Winton Global Alpha Fund
Winton Capital Management Limited (Winton) is a global investment management company, based in London, who focus on statistical research in financial markets and global managed futures. Founded in 1997 by David Harding, currently Winton has over $US16.2 billion* under management.
Investment process
Winton’s philosophy is based on believing it can achieve strong long-term returns without relying on a general growth in asset values. It believes this can be done by pursuing a diversified trading strategy, targeting risk, not return.
Winton’s trading system is proprietary and complex. The key features of Winton’s approach are that it is:
- systematic and largely automated;
- based on mathematical models;
- derived through statistical research.
This means the quality of the statistical research program will ultimately drive performance over the long term. A large part of the system that Winton applies to the fund can be described as “trend following”. That is, it uses statistical research to analyse market trends and to establish trading strategies that aim to profit from each trend. Accordingly, Winton is likely to perform better in strongly trending markets and less likely to perform well in markets that constantly change direction and do not follow an identifiable trend.
The system trades daily, sometimes trading single markets several times per day.
Investments
Winton invests in futures and cash, or cash equivalents. The fund can be expected to trade in over 100 individual futures markets worldwide across the following five broad categories:
| Futures over: |
Examples of markets traded (not exhaustive) |
| Shares indices |
- S&P500 (US)
- SFE SPI 200 (Australia)
- DJ EuroStoxx
- Hang Seng (Hong Kong)
|
| Bonds |
- US Treasury 10 year and 5 year Bonds
- Australian Commonwealth 10 year and 3 year Bonds
- Japanese Government Bonds
|
| Interest Rates |
- Australian Bank Bills
- Canadian Bank Bills
- Fed Funds
|
| Currencies |
- Australian Dollar
- Brazilian Real
- British Pound
|
| Commodities (meats, grains, energies, base metals and precious metals) |
- Pork Bellies
- Coffee
- Crude Oil
- Aluminium
- Gold
|
Key benefits
The fund provides the potential for the following key benefits:
- Attractive long term returns.
- Overall diversification, when combined with exposure to other asset classes or markets such as Australian or international equities.
- Potential to generate positive returns in rising or falling markets.
Key features of the fund
| Fund name |
Winton Global Alpha Fund |
| APIR code |
MAQ0482AU |
| Responsible entity |
Macquarie Investment Management Limited |
| Investment manager |
Winton Capital Management Limited |
| Investment objective |
To generate long-term returns from a specialised managed futures strategy. |
| Investment approach |
To observe and exploit market inefficiencies by applying statistical research and advanced trading systems. |
| Asset allocation |
Exchange trade futures
Cash or cash equivalents |
| Inception date |
26 March 2007 |
| Benchmark |
Barclays CTA Index |
| No. of markets |
Trading in over 100 markets |
| Management costs |
1.88% |
| Performance fee |
20.5% (excludes cash returns) |
| Buy/sell spread |
0.12%/0.12% |
| Entry fee |
Nil |
| Exit fee |
Nil |
| Suggested minimum investment timeframe |
At least 5 years |
| Minimum investment |
- Indirect investors: refer to the operator of your service
- Direct investors: $50,000
|
| Distributions |
Semi-annual (June and December) |
* 30 September 2008
The Fund is offered by Macquarie Investment Management Limited ABN 66 002 867 003, AFSL 237492 (MIML). This information is general advice only and has been prepared without taking into account the objectives, financial situation or needs of any particular investor. Before making a decision to invest in the Fund, investors should read the Fund’s product disclosure statement (“PDS”) in full, which will be available from us, and consider, with or without their financial adviser, whether the investment fits their objectives, financial situation and needs. Applications for units in the Fund can only be made on an application form contained in the current PDS.
Investments in the Trust are not deposits with or other liabilities of Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), MIML or of any Macquarie Group company and are subject to investment risk, including possible delays in repayment and loss of income or principal invested. None of Macquarie Bank, MIML nor any other member company of the Macquarie Group guarantees any particular rate of return or the performance of the Trust nor do they guarantee the repayment of capital from the Trust.
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