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Winton Capital Management, Ltd.

Futures Program

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-1.12%2.27%0.01%-0.71%0.19%-1.87%-0.10%2.56%-1.70%   -0.57%
20163.51%1.76%-2.92%-1.49%-1.50%5.21%0.73%-1.72%-0.30%-2.64%-1.23%1.50%0.57%
20152.89%-0.01%2.04%-3.24%0.11%-3.15%3.90%-4.27%3.47%-1.42%3.44%-1.58%1.74%
2014-2.04%2.29%-0.57%1.81%1.92%0.18%-2.09%3.98%-0.39%3.55%5.28%0.64%15.23%
20132.27%-0.35%2.06%3.05%-1.85%-2.18%-1.18%-2.92%3.09%2.77%2.70%0.52%7.98%
20120.66%-0.80%-0.66%0.02%0.06%-3.39%4.32%-1.15%-2.25%-2.55%1.18%1.51%0.00%
20110.11%1.62%0.20%3.06%-2.22%-2.55%4.64%1.55%0.20%-2.35%0.94%1.54%6.68%
2010-2.51%2.29%4.64%1.58%-0.85%1.46%-2.83%4.92%0.84%2.62%-2.23%3.89%14.27%
20090.92%-0.32%-1.78%-3.08%-2.08%-1.31%-1.55%0.31%2.73%-1.54%5.01%-2.53%0.00%
20083.92%8.21%-0.92%-0.97%1.95%5.22%-4.66%-3.09%-0.38%3.65%4.48%1.93%20.25%
20074.03%-6.39%-4.13%6.13%5.04%1.83%-1.38%-0.96%6.83%2.38%2.45%0.12%16.13%
20063.93%-2.74%3.88%5.68%-3.21%-1.34%-0.62%4.58%-1.43%1.43%3.10%2.03%15.83%
2005-5.16%5.72%4.70%-4.03%6.49%2.85%-2.15%7.66%-6.50%-3.02%7.05%-4.59%7.66%
20042.65%11.93%-0.50%-8.27%-0.16%-3.12%0.88%2.64%4.78%3.37%6.38%-0.58%20.31%
20035.30%11.95%-11.14%2.07%10.18%-5.85%-1.15%0.69%0.71%5.46%-2.68%10.00%25.52%
2002-10.81%-6.14%11.44%-4.66%-3.80%7.32%4.79%5.48%7.42%-7.76%-1.09%13.46%12.86%
20014.58%0.57%7.48%-5.23%-3.32%-2.95%0.72%0.02%4.48%12.45%-7.56%-4.02%5.56%
2000-3.66%1.75%-3.13%1.53%-0.50%-1.28%-4.33%2.82%-7.54%2.50%7.10%16.04%9.72%
1999-1.51%3.55%-4.24%10.09%-8.58%5.31%-1.93%-3.64%-0.16%-6.13%13.12%9.20%13.24%
19981.50%3.27%8.02%-1.48%8.53%3.23%1.35%11.06%4.52%-5.65%1.18%9.19%53.26%
1997         -12.97%9.96%8.34%3.68%

Performance statistics — Oct 1997 to Sep 2017

Cumulative total return 773.72%
Annualized compound return 11.45%
Annualized standard deviation 15.70%
Monthly correlation to S&P 500 TRI -0.03
Annualized sharpe ratio (0%) 0.64
Monthly maximum loss (Oct 1997) -12.97%
Maximum drawdown (Nov 2001 - Feb 2002) -25.73%

Annual performance (%) — Oct 1997 to Sep 2017

Year or YTD Winton Capital Management Ltd. S&P 500 TRIBTOP50 Index
2017-0.5714.24-4.33
20160.5711.96-4.44
20151.741.38-0.92
201415.2313.6912.33
20137.9832.390.74
20120.0016.00-1.83
20116.682.11-4.25
201014.2715.066.38
20090.0026.46-4.77
200820.25-37.0013.58
200716.135.497.57
200615.8315.795.61
20057.664.912.76
200420.3110.880.86
200325.5228.6815.55
200212.86-22.1013.68
20015.56-11.893.83
20009.72-9.106.60
199913.2421.041.64
199853.2628.5813.18
19973.68--

Performance comparison: Growth of $10,000 invested since inception — Oct 1997 to Sep 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Oct 2007 to Sep 2017

Distribution of monthly returns — Oct 1997 to Sep 2017

Underwater curve — Oct 1997 to Sep 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Winton Capital Management Limited, a limited liability company registered in England and Wales, registered with the CFTC as a CTA in January 1998 and as a CPO in December 1998.  It became a member of the NFA in January 1998 and has been authorized and regulated by the FSA in the United Kingdom since June 1997.

Investment goal

The investment objective of the Diversified Program is to achieve long- term capital appreciation through compound growth. This goal is achieved by pursuing a diversified trading scheme that does not necessarily rely upon favourable conditions in any particular market, or on market direction.

