS Oct 2019 Discretionary Global £306m 1.40% 20% No 1,000,000 Daily 0.3 0.9 0.5 0.0 0.7 1.1 1.5 0.0 -11.5 -9.9 LU2061570466 Daily Luxembourg Sandbar Asset Management (SAM) Michael Cowley Yes Yes Article 8 Yes Yes Yes 8 5 73 54 12
Man GLG Alpha Select Alternative Feb 2010 Discretionary UK £1.7b 0.75% 20% Yes 1,000,000 Daily 0.3 1.7 10.2 -0.2 0.7 1.9 4.6 9.2 14.5 28.1 IE00B60S2G54 Daily Ireland Man Group Plc Charles Long, Nick Judge Yes Yes Article 6 No N/A N/A 100 90 71 85 95
Man GLG Asia Pacific (ex Japan) Equity Alternative Dec 2020 Discretionary Asia £91m 1.00% 20% No 1,000,000 Daily 1.4 3.5 -2.5 0.9 1.9 3.9 2.9 -0.1 7.1 9.5 IE00BN15T637 Daily Ireland Man Group Plc Andrew Swan Yes Yes Article 8 Yes N/A N/A 58 51 81 89 86
Man GLG European Equity Alternative Jul 2011 Discretionary Europe £83m 2.00% 20% Yes 1,000,000 Daily 0.4 3.1 -2.5 0.1 0.2 3.3 2.3 1.2 1.3 1.2 IE00B5591813 Daily Ireland Man Group Plc Edward Cole, Ikitsa Anastasov Yes Yes Article 6 No N/A N/A 34 20 79 76 45
Marble Bar - Chelodina UCITS Nov 2019 Discretionary Global £66m 1.50% 20% 5,000,000 Daily 0.7 -1.9 0.3 0.9 0.6 -1.7 3.8 2.9 IE00BFMZN539 Daily Ireland Marble Bar MBAM 66 36 77 80 87
Nanjia Capital ICAV - CYRUS Nov 2021 Systematic Asia £15m 1.50% 20% 1,000,000 Weekly 0.2 0.6 1.2 0.2 0.4 0.7 2.6 0.4 4.0 IE00BMQ8YW11 Weekly Ireland WaterValley Capital Managem... WaterValley Capital Management
Nordea 1 - Global Equity Market Neutral Fund Jun 2020 Discretionary Global £33m 1.00% 15% 75,000 Daily -0.1 -0.1 0.0 -0.2 2.6 0.7 3.7 1.1 -0.3 LU2166349774 Daily Luxembourg Nordea Jakob Nordestedt Article 8 68 42 98 79 82
Ossiam ESG Opportunity Oct 2022 Systematic Global £9m 0.50% 0% No 1,000,000 Daily 0.0 IE000NGJAI70 Daily Ireland Ossiam Yes Yes Article 8 Yes N/A Yes
Pictet Agora Jul 2014 Discretionary Europe £185m 1.10% 20% Yes 1,000,000 Weekly 0.4 1.0 1.3 0.3 0.5 1.1 2.4 -1.6 4.4 -5.1 LU1071463266 Weekly Luxembourg Pictet Funds (Europe) S.A. Vincent Ljaouane, Julian Al... Yes Yes Article 6 Yes Yes Yes 52 16 96 71 37
Portland Hill Fund SICAV - ESG European Long/Short Dec 2018 Discretionary Europe £3m 1.50% 20% No 1,000,000 Weekly -0.4 4.4 4.8 -0.4 -2.5 0.1 1.9 1.7 -2.5 7.8 LU1842610906 Weekly Luxembourg Other Thierry Lucas No Yes Article 8 Yes Yes Yes 35 54 30 28 39
Protea UCITS II ECO Advisors ESG Absolute Return Jul 2019 Discretionary Global £84m 0.60% 0% No 3,000,000 Daily -2.3 -6.4 -1.7 -3.2 -6.7 -5.1 -3.6 -3.9 LU2002381171 Daily Luxembourg Ethical Capital Opportunity... Josh Gennet, Tristan Elwell Yes Yes Article 8 Yes Yes Yes 77 22 87 49 48
RAM (LUX) Systematic Funds Long/Short European Equities Dec 2011 Systematic Europe £119m 1.50% 15% No 1,000,000 Daily 0.5 8.7 -3.4 0.2 1.3 8.6 6.6 6.0 2.2 17.5 LU0705071701 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 41 73 90 82 65
RAM (LUX) Systematic Funds Long/Short Global Equities Dec 2016 Systematic Global £16m 1.50% 15% No 1,000,000 Daily -0.1 2.2 -0.5 -0.2 0.6 2.5 1.7 3.3 -2.4 5.5 LU1520759363 Daily Luxembourg RAM Active Investments Emmanuel Hauptmann, Nicolas... Yes Yes Article 8 Yes Yes N/A 50 81 100 84 73
S14 Absolute Return Feb 2022 Discretionary Global £8m 1.25% 20% Yes 250,000 Daily 0.0 FR0014004I24 Daily France S14 Capital No No Article 6 No No N/A
Seven Fortress Fund Jul 2016 Systematic Global £2m 1.00% 10% EONIA 100,000 Daily 1.9 2.4 9.2 0.5 1.8 1.6 9.7 13.2 4.0 -6.3 LU1388503580 Daily Luxembourg Seven Capital Management Seven Capital Management 12 8 16 10 9
TM Tellworth UK Select Dec 2014 Discretionary UK £162m 0.50% 10% Yes 5,000,000 Daily -0.3 2.5 6.9 -0.6 -0.4 2.5 4.8 10.7 16.7 28.9 GB00BTC2N411 Daily UK Tellworth Investments John Warren 95 93 86 86 97
Trium Avala Dynamic Equity Fund Jun 2022 Systematic Global £18m 1.00% 15% Yes 1,000 Daily 2.9 5.1 2.5 0.9 3.1 5.2 3.0 5.7 IE0000UA16W8 Daily Ireland Trium Capital Dan Jelicic & Adrian Luck Yes Yes Article 6 No N/A No
Trium Climate Impact Fund Oct 2022 Discretionary Europe £39m 0.50% 10% Yes 1,000 Daily 0.9 0.7 -7.8 0.1 1.2 0.8 1.5 -3.6 IE000J6OJ9C5 Daily Ireland Trium Capital Joe Mares & Tom Ayres Yes Yes Article 9 Yes Yes N/A
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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.