IAM Welton Multi-Strategy Global Macro UCITS Fund

Investment Objective

Welton Multi-Strategy Global Macro UCITS Fund is a multi-strategy systematic programme, which seeks to produce annualised returns of greater than 10% over a market cycle with a volatility target of 15%. In addition to trend models, the strategy uses diversifying models to produce a different return profile. This leads to resiliently low correlations to equity and credit markets. The program outperforms in down markets, with models that give it a convex profile.

Latest Meeting Note

Meeting 23 Nov 2022

Welton Investment Partners was founded in 1988 by Dr. Patrick Welton with a focus on trading commodity futures (primarily trend strategies). Between the 2010 and 2013 the firm evolved to become a quantitative multi strategy global macro ... Read more

Welton Investment Partners was founded in 1988 by Dr. Patrick Welton with a focus on trading commodity futures (primarily trend strategies). Between the 2010 and 2013 the firm evolved to become a quantitative multi strategy global macro shop. In October 2013, the firm launched the Welton Global fund, a global macro quantitative program that combines trend and macro models to generate positive absolute returns across economic cycles with a low correlation to the broader markets. In October 2022, the team launched the UCITS version of the strategy (run pari-passu) on the IAM Platform. The fund is a multi strategy long/short trading strategy that uses a combination of three sub-strategies incorporating price, fundamental and sentiment signals. The Trend sub-strategy (40-60% of the portfolio) aims to capture longer term market trends through directional trades, long and short (6 months average horizon). Non-Trend strategies (30-50%) comprise short-term and RV trades which are diversifying to the Trend allocation and add convexity to the portfolio (0.5 to 15 days horizon). Risk-Off alpha is a protective equity strategy (5-20%) based on a proprietary market regime indicator, with trades typically implemented via outright short futures positions and/or long Vix. The firm manages $1.9bn with approximately $1.1bn in the Welton Global strategy and offices in California, New York and Paris.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2021 0.9 0.9 0.4 0.3 0.5 0.1 0.6 0.1 0.1 0.4 1.0 0.5 0.4
2020 0.4 0.5 0.9 0.4 0.9 0.9 0.2 0.5 0.9 0.2 0.1 0.5 0.4

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