Winton Trend Fund

Investment Objective

The investment objective of the fund is to achieve long-term capital appreciation through compound growth. The fund seeks to achieve its investment objective by pursuing a trend following strategy, which has been developed and is implemented by the investment manager

Latest Meeting Note

Meeting 11 Feb 2021

Winton Capital is a research-led, quantitative investment manager, founded by David Harding in 1997. The firm aims to identify profitable systematic strategies using statistical analysis and then invests long and short across futures, fo... Read more

Winton Capital is a research-led, quantitative investment manager, founded by David Harding in 1997. The firm aims to identify profitable systematic strategies using statistical analysis and then invests long and short across futures, forwards, equities, swaps and bonds. The Winton Trend Strategy is the purest trend following offering within the Winton stable, launched in 2018 the strategy manages c. $375m with the bulk in managed accounts. The strategy itself is designed to profit from autocorrelation in market returns and follows trends in more than 80 futures markets, across equity indices, fixed income, commodities and currencies. At all times, the fund will have either a long or short position across all 80 markets and depending on the daily return and risk signals, these positions will be altered in line with the calculated target position. Further, the strategy is purely directional and does not contain a mean reversion element. In contrast to the trend-following component of the Winton Multi-Strategy fund, the Trend strategy runs with faster signals, making it more responsive to market reversals. On average the level of leverage is lower than a typical trend-follower and emphasis is placed on gearing the portfolio to an average forecast volatility of 10-12%. The institutional class runs with a flat fee structure of 80bps with c. $30m of assets under management.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2020 0.9 1.0 0.3 0.9 0.5 0.9 0.0 0.6 0.1 0.0 0.9 0.4 0.8
2019 0.8 0.8 0.7 0.4 0.8 0.6 0.1 1.0 0.9 0.9 0.6 0.3 0.7

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