Shortlist: Best multi-strategy hedge fund

Winton Capital Management began trading in October 1997. The company's 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 or on general appreciation of asset values.

Winton’s founder, chairman and head of research David Harding manages the Winton Evolution Fund. It was launched in September 2005 with a board mandate that included single equities.

Evolution is a true global multi-strategy fund and combines Winton’s newest research ideas and systems with close to 14 years of experience trading the global financial markets in a unique investment portfolio. ‘Evo’ maximises diversification through trading different assets, different systematic strategies and different time frames.

Winton is constantly looking for new opportunities to add eligible markets and systems to Evolution and each sub-system’s allocation is determined on a discretionary basis by a highly experienced asset allocation team. 

One of Evolution’s most successful trading systems is a medium-speed, long/short system, pattern recognition-based strategy which exploits price anomalies in global liquid equity markets. It began trading in April 2007 and continues to be part of Evolution. The Winton Octo Fund was launched as a standalone fund in October 2009.

“At its core Winton is much more than an investment manager,” says David Harding. “We are a scientific research centre using empirical methods to analyse data. The financial markets are our laboratory.”

Research is as essential to Winton. Alongside its analysis of financial markets, the company has developed proprietary trading systems utilising 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, and through targeting risk, not return.

In order to maintain its competitive edge, trading strategies need to be constantly updated. So the company 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 more than 200 employees work in the research department. They come from over 25 countries and hold doctorate 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.

Fund facts
Full name of fund: Winton Evolution Fund
Name of portfolio manager: David Harding
Name of investment/management company: Winton Capital Management
Contact information: 1-5 St Mary Abbot’s Place, London W8 6LS (+44 (0)20 7610 5350; info@wintoncapital.com; www.wintoncapital.com)
Launch date: September 2005
Assets under management: $128.2 million (at April 30, 2011)
Net cumulative performance since inception: 44.10% (at April 30, 2011)
Annualised return: 9.56% (at April 30, 2011)
Annualised volatility: 8.42% (at April 30, 2011)
Sharpe ratio: 1.0 (worth three-month T-bill)
Strategy: global multi-strategy
Share classes: class F (US dollar); Class G (sterling); Class H (euro); Class I (yen)
Administrator: BNY Mellon
Auditor: KPMG
Prime broker: Goldman Sachs International
Legal counsel: Maples and Calder (Cayman law); Willkie Farr & Gallagher (US law)
Domicile: Cayman Islands
Management fee: 1% payable monthly
Performance fee: 20% of new net profits, payable monthly
Minimum investment: US$100,000 (or euro, sterling yen equivalent)
Lock-in: none; early redemption fees apply of 3% year one;  2% year two; 1% year three
Redemption/liquidity terms: monthly, with 30 days’ notice