The Fund aims to generate long-term total returns by investing in exchange-traded futures contracts and exchange-traded forward contracts providing exposure to underlying investments such as share indices, bonds, interest rates, currencies and commodities. The Fund will also hold cash and cash equivalents. Winton’s investment strategy is largely systematic and uses statistical techniques to find patterns and relationships in data to identify investment opportunities. Some examples of the patterns and relationships found may include signals such as trend following and other empirical effects, such as seasonality in weather patterns. The Fund uses these patterns and relationships found in data sets to take long and short positions in futures markets.
• The Fund returned 3.13%, net of fees, in September 2023, with positive performance owing to both diversifying signals and trend following in another down month for global equities US dollar terms.
• The top contributors to performance were markets and sectors where positioning across trend following and diversifying signals were aligned. These included shorts in fixed income, US natural gas, European power and the Japanese yen, along with long exposure to rallying oil and oil product markets. Further profits accrued from precious metals, where downtrends are gaining momentum and carry models are maintain a longstanding short position.
• Stock indices tempered performance, as the upward momentum in global equities from the first half of the year faded. The strategy is now net short across the sector.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
What is Winton Global Alpha Winton Global Alpha is an Managed Funds investment product that is benchmarked against SC CTA Trend Index and sits inside the Alternatives - Trend Index. Think of a benchmark as a standard where investment performance can be measured. Typically, market indices like the ASX200 and market-segment stock indexes are used for this purpose. The Winton Global Alpha has Assets Under Management of 742.92 M with a management fee of 1.78%, a performance fee of 0.00% and a buy/sell spread fee of 0%.
How has the investment product performed recently?
The recent investment performance of the investment product shows that the Winton Global Alpha has returned -1.67% in the last month. The previous three years have returned 13.33% annualised and 8.63% each year since inception, which is when the Winton Global Alpha first started.
How is risk measured in this investment product?
There are many ways that the risk of an investment product can be measured, and each measurement provides a different insight into the risk present. They can be used on their own or together to perform a risk assessment before investing, but when comparing investments, it is common to compare like for like risk measurements to determine which investment holds the most risk. Since Winton Global Alpha first started, the Sharpe ratio is 0.44 with an annualised volatility of 8.63%. The maximum drawdown of the investment product in the last 12 months is -3.8% and -25.84% since inception. The maximum drawdown is defined as the high-to-low decline of an investment during a particular time period.
What is the relative performance of the investment product?
Relative performance is what an asset achieves over a period of time compared to similar investments or its peers. Relative return is a measure of the asset's performance compared to the return to the other investment. The Winton Global Alpha has a 12-month excess return when compared to the Alternatives - Trend Index of 8.1% and -0.26% since inception.
Does the investment product produce Alpha over its Peers?
Alpha is an investing term used to measure an investment's outperformance relative to a market benchmark or peer investment. Alpha describes the excess return generated when compared to peer investment. Winton Global Alpha has produced Alpha over the Alternatives - Trend Index of 0.58% in the last 12 months and 0.09% since inception.
What are similar investment products?
For a full list of investment products in the Alternatives - Trend Index category, you can click here for the Peer Investment Report.
What level of diversification will Winton Global Alpha provide?
Winton Global Alpha has a correlation coefficient of 0.86 and a beta of 0.72 when compared to the Alternatives - Trend Index. Correlation measures how similarly two investments move in relation to one another. This establishes a 'correlation coefficient', which has a value between -1.0 and +1.0. A 100% correlation between two investments means that the correlation coefficient is +1. Beta in investments measures how much the price moves relative to the broader market over a period of time. If the investment moves more than the broader market, it has a beta above 1.0. If it moves less than the broader market, then the beta is less than 1.0. Investments with a high beta tend to carry more risk but have the potential to deliver higher returns.
How do I compare the investment product with its peers?
For a full quantitative report on Winton Global Alpha and its peer investments, you can click here for the Peer Investment Report.
How do I compare the Winton Global Alpha with the SC CTA Trend Index?
For a full quantitative report on Winton Global Alpha compared to the SC CTA Trend Index, you can click here.
Can I sort and compare the Winton Global Alpha to do my own analysis?
To sort and compare the Winton Global Alpha financial metrics, please refer to the table above.
Has the Winton Global Alpha been independently verified by SMSF Mate?
This investment product is in the process of being independently verified by SMSF Mate. Once we have verified the investment product, you will be able to find more information here.
How can I invest in Winton Global Alpha?
How do I get in contact with the Winton Global Alpha?
Comments from SMSF Mates
SMSF Mate does not receive commissions or kickbacks from the Winton Global Alpha. All data and commentary for this fund is provided free of charge for our readers general information.
Performance Commentary - August 31, 2023 • The Fund returned 2.44%, net of fees, in August 2023, with positive performance owing to both diversifying signals and trend following in a down month for global equities and bonds in US dollar terms.
