Alma Systematic Alpha
Cumulative Performance (%)
Fund Inception 30 June 2010
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
Alma Platinum IV Systematic Alpha (the “Fund”) is an open-ended UCITS compliant fund with Winton Capital Management Ltd (“Winton”) acting as Portfolio Manager. The Investment Strategy is a systematic strategy based on the Winton Diversified Macro Strategy as adapted to comply with UCITS. The underlying investment philosophy is grounded in the belief that the scientific method can be profitably applied to the field of investing. The Investment Strategy is a computer-based trading system owned and operated by Winton which is designed to speculatively trade global exchange-traded futures, forwards and options markets on commodities (e.g. energies, base and precious metals and crops), equity indices, bonds, short-term interest rates and currencies. The Fund invests directly in (1) financial futures (including bonds, FX, equity, interest rates), FX forwards and other OTC derivatives (the “Direct Investments”), (2) transferable securities providing exposure to a basket of commodity futures (the “Commodity Basket”), and (3) sovereign bonds, cash or other cash equivalent securities for cash management purposes. Winton has been appointed as Portfolio Manager of the Fund and is responsible for managing the Direct Investments. Winton is also responsible for determining the composition of the Commodity Basket that is referenced by the transferable securities purchased by the Fund. State Street Global Advisors, as the Investment Manager of the Fund, is responsible for the allocation of cash to support the margin and settlement obligations in relation to the Direct Investments as well as the buying and selling of the transferable securities and for managing the surplus cash.
Winton is a global investment manager founded in 1997 specialising in systematic trading through scientific research and statistical analysis
techniques to develop proprietary trading systems (for the international asset markets.
Winton pursues a diversified trading strategy which does not necessarily rely on favourable conditions in any particular market or on general appreciation of asset values. The research focused company is led by scientist David Harding (with a 25 year track record) and a team of 86 researchers.
Founder , CEO & Co- CIO
David has been at the forefront of systematic investment management for 30 years. He has founded two successful investment management companies: the first, AHL, was sold to Man Group in 1994; he launched the second, Winton, in 1997. A graduate of Cambridge University, David received a first-class Honours degree in natural sciences, specialising in theoretical physics. He founded Winton on the continuing belief that there exist long-term rewards for scientific research into financial markets.
Jonathan is jointly responsible for Winton’s investment management activities and is a member of Winton’s Investment Board. Jonathan was previously Chief Risk Officer and before that Head of Investment Systems and Assistant Chief Investment Officer. He has led several key research projects and was integral to the development of Winton’s successful China business.
Jonathan joined Winton in 2004, as a software developer, moving into the Research division in 2006 after completing a Master’s degree in machine learning at University College London. He holds a BEng in information systems engineering from Imperial College.
Head of Research
Carsten is responsible for the management of Winton’s quantitative research division. He chairs Winton’s Research Management Board and is a member of Winton’s Investment Board.
Prior to assuming his current role, Carsten oversaw the management and development of Winton’s investment strategy, having previously led the firm’s research in Zurich. Carsten joined Winton in 2008 as a senior scientist, after earning a Diploma in physics with distinction from RWTH Aachen in Germany and a PhD with distinction in particle physics from the University of Zurich. For his PhD and postdoctoral position, Carsten worked at the DESY collider facility in Hamburg, analysing data from high-energy particle collisions.
Deputy Chief Investment Officer
Dan works closely with the Co-CIOs and leads the oversight and development of Winton’s quantitative long-short and long-only equity strategies. Since joining Winton in 2005, Dan has been central to Winton’s research into single-stock equities and is responsible for leading the development of many of the signals that form the basis of the firm’s equity systems. Prior to joining Winton, Dan was reading for a Doctorate in applied statistics at the University of Oxford, specialising in geological fault detection in digital elevation maps. Dan holds first-class degrees in applied statistics from the University of Oxford and mathematical statistics & operational research from the University of Exeter.
