Alma Systematic Alpha
Overview
Share Class
NAV
Cumulative Performance (%)
Fund Inception 30 June 2010
| Daily | Monthly | Ytd | 1Yr | 3Yr | 5Yr | Incept. | Incept.Date |
|---|
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
Funds Strategy
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.
Investment Manager
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.
Key Persons
David Harding
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 Judes
Co- CIO
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 Schmitz
Co- CIO
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
Performance
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.
Investment Manager's Commentary
as of 30/11/2022Fund
The diversifying systematic macro strategy continued to provide valuable diversification for the core trend following strategy, as steady trends across multiple sectors came to an abrupt halt during November.
The sectors where the momentum had been strongest – namely, currencies and fixed income – were the largest detractors. The Japanese yen recovered from a 32-year low against the US dollar to represent the top individual detractor, yet the currency remains the top contributor to performance year-to-date. Short positioning in stock indices and metals also struggled as concerns around slowing global economic growth eased. The strategy responded to the trend reversals by reducing positions across the board and turning net long in stock indices and base metals.
The systematic macro strategy helped mitigate losses in agriculture, fixed income and metals, turning around in these sectors ahead of trend reversals. Long-term commodity mean reversion and seasonal systems were the most notable performers.
Facts & Documents
Facts
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
Sustainability-related disclosures:
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.
Identifiers:
I1C-C
ISIN: LU0627756538
Ticker: DBSI1CC LX
Launch: 8 Jun 2011
I1C-E
ISIN: LU0462954396
Ticker: DBSI1CE LX
Launch: 30 Jun 2011
I1C-G
ISIN: LU0462954552
Ticker: DBSI1CG LX
Launch: 10 Nov 2011
I1C-N
ISIN: LU0562752823
Ticker: DBPI1CS LX
Launch: 17 Oct 2018
I1C-S
ISIN: LU0562752823
Ticker: DBPI1CS LX
Launch: 17 Oct 2018
I1C-U
ISIN: LU0462954479
Ticker: DBSI1CU LX
Launch: 30 Jun 2010
I1D-G
ISIN: LU1106524371
Ticker: DBSI1DG LX
Launch: 24 Sep 2014
I5C-E
ISIN: LU1125015500
Ticker: DBPI5CE LX
Launch: 31 Oct 2014
I5C-G
ISIN: LU1394176827
Ticker: DBSI5CG LX
Launch: 30 Jun 2016
I5C-U
ISIN: LU1125015336
Ticker: DBPI5CU LX
Launch: 31 Oct 2014
I5D-G
ISIN: LU1266813309
Ticker: DBPSI5D LX
Launch: 26 Aug 2015
R0C-E
ISIN: LU0871989108
Ticker: DBSROCE LX
Launch: 30 Oct 2013
R0C-G
ISIN: LU0871989017
Ticker: DBSROCG LX
Launch: 17 Sep 2014
R0C-U
ISIN: LU0871988985
Ticker: DBPR0CU LX
Launch: 10 Jun 2015
R1C-A
ISIN: LU0559381560
Ticker: DBSR1CA LX
Launch: 9 Feb 2011
R1C-C
ISIN: LU0627757692
Ticker: DBSR1CC LX
Launch: 8 Jun 2011
R1C-E
ISIN: LU0462954800
Ticker: DBSRICE LX
Launch: 14 Jul 2010
R1C-G
ISIN: LU0462955013
Ticker: DBSR1CG LX
Launch: 22 Dec 2010
R1C-N
ISIN: LU0935837368
Ticker: DBSR1CN LX
Launch: 19 Jun 2013
R1C-S
ISIN: LU0562753474
Ticker: DBSR1CS LX
Launch: 8 Jun 2011
R1C-U
ISIN: LU0462954982
Ticker: DBSRICU LX
Launch: 14 Jul 2010
R5C-G
ISIN: LU1125015252
Ticker: DBPR5CG LX
Launch: 31 Oct 2014
R5C-U
ISIN: LU1125015096
Ticker: DBPR5CU LX
Launch: 31 Oct 2014
R6C-C
ISIN: LU1306442010
Ticker: DBPR6CG LX
Launch: 4 Nov 2015
R6C-E
ISIN: LU1125015922
Ticker: DBPR6CE LX
Launch: 31 Oct 2014
R6C-G
ISIN: LU1125015849
Ticker: DBPR6CG LX
Launch: 31 Oct 2014
R6C-U
ISIN: LU1125015682
Ticker: DBPR6CU LX
Launch: 31 Oct 2014
Documents
available upon request