• Agricultural commodities were the top contributor to performance. Trend following and mean reversion generated profits, with both systems benefiting from long exposure to cocoa as prices trended higher on supply concerns. The Japanese yen hit a year-to-date low against the US dollar, with the Fund’s short positioning from trend following and carry profiting from the continued downtrend. Short exposure to the Australian dollar and Chinese yuan were also profitable as inflation concerns eased in Australia and concerns around a weak economic rebound in China grew.
• Long positioning in stock indices tempered performance following a reversal in this year’s equity uptrends. US markets were the largest detractors, with the S&P and Dow Jones leading the losses in the sector.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - July 31, 2023 • The Fund returned -1.01%, net of fees, in July 2023, giving back some of its year-to-date profits alongside a rebound in global equities, commodities and non-US dollar currencies.
• Alternative market trend following contributed positively to performance, due to short exposure to the European energy complex and long credit index positions. Further profits accrued from long positions in gasoline and soft commodities, such as cocoa and sugar. These gains were, however, insufficient to offset losses from currencies and metals. Downtrends in the Japanese yen and Chinese yuan versus the US dollar both took a breather during the month, while price action continued to whipsaw the Fund’s metals positioning.
• David Harding has become the Executive Chair of Winton Group Limited, effective 1 August 2023. Previously Winton’s Chief Executive Officer, David’s new title reflects his day-to-day focus on investment research and his delegation of other CEO responsibilities to Winton’s wider Executive Management team.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - June 30, 2023 • The Fund returned 2.07%, net of fees, in June 2023, with trend following and diversifying systematic macro signals both contributing to positive performance, driven in particular by the Fund’s financials exposures.
• Currencies were the top contributor to performance across the Fund’s trend-following and systematic macro signals, as both were positioned on the right side of the Japanese yen, British pound and Chinese yuan. It was a similar story in fixed income, with slower trend-following models having maintained short positions and carry systems benefiting from markets pricing in interest rates peaking later and at a higher level than previously anticipated. Trend following generated further profits in equity and credit indices.
• Cattle markets were a bright spot in commodities as long positioning from trend following and fundamental systems benefited from supply-side pressures in the United States.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - May 31, 2023 The Fund returned 3.35%, net of fees, in April 2023, with both trend-following and systematic macro strategy clusters achieving positive returns. Profits in agriculture, currencies and stock indices outpaced losses in fixed income.
• Agricultural commodities led the gains for the portfolio with both trend-following and systematic macro strategies profiting. Both strategy clusters were on the right side of uptrends in sugar and cocoa and downtrends in wheat and hogs. Currencies were another contributor of note, a longstanding short position in the Japanese yen was profitable as the Bank of Japan maintained its dovish stance. Trend following drove gains in stock indices, with long exposure profiting as markets rebounded.
• Short positioning in fixed income pared performance in April as global bond yields fell. US 10-year treasury yields reached a sevenmonth low early in the month, with labour market data being weaker than expected.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - February 28, 2023 The Fund returned 4.39%, net of fees, in February 2023, with the Fund’s systematic macro strategy the primary driver of strong performance, augmenting gains from the core trend-following strategy.
Global fixed income markets resumed downtrends from last year amid persistent inflation data. This benefited a number of the Fund’s trading systems with trend following, carry and seasonal systems all making money in the sector. European and US short-term interest rates were among the largest contributors.
Carry was the best-performing system, with profits in currencies, fixed income and precious metals. While trend following has started to turn long in currencies and precious metals, carry remained short in the two sectors, providing valuable diversification. Trend following profits were concentrated in fixed income, with smaller gains in agriculture and equity indices, as equity markets retreated in February.
The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - December 31, 2022 • The Fund returned -0.39%, net of fees, in December 2022. Profits from short fixed income positions and long agricultural commodity positions during the month were cancelled out by losses in currencies and stock indices.
• Short fixed income positions were the top contributor to performance in the Fund’s trend-following strategy, with European exposures leading the gains, most notably Euribor and German bund futures. Trends to the upside in agricultural commodities and to the downside in natural gas were other sources of profits.
• A range of systems lost money in currencies as the downtrend in the US dollar continued to reverse, with short positions in the Japanese yen and Chinese yuan representing the top detractors from performance. The Fund’s trend-following strategy also continued to be whipsawed by stock indices, with positioning turning long ahead of a down month for global equities.
• The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
Performance Commentary - November 30, 2022 The Fund returned -5.69%, net of fees, in November 2022. Diversifying non-trend systems continued to provide valuable diversification for the core trend following systems, 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 Fund responded to the trend reversals by reducing positions across the board and turning net long in stock indices and base metals.
Non-trend systems 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.
The Fund seeks to deliver long-term returns which have a low correlation to traditional investments, such as equities and bonds, as a diversifying allocation within investor portfolios.
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