Winton Diversified Fund (UCITS)

Winton’s Multi-Strategy primarily aims to maintain a highly diversified portfolio of quantitative investment strategies, representing the most comprehensive showcase of Winton’s research and systematic investment management capabilities. Designed to deliver attractive risk-adjusted returns, the strategy leverages a range of quantitative approaches to build multi-strategy portfolios that are dynamically risk-managed and diversified across hundreds of macro exposures as well as thousands of equity and credit instruments, with the UCITS product having a reduced credit exposure compared to its offshore counterpart. While the Winton Diversified Fund (UCITS) has been run since mid-2017, it is built off the pedigree of the longer running offshore version and to note, the strategy has undergone a number of changes in recent years. Importantly since 2020 the fund has included macro and equity alpha strategies while more recently CDS and commodity swaps have been added to the alternative markets universe. The offshore has seen the addition of an alpha capture strategy but this is not included in the UCITS. Despite UCITS constraints, the two funds share 90% of the same models and risk allocated across the two is approximately 85% the same. Through the evaluation of various factors such as expected strategy performance, market conditions, how strategies correlate with each other, their capacity, and an extensive range of risk measures, Winton determine the strategy allocations which currently stand at: Trend Following at 25-35%, Systematic Macro at 20-30%, Alpha Capture at 15-25%, Equity Risk Premia at 10-20%, and Systematic Proprietary at 5-15%. Capacity is a moving target given that it is dependent on a number of factors which change through time. Winton aims to maintain a balanced allocation across all signal clusters, including those, such as alternative markets and alpha capture which have capacity constraints, This results in an estimated capacity of the strategy of approximately $6 billion.