September, 2023
• 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/205860457.pdfAugust, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/204370822.pdfJuly, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/203219068.pdfJune, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/202529661.pdfMay, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/200112000.pdfFebruary, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/197947064.pdfDecember, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/195721534.pdfNovember, 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/193698096.pdfOctober, 2022
The Fund returned 0.27%, net of fees, in October 2022. Diversifying non-trend systems led the Fund to a positive return, despite a small loss for trend-following systems. In particular, carry signals made money in currencies, energies and fixed income.
Currencies were the largest contributor to performance, with short carry and trend following positioning in the Japanese yen producing gains. These profits were pared by losses from short positions in rallying US equity markets, although short exposure to the Hang Seng and FTSE China A50 indices offered some valuable diversification.
An unexpectedly warm October across Europe helped to alleviate some of the price pressure in energy markets. The Fund lost money in European power markets, but profited in natural gas, having turned short last month.
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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/192628349.pdfSeptember, 2022
• The Fund returned 4.31% in September 2022. Trend following drove the Fund’s positive return in September alongside a 9.3% drop in the MSCI World in US dollar terms, rising bond yields and a strengthening US dollar. In particular, the Fund made money from short positioning across fixed income, equity and currency markets.
• Short fixed income positions were the largest contributor to performance through the month as government bonds continued their downtrend from August. Winton’s fundamental, trend-following and cross-sector signals were on the right side of the equity market weakness, with every stock index in the Fund’s investment universe falling over the month. The gains in currencies, meanwhile, were driven by short positions in the Japanese yen and euro, which both continued their descent to multi-decade lows versus the US dollar.
• Long energies exposure detracted from performance as weaker than expected demand drove prices lower. The Fund responded by scaling back its positions in this sector and ends the month broadly flat.
• 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/191770692.pdfAugust, 2022
The Fund returned 4.02% in August 2022. Trend following led the Fund’s profits across a range of major and alternative markets, making money in fixed income, currencies, energies and precious metals.
Short fixed income positions were the top contributor to performance. Government bonds resumed their downtrends amid signs that inflation is unlikely to cool soon and the Fund profited from short positions in European and US bond and interest rate futures. Short Japanese yen and euro positions led the gains in currencies, as both weakened to their lowest levels against the US dollar in two decades.
Alternative energy markets added to strong year-to-date profits, with surging electricity prices pushing European power markets higher still. These gains were complemented by short positioning in precious metals, where silver and gold were notable contributors, profiting from both trend-following and diversifying systems. Stock indices were the only detractor of note, as positioning was whipsawed following July’s rally.
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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/190840609.pdfJune, 2022
• The Fund returned 2.51% in June 2022, with predominantly short positioning across currencies, fixed income and equities generating profits for the Fund.
• Currencies was the top performing sector over the month, due mostly to short Japanese yen and euro positions. The yen fell to a 24- year low against the US dollar after the Bank of Japan bucked the trend by maintaining its loose monetary policy. The Fund benefited from a poor month for global bonds and equities, with gains in these sectors coming from across the Fund’s trading universe.
• At a strategy level, trend following profits were supported by strong contributions from complementary signals. The only notable detractor was carry, which gave back money in energies and fixed income.
• 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/188917377.pdfMay, 2022
The Fund returned -0.60% in May 2022, as profits from the Fund’s diversifying non-trend signals reduced losses from trend following.
• Long energy positioning was the most notable contributor to performance, with crude oil, gasoline and US natural gas leading the gains. These profits were, however, cancelled out by currencies and base metals. Long Brazilian real and Canadian dollar positions benefited from US dollar weakness, yet short Japanese yen and euro positions were among the top detractors. Positioning in base metals, meanwhile, has turned net short as uptrends in the sector have faded.
• 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187899812.pdfApril, 2022
The Fund returned 5.44% in April 2022, continuing its strong start to the year with trend following profits again complemented by positive returns from non-trend signals.
• The Fund was on the right side of large movements in currency and fixed income markets. The US Dollar Index strengthened to a 20- year high and the yield on the US 10-year Treasury note neared 3%. The Japanese yen and euro were the top individual contributors as US dollar climbed to multi-year highs against both, while the Fund’s short fixed income positioning profited modestly from almost every position.
