Shortlist: Best managed futures hedge fund; Best directional hedge fund over 10 years

Shortlisted 2010
Hedge fund of the decade
Best directional hedge fund over 10 years
Best managed futures hedge fund

Winton Capital Management began trading in October 1997 from a small office in Kensington, London, with three employees and less than $2 million in assets under management (AUM). By April 30, 2011 the company had over $21 billion in AUM and employed over 200 staff, almost half of whom are directly involved in research.

The company's significant growth over the past decade has been based on what Winton terms its "absolute commitment to scientific research to create an investment management vehicle for the 21st century".

Winton's investment philosophy aims to achieve long-term capital appreciation through compound growth. This is achieved by pursuing a diversified trading scheme without reliance on favourable conditions in any particular market and not general appreciation of asset values.

Winton’s founder, chairman and head of research David Harding manages the Winton Futures Fund.

The investment technique consists of trading a portfolio of over 100 international futures, options and forward contracts, using a computer-based trading system. The fund is also able to trade cash equities. At any point in time it may be holding long or short positions or hold no position at all in each of the markets it follows.

The portfolio consists mainly of positions in the following futures markets: stock indexes, bonds, short-term interest rates, currencies, precious and base metals, grains, livestock, energy and agricultural products.

Certain over-the-counter (OTC) instruments can also be traded, such as forward contracts on foreign exchange and in government securities such as bonds and similar instruments.

Through its research initiatives Winton is constantly looking for new opportunities to add eligible markets to the portfolio, increasing the portfolio's diversification.

“Why would anyone be shocked that surprises happen in history? So we’ve built an investment system that aims to make money in the event that there will be surprises,” explains Harding.

Research remains at the core of Winton. Alongside its analysis of financial markets, the company has develop proprietary trading systems using mathematical algorithms derived from advanced statistical analysis of historical market data. These dynamic, continuously evolving systems are designed to perform under all market conditions and to take advantage of opportunities that may appear during times of market distress.

Winton believes it can achieve strong long-term returns without relying on general growth in asset values by pursuing a diversified trading strategy through targeting risk rather than return.

In order to maintain its competitive edge, trading strategies are constantly updated. So the company has put a lot of emphasis and money into a programme of statistical research.

The company's commitment to scientific research is reflected in the fact that over 100 of Winton's employees work in the research department and come from over 25 different countries. They all hold PhD or postgraduate degrees in a variety of fields including operations research, statistics, climatology, actuarial science, extragalactic astrophysics and financial mathematics.

In 2005 Winton established a dedicated research centre at the Oxford Science Park. Since then it has opened a further centre in west London and its first overseas office in Hong Kong.

Winton's investors consist of institutional investors, distributors, endowments and pension funds, funds of funds, family offices and very high net worth individuals.

Fund facts
Full name of fund: Winton Futures Fund
Name of portfolio manager: David Harding
Name of investment/management company: Winton Capital Management
Contact information: Robin Eggar, 1-5 St Mary Abbot's Place, London W8 6LS (+44 (0)20 7610 5350; r.eggar@wintoncapital.com)
Launch date: October 1997
Assets under management: $7.6 billion (fund); $21.9 billion (company) (class US dollar B; at April 30, 2011)
Net cumulative performance since inception: 739.72% (at April 30, 2011)  
Annualised return: 16.96% (at April 30, 2011)
Annualised volatility: 18.32% (at April 30, 2011)
Sharpe ratio: 0.80
Strategy: diversified, systematic
Share classes: class B (US dollar); Class C (euro); class D (sterling); class E (yen)
Administrator: Custom House Global Fund Services
Auditor: KPMG
Custodian: Northern Trust Company; BNY Mellon (London branch)
Prime broker/custodian: Goldman Sachs International
Legal counsel: Maples and Calder (BVI law); Willkie Farr & Gallagher (US law); Simmons & Simmons (English law)
Domicile: British Virgin Islands
Listing: Irish Stock Exchange
Management fee: 1% a year payable monthly
Performance fee: 20% performance fee of net new profits; accrued monthly and payable calendar quarterly
Minimum investment: $1 million (or euro, sterling and yen equivalent)
Lock-in: none; early redemption fees apply of 3% year one; 2% year two; 1% year three
Redemption/liquidity terms: monthly; redemption cut-off at close of business on the second business day preceding any dealing day