Winton Alma Diversified Macro Fund
Overview
Winton Alma Diversified Macro Fund 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.
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
Fund Strategy
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.
Investment Manager
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.
Key Persons
David Harding
Founder & Executive Chair
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 30/08/2024Fund
The fund declined in a difficult month for trend-following CTAs due to sharp reversals in equity indices and the Japanese yen.
Losses were mitigated due to the fund starting the month towards the bottom of its volatility range, with long equity and short yen positions constrained by the strategy’s risk management framework. Other parts of the portfolio also offered valuable diversification. The core trend-following strategy made money from long pound, gold and coffee positions and shorts in the soy complex, while the non-trend component profited from fundamental models and mean reversion.
Facts & Documents
Facts
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
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-U
ISIN: LU0462954479
Ticker: DBSI1CU LX
Launch: 30 Jun 2010
I1D-G
ISIN: LU1106524371
Ticker: DBSI1DG LX
Launch: 24 Sep 2014
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-U
ISIN: LU1125015096
Ticker: DBPR5CU LX
Launch: 31 Oct 2014
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
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