• In commodity markets, predominantly long positioning added to the gains, with natural gas, heating oil and soybeans among the top contributors in the sector. These profits outpaced a small loss in metals, concentrated in aluminium. • 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187118535.pdfFebruary, 2022
• The Fund returned 2.38% in February 2022, providing valuable diversification for investors and generating profits as global equity and bond indices both fell for the second month in a row. Long commodity positions drove the Fund’s gains, as Russia’s invasion of Ukraine reverberated across markets and oil prices rose above US$100 a barrel for the first time since 2014.
• Rotterdam coal, soybeans and aluminium were among the top contributors at the market level. Further profits accrued from short fixed income positions, while slightly short equity index positioning sheltered the portfolio from falling stock markets. From a system perspective, trend following accounted for most of the gains, with further positive contributions from the Fund’s complementary non-trend systems.
• The Fund’s only direct exposure to Russia during the month was a small rouble position. The exposure was halved at the end of January due to elevated volatility and closed out altogether on 25 February. Modest indirect exposures remain, including short positions in the MSCI Emerging Markets index future and an emerging market credit index. Winton is monitoring the situation closely and will act if necessary.
• 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
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/185019008.pdfJanuary, 2022
The Fund returned 3.92% in January 2022, with trend following driving gains in commodities, fixed income and currencies. Stock indices gave back some of their 2021 profits after the S&P 500 suffered its worst month since March 2020 and the Fund’s positioning in the sector turned around.
• Long positions in oil and oil products were the top performers in energies, as crude prices rallied to their highest levels since 2014, while long soybean and cotton positions made money in crops. Fixed income gains came largely from short positioning in interest rate futures, with the eurodollar, SONIA and Euribor futures all contributing positively. In currencies, a short position in the euro was the largest contributor. The only notable loss came from predominantly long positioning in US equities, which reduced over the month.
• 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/184271153.pdfDecember, 2021
The Fund returned 0.63% in December 2021, taking year-to-date returns to 10.19%. Returns came from a range of sectors, as gains from long positioning in stock indices and commodities were complemented by profits from a range of currency exposures.
• Trend following on stock indices was the top contributor over the month, as equities around the world finished the year strongly and the S&P 500 notched its 70th all-time high of 2021. Both trend following and carry signals made money in currencies, with a short Japanese yen position representing the largest individual contributor to performance. Further profits accrued from energies, base metals and crops. Energies rallied during December, with crude prices rising steadily throughout the month alongside European electricity prices. Profits from these markets outpaced losses in natural gas. Other notable contributors in commodities included long zinc, aluminium and cotton positions.
• 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
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/182473121-1.pdfSeptember, 2021
The Fund returned 3.21% in September 2021. Trend-following systems in energies accounted for most of the Fund’s positive return, while non-trend systems were flat overall.
• Natural gas led the gains in the Fund’s energies portfolio during the month, with long positions benefiting from soaring prices across US and European markets. Similar upswings in European electricity and coal added further to the positive contribution from the sector. These profits – combined with a more modest gain in agriculture and industrials – outpaced losses from fixed income, where long positions in G10 markets lost money amid rising yields. Non-G10 markets offered valuable diversification in this environment, with short positions in Hungarian, Czech and Brazilian rates making money.
• The Fund aims 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
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/180184378.pdfAugust, 2021
The Fund returned 1.21% in August 2021. Trend-following systems profited from a buoyant market environment for commodities and stock indices, although non-trend systems offset some of these gains. Exposure to alternative markets was upweighted at the start of the month and Korean government bond futures were introduced at month end.
• Energies was the top contributor to performance over the month, as the Fund continued to profit from uptrends in coal, natural gas and European power markets. Trend-following systems also drove gains in stock indices and agriculture, where other technical non-trend systems made money. US equity indices, sugar and cotton were among the top contributors in the two sectors. Fixed income and currencies were the most notable detractors. Long positions in European government bonds lost money amid market reversals, while long exposure to the Canadian dollar and British pound weighed on returns in currencies
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/178874640.pdfJuly, 2021
The Fund returned 1.92% in July 2021. Non-trend systems, particularly carry, profited in fixed income and commodities. Trend following was also beneficial overall, as gains in alternative markets outpaced modest losses in major futures markets. The Fund’s investment universe expanded further during the month with the introduction of Czech and Polish 10-year interest rates.