Statistics & Commentary
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Sector Breakdown as a % of AUM
as a % of AUM
as a % of AUM
as a % of AUM
Investment Manager's Commentaryas of 30/06/2020
Market Review and Outlook
Technology stocks led global equities higher for the third consecutive month, with the Nasdaq climbing to a record high in June. The market sentiment outside of equities was also “risk-on”, with rallies in energies, base metals and emerging market currencies. WTI crude neared US$40 a barrel for the first time since March, while copper prices have now recovered most of their year-to-date losses. Elsewhere, gold rose past US$1,750 an ounce for the first time since 2012 and fixed income markets mostly gained.
The fund’s negative performance during the month was driven largely by its defensive positioning, with net short metals and energies positions leading the losses. Long overall exposure to the US dollar weighed on performance within currencies, particularly short Australian dollar and euro positions. Further losses accrued from net short positioning in agricultural commodities and stock indices, although the fund made money in select markets, such as wheat, hogs and the CAC 40. Long fixed income positions proved more favourable during the month, with profits accruing from European interest rates and Italian BTPs.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 30 June 2010
Base Currency: USD
Depositary, Administrator, Transfert Agent: RBC Investor Services Bank S.A.
Dealing: Each day with a 1-day notice
Cut-off time: 3 pm CET
Management Company: Alma Capital Investment Management
Investment Manager: Winton Capital Management Ltd
Countries where the fund is registered:
Austria, Belgium, Denmark, France, Germany, Ireland, Italy, Luxembourg, Netherlands, Norway, Spain, Singapore, Sweden, Switzerland, United Kingdom
ISIN: LU0627756538 Ticker: DBSI1CC LX Launch: 8 Jun 2011
ISIN: LU0462954396 Ticker: DBSI1CE LX Launch: 30 Jun 2011
ISIN: LU0462954552 Ticker: DBSI1CG LX Launch: 10 Nov 2011
ISIN: LU0562752823 Ticker: DBPI1CS LX Launch: 17 Oct 2018
ISIN: LU0562752823 Ticker: DBPI1CS LX Launch: 17 Oct 2018
ISIN: LU0462954479 Ticker: DBSI1CU LX Launch: 30 Jun 2010
ISIN: LU1106524371 Ticker: DBSI1DG LX Launch: 24 Sep 2014
ISIN: LU1106524454 Ticker: DBSI1DU LX Launch: 18 Jul 2018
ISIN: LU1125015500 Ticker: DBPI5CE LX Launch: 31 Oct 2014
ISIN: LU1394176827 Ticker: DBSI5CG LX Launch: 30 Jun 2016
ISIN: LU1125015336 Ticker: DBPI5CU LX Launch: 31 Oct 2014
ISIN: LU1266813309 Ticker: DBPSI5D LX Launch: 26 Aug 2015
ISIN: LU0871989108 Ticker: DBSROCE LX Launch: 30 Oct 2013
ISIN: LU0871989017 Ticker: DBSROCG LX Launch: 17 Sep 2014
ISIN: LU0871988985 Ticker: DBPR0CU LX Launch: 10 Jun 2015
ISIN: LU0559381560 Ticker: DBSR1CA LX Launch: 9 Feb 2011
ISIN: LU0627757692 Ticker: DBSR1CC LX Launch: 8 Jun 2011
ISIN: LU0462954800 Ticker: DBSRICE LX Launch: 14 Jul 2010
ISIN: LU0462955013 Ticker: DBSR1CG LX Launch: 22 Dec 2010
ISIN: LU0935837368 Ticker: DBSR1CN LX Launch: 19 Jun 2013
ISIN: LU0562753474 Ticker: DBSR1CS LX Launch: 8 Jun 2011
ISIN: LU0462954982 Ticker: DBSRICU LX Launch: 14 Jul 2010
ISIN: LU1125015252 Ticker: DBPR5CG LX Launch: 31 Oct 2014
ISIN: LU1125015096 Ticker: DBPR5CU LX Launch: 31 Oct 2014
ISIN: LU1306442010 Ticker: DBPR6CG LX Launch: 4 Nov 2015
ISIN: LU1125015922 Ticker: DBPR6CE LX Launch: 31 Oct 2014
ISIN: LU1125015849 Ticker: DBPR6CG LX Launch: 31 Oct 2014
ISIN: LU1125015682 Ticker: DBPR6CU LX Launch: 31 Oct 2014
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