Alma Systematic Alpha
Alma Systematic Alpha aims to generate absolute returns and provide valuable diversification across a range of market environments. The fund is designed to be a cornerstone CTA allocation, exhibiting low long-term correlation to traditional assets.
The fund’s management is delegated to Winton Capital Management.
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
The Investment Strategy is a systematic strategy based on the Winton Diversified Macro Strategy and adapted to comply with UCITS. The fund invests in over 140 liquid futures and FX markets across fixed income, equity indices, FX, rates and commodities.
The fund’s offering is the product of 25 years of research and development. The fund combines a core trend following allocation with diversifying signals to trade major markets and is largely uncorrelated to traditional asset classes like equities and bonds.
Winton Capital Management is a global investment manager founded in 1997 by David Harding specialising in systematic trading thourgh scientific research and statistical analysis techniques to develop proprietary trading systems for the international asset markets.
Winton have sought to create an investment edge over the past quarter century through a focus on quantitative investment research and strategy development.
Founder & CEO
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.
Simon leads the development of Winton’s investment strategies and is responsible for the firm’s bespoke products. Previously, Simon was Winton’s Futures Strategy Manager, responsible for all futures trading systems. Since joining Winton in 2008, he has worked on projects including the design of several commodity and equity systems. Simon has a first-class honours degree from Oxford University, as well as a PhD in physics from Columbia University, where his thesis focused on string theory and cosmology.
Carsten leads the development of Winton’s investment strategies and is responsible for the firm’s PM Platform initiative. Prior to this, Carsten oversaw the management of Winton’s research division. Carsten joined Winton in 2008, after earning a Diploma with distinction from RWTH Aachen in Germany and a PhD with distinction 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.
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 31/10/2023
The fund was up in October, alongside declines in global equity, bond, and commodity indices. Profits accrued in currencies and stock indices, with losses concentrated in energies and precious metals.
Currencies were the top contributor to performance, with trend following and diversifying signals making money. Short positioning in the Japanese yen accounted for the lion’s share of these gains as the Bank of Japan made only minor changes to its yield curve control policy. The yen is now nearing multi-decade lows versus the US dollar. Elsewhere, short positioning in stock indices was profitable with the Russell 2000 leading the gains, outpacing losses from long exposure to the TOPIX.
Energies pared performance in the month after a reversal in previous trends – up for oil and oil products and down for natural gas – led to losses. A sharp reversal in gold prices was another detractor of note, with both trend following and carry losing money.
Facts & Documents
Fund Domicile: Luxembourg
Fund Type: UCITS SICAV
Fund Launch: 30 June 2010
Base Currency: USD
Depositary, Administrator, Transfert Agent: CACEIS 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:
Luxembourg, Austria, Germany, France, UK, Italy, Switzerland, Singapore, Belgium, Denmark, Ireland, Netherlands, Norway, Spain, Sweden
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
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