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.
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 28/08/2020
Trend-following systems in commodities, stocks indices and currencies drove the fund’s positive monthly performance. Further profits accrued from other systems, notably seasonality, while carry detracted overall, due to negative performance in fixed income. Market reversals led to losses in the final week of the month, yet the fund still ended February up 3.21%.
Energies were the top contributor to performance, after the price of WTI crude oil rose past $63 a barrel for the first time since January 2020. Non-trend systems accounted for most of the profits in the sector, with long crude oil and gasoline positions leading the gains. Positive performance in stock indices, metals and agriculture was driven mostly by trend-following systems. The gains in stock indices were led by Japanese indices, which climbed to their highest levels since 1990, while copper was the top performer in metals, after prices rose to a decade high. Fixed income was the only notable detractor, with the sector weighing on returns due to long positions, particularly in short-term interest rates.
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
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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