Energies drove positive performance, with trend-following systems continuing to profit from uptrends in coal and natural gas, amid rising energy demand and disruptions to supply. Net long exposure to buoyant fixed income markets was also beneficial, with eurodollar futures representing the top contributor to performance. Currencies were the only notable detractor from performance, due to reversals in the Japanese yen, Canadian dollar and Australian dollar. Positions in these markets reduced to varying degrees over the course of the month.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/175738503.pdfMay, 2021
The Fund returned 2.25% in May 2021. Trend-following systems in commodities, currencies and stock indices accounted for most of the Fund’s return across the month, while multi-asset carry systems also made a positive contribution.
• At a sector level, currencies were the largest performance driver over the month, with the US dollar trending downwards against most major currencies and profits from both trend-following and carry systems. While the Fund continued to make money in commodities, the gains this month were led by more novel exposures, such as alternative energy markets and livestock. Rotterdam coal was the top contributor in energies, while live hogs led the gains in agriculture. Metals were another source of profits, largely due to long silver and aluminium positions.
• The Fund aims 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.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173009878.pdfApril, 2021
The Fund returned 2.45% in April 2021. Trend-following systems accounted for most of the Fund’s return in April. • At a sector level, agriculture and energies were the top contributors over the month, due to the Fund’s long exposure to the two sectors. Sugar, corn and crude oil were among the most profitable positions, along with aluminium, which led the gains in metals. Long Nasdaq, FTSE Taiwan and S&P 500 positions were the top contributors in stock indices, while long Canadian dollar and Australian dollar positions were positive for currencies. Carry systems made money in fixed income, but the Fund was flat in the sector overall due to losses from other signals.
• The Fund aims to deliver long-term returns as a diversifying allocation in investor portfolios. Winton continually seek to expand the Fund’s trading universe, including the addition in April of a further 17 Chinese onshore commodities, including markets not traded elsewhere in the world, such as bitumen and bleached pulp.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/171638363-1.pdfApril, 2021
The Fund returned 2.45% in April 2021. Trend-following systems accounted for most of the Fund’s return in April. • At a sector level, agriculture and energies were the top contributors over the month, due to the Fund’s long exposure to the two sectors. Sugar, corn and crude oil were among the most profitable positions, along with aluminium, which led the gains in metals. Long Nasdaq, FTSE Taiwan and S&P 500 positions were the top contributors in stock indices, while long Canadian dollar and Australian dollar positions were positive for currencies. Carry systems made money in fixed income, but the Fund was flat in the sector overall due to losses from other signals.
• The Fund aims to deliver long-term returns as a diversifying allocation in investor portfolios. Winton continually seek to expand the Fund’s trading universe, including the addition in April of a further 17 Chinese onshore commodities, including markets not traded elsewhere in the world, such as bitumen and bleached pulp.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/171638363.pdfDecember, 2020
The Fund returned 3.90% in December 2020. The Fund’s positive return for the month was driven by positioning in precious metals, crops and currencies. Fixed income and energies were broadly flat for month. Both technical and fundamental signals contributed positively to performance. The two signal groups were on the right side of uptrends in precious metals and crops, where long silver and soybean positions were the top individual contributors to returns.
Crop prices were buoyant in December, with the corn and soybean markets rising to their highest levels since June 2014. Elsewhere in commodities, WTI crude oil neared $50 a barrel for the first time since February 2020, and iron ore and silver rallied by a fifth over the month. The Fund’s gains in currencies, meanwhile, were driven by technical signals, which profited from the downtrend in the US dollar, which continued to weaken against most major currencies; a long Australian dollar position led the gains.
Long stock index positions and long exposure to emerging market interest rates made further positive contributions to performance. The Fund aims to deliver long-term returns as a diversifying allocation in investor portfolios. The Fund’s trading universe was expanded in December, with the Fund gaining access to a number of new instruments and non-standard futures markets. These include interest rate swaps, smaller commodity markets and industrials futures, as the Fund looks to take advantage of opportunities in a broader range of markets.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/163537525.pdfticker: MAQ0482AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://investmentcentre.moneymanagement.com.au/factsheets/mi/lsp8/macquarie-winton-global-alpha
Right sidebar -> Quick links -> Provider’s own factsheet
https://investmentcentre.moneymanagement.com.au/factsheets/ALL/lsp8/winton-global-alpha
https://investmentcentre.moneymanagement.com.au/factsheets/MI/lsp8/winton-global-alpha
asset_class: Alternatives
asset_category: Managed Futures - Trend
peer_benchmark: Alternatives - Trend Index
broad_market_index: SC CTA Trend Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
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.