Quantitative Multi-Strategy Approach
Long-term indicative risk allocations.
Inception Date
October 1997
October 1997
Key Features
Research-driven
Broadest expression of Winton’s proprietary research and investment management capabilities.
Dynamic
Trades an evolving portfolio of quantitative strategies, powered by technical and fundamental signals.
Diversified
Takes long and short positions in 120+ futures and forwards markets and 7,000+ equity/credit securities.
Past Performance
Past performance is not indicative of future results. The Winton Fund performance figures are based on The Winton Fund Limited Tranche B USD. Returns are shown net of all management fees and performance fees (from inception to 31 Aug 1998 (0.25/20%), from 01 Sep 1998 to 31 Mar 2017 (1/20%), from 01 Apr 2017 to date (0.9/16%)). Actual fees may vary depending on, among other things, the applicable fee schedule and portfolio size. The advisory fees are available upon request and are described in Part II of the adviser's Form ADV. All returns are confirmed by the Administrator, unless otherwise stated. Risk-adjusted figures relate to the same account. Volatility has been adjusted lower prior to 2009 to reflect more closely the risk levels at the time. From 2009, actual returns are used. These results are simulated and do not represent actual trading, the accompanying disclaimers on the last page should be read carefully when reviewing this data No representation is being made that any account will or is likely to achieve profits or losses similar to those being shown. MSCI World = M1WO Index; JPM US Agg. Bond Index = JGAGUSUS Index. The reference indices are selected by the Investment Manager for performance illustration and comparison purposes only. They are not formal benchmarks and do not form part of formal investment objectives or investment policy. Data as at 31 December 2019.
Related Research
The Scientific Method Applied to Investing
The aim of statistical inference, whether it is in investment strategy development or medical research is not to say what would have been most effective in the past, but to make a statement about what will hold in the future. For valid inferences, we need to avoid bias in our conclusions.
Winton's research process has been designed to manage selection bias and avoid other common quantitative investment pitfalls. Here we describe the causes of such bias and some of the tools that can help us yield valid conclusions.
TestingOur Strategy for Testing Our Strategies
We have a well-defined process for testing and screening signals that has been honed over the past two decades through a combination of trial, error, and careful thought. Our research process is designed to answer the question: does a trading strategy work? But does our research process work?
In a carefully designed experiment, 26 research-approved trading strategies were shown, on average, to have genuine forecasting skill. This is an encouraging result for both the profitability of these systems and Winton's research methods.