Strategy

The investment strategy of the Winton Futures Program is to invest globally long and short, using leverage, in a diversified range of liquid instruments including exchange traded futures,options and forwards, currency forwards traded over the counter and other related instruments, by following a systematic investment process that is based on statistical research. Winton Futures Program follows a disciplined investment process that is based on statistical analysis of historical data. The initial stage of the process involves collecting, cleaning and organizing large amounts of data.  The Winton Futures Program uses a wide variety of data inputs including factors that are intrinsic to markets, such as price, volume and open interest; and those that are external to markets, such as economic statistics, industrial and commodity data and public company financial data. Winton conducts statistical research into the data in an attempt to quantify the probability of particular markets rising or falling, conditional on a variety of quantifiable factors. Winton’s research is used to develop mathematical models that attempt to forecast market returns, the variability or volatility associated with such returns (often described as “risk”), the correlation between different markets and transaction costs. These forecasts are used in investment strategies that determine what positions should be held to maximize profit within a certain range of risk. As a result of Winton’s research, it expects that investments made in accordance with this process will have an improved chance of being successful, which is expected to lead to profits over the long-term.

Key Personnel

David Harding, Chief Executive Officer - David Harding is the Founder and CEO of Winton Capital. Since graduating from Cambridge University with a degree in natural sciences, he has started two of the world's leading quantitative investment companies: AHL and Winton. Founded in 1997, Winton is a global investment manager specialising in the application of scientific methods to financial markets. David’s philanthropy focuses on promoting scientific research and science education. His notableendowments include the Winton Chair for the Public Understanding of Risk at Cambridge University, the Winton Programme for the Physics of Sustainability at the Cavendish Laboratory, the Harding Centre for Risk Literacy at the Max Planck Institute in Berlin and the Maths Gallery at the Science Museum in London. He is an honorary fellow of the Science Museum and St Catherine’s College in Cambridge.

Brigid Rentoul, General Counsel - Brigid Rentoul is Winton‘s General Counsel, an Executive Director of Winton and a member of the Executive Committee. Brigid joined Winton in 2012 from Linklaters where she was a leading international securities lawyer and a Partner for 15 years. Brigid read Law at Cambridge University and was a Mellon Fellow at Yale Law School before joining Davis Polk & Wardwell in New York. She joined Linklaters in 1992 and continued to practice as both a US lawyer and an English solicitor, becoming a Partner in 1997. Brigid manages Winton’s in-house legal and compliance teams.

Nicola Watson, Chief Operating Officer (COO) - is the Chief Compliance Officer of the Winton Capital Group and is a member of its Executive Committee. She is also a Director and the Chief Executive Officer of Winton Fund Management (WFM), a Winton Capital Group company. WFM acts as the fund manager to all funds established by Winton that are subject to the Alternative Investment Fund Managers Directive. Nicola joined Winton in 2007 as a Risk Manager and has performed a number of roles within Winton’s Risk Management and Compliance functions, including the role of Chief Risk and Compliance Officer for Winton Capital Management. Most recently, in January 2015, Nicola formally took on the role of Chief Compliance Officer for the Winton Capital Group. Nicola began her career as a Research Analyst at the Bank of England, before moving to LCH Clearnet Ltd. spending five years as a Senior Risk Analyst. Following a 15 month post at The Australian Stock Exchange as a Senior Risk Analyst in the Australian Clearing House, Nicola took up the position of Futures Risk Manager at ICAP, where she remained for two years before joining Winton. Nicola holds a BSc in Financial Economics from Birkbeck College, University of London.

Jerry Dawson, Chief Financial Officer (CFO) - Jerry is a qualified chartered accountant with over 20 years of experience of external audit in the UK and the USA. He spent the 10 years before he joined Winton as an executive member of the PricewaterhouseCoopers leadership team in the European hedge fund sector and led their hedge fund manager assurance team. Jerry was educated in South Africa, where he matriculated from St John’s College, Johannesburg, placed ninth in South Africa. He graduated from the University of Witwatersrand in Johannesburg with a first class Bachelor of Commerce degree with Honours in Accounting and lectured at his old university before moving to Britain to join PricewaterhouseCoopers in 1989. Promoted to senior manager in 1998 he was seconded to the PwC Boston Alternatives Practice where clients included hedge funds and mutual fund complexes. Returning to London in 2000 Jerry specialised in serving the Alternative Investments industry providing audit and advisory, acquisition due diligence, operational risk assessment, and prudential regulatory services to both institutional and start-up alternative investment managers and funds. In 2003 Jerry was appointed Assurance Director in the Asset Management group in London and was an executive member of PwC’s Central Cluster Hedge Fund Leadership team. A regular speaker at hedge fund symposiums and conferences he wrote articles for the AIMA Journal and both internal and external PwC publications. Seeking a new challenge, Jerry joined Winton as CFO in January 2011.

“Winton Capital Management Limited (“Winton”) does not take any responsibility for the accuracy or completeness of the contents of this document, any representations made herein, or the performance of Winton Futures Program (“Fund”). Winton disclaims any liability for any direct, indirect, consequential or other losses or damages, including loss of profits, incurred by you or by any third party that may arise from any reliance on this document. Winton is not responsible for, nor involved in, the marketing, distribution or sales of shares or interests in the Fund and is not responsible for compliance with any marketing or promotion laws, rules or regulations; and no third party is authorised to make any statement about any of Winton’s products or services in connection with any such marketing, distribution or sales. Past performance by any other funds advised by Winton is not indicative of any future performance by the Fund.”. 

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656