Winton Capital Management
Encyclopedia
Winton Capital Management (WCM) is a British
investment management firm, founded by David Harding
. It is a UK-authorised
investment manager trading as a commodity trading advisor
(CTA). The company's trading decisions are guided by models developed from scientific research and mathematical analysis. It trades on more than 100 global futures exchanges in a wide variety of assets. The firm was launched with $1.6 million and it held $22.6 billion in assets under management
.
left Man AHL
(formerly Adam, Harding and Lueck), a systematic managed futures
fund and created Winton Capital Management. Using Harding's middle name, the firm began trading in October 1997 with the company's flagship fund, Winton Futures Fund. When conceptualizing the firm, Harding drew inspiration from Renaissance Technologies
, a Long Island, New York hedge fund
management company. WCM employs statisticians, engineers and physicists, to pursue investment strategies based on scientific research and analysis.
According to Harding, WCM had difficulty attracting clients as a commodity trading advisor
(CTA), because investors preferred hedge fund strategies that focused on the equity market
rather than futures contracts. However, using fees that were lower than industry standards, the fund was able to secure investors.
s following the September 11 attacks.
From the company's inception through the mid-2000s, its annual rate of return was approximately 19%. The number of employees and the firm's assets under management
grew significantly in 2004, reaching $1 billion.
and multi-strategy fund investing in a variety of financial instruments
and securities
. The launch of this fund was part of the firm's transition, away from the futures market
, and towards a more diversified strategy. In July 2007, Petershill Fund, a private equity fund set up by Goldman Sachs Asset Management International, acquired a 9.99% stake in WMC. According to the firm, it believed the acquisition would further increase market confidence in its operations.
By 2007, WMC was managing $10 billion in total assets, and was ranked as the third largest CTA by the industry journal Absolute Return. The following year, Winton Capital Management was named Real Business' s "most profitable" company of 2008, having achieved margins of 65%, and was ranked the third largest private finance company in Britain by The Daily Telegraph.
The firm continued to expand and "become more of a general investment firm". In late 2008, the company opened a Hong Kong
office, its first office outside of the UK. The economic downturn in 2008 and 2009
the firm's investments held up relatively well with a loss of -5.39% in 2009 after a 20.25% return the previous year. The company launched the Winton Global Equity Fund in 2010 and it received UCITS approval in Europe. The fund was designed to be a long-only, portfolio using quantitative analysis.
Through 2011, Winton Capital Management had a positive return on its investments every year, except 2009. The Winton Futures Fund has returned an approximate annualised rate of 17% net from its inception in 1997 through 2010.
(CIO). Approximately 70% of the firm's employees own shares or share options in the company. WCM employs more than 200 staff members
More than 100 of the firms employees are academics doing mathematical research and studying statistical relationships and trading patterns. These highly trained, specialists are organized into research teams, which peer review
s and test new strategies, gather data and identify trends.
WCM's offices are based in the UK with offices in Oxford and West London. The majority of the firm's clients reside outside the UK and many are from the United States.
(CTA). It is regulated by the Commodity Futures Trading Commission
and the Financial Services Authority
of the United Kingdom.
The firm refers to itself as a "modern investment management company" and employs managed futures
strategies using data analysis and modelling to follow trends in global futures markets
such as commodities and bonds. After establishing the Winton Evolution Fund and Winton Global Equity Strategy, the firm began offering multi-strategy and equity
investment programs.
WCM uses research and quantitative data analysis to identify favourable trends in the market and its focus on research differentiates it from its industry companions. The firm uses scientific research to collect data and identify patterns and develop statistical tools, which are applied to its investments. WCM relies on continuous research to ensure its trading models have the highest potential for positive returns Its trading models are informed by relationships identified through applied research of market data; such as volatility estimations derived from a study of the 1988 corn bull market.
Winton's futures trading is highly automated and systematic and uses computer algorithms
to trade futures in financial assets including equities, currencies, bonds, commodities, livestock and energy in over 100 futures markets worldwide. Winton uses a mix of long-term and short-term trading as part of its strategy and combines uncorrelated
strategies to maximize their risk-return ratio
. According to the firm, it uses the same mathematical tools, for research, statistical data analysis, stock selection, and futures
investments.
fund traded on the Irish Stock Exchange
. The fund is trend following
, focusing on longer-term trends, and , has returned an annualised rate of almost 17%. The second fund launched by Winton was its Winton Evolution Fund, which began trading in September 2005. It is a multi-strategy fund with no restrictions on its investment mandate. The Winton Global Equity Fund, designed to employ Winton's mathematical analytical methods to invest in one class of asset
, was given UCITS regulatory approval in Europe in 2010.
United Kingdom
The United Kingdom of Great Britain and Northern IrelandIn the United Kingdom and Dependencies, other languages have been officially recognised as legitimate autochthonous languages under the European Charter for Regional or Minority Languages...
investment management firm, founded by David Harding
David Harding (mathematician)
David Winton Harding is a British investment manager and philanthropist who is the founder, chairman and head of research of Winton Capital Management. He is a leading manager of investment funds, having previously co-founded Man AHL . Harding favours quantitative investment strategies, using...
. It is a UK-authorised
Financial Services Authority
The Financial Services Authority is a quasi-judicial body responsible for the regulation of the financial services industry in the United Kingdom. Its board is appointed by the Treasury and the organisation is structured as a company limited by guarantee and owned by the UK government. Its main...
investment manager trading as a commodity trading advisor
Commodity trading advisor
A commodity trading advisor is an asset manager who follows a set of systematic investment strategies in futures contracts and options on futures contracts. The advisors originally operated predominantly in commodities markets, but today they invest in any liquid futures market. They are...
(CTA). The company's trading decisions are guided by models developed from scientific research and mathematical analysis. It trades on more than 100 global futures exchanges in a wide variety of assets. The firm was launched with $1.6 million and it held $22.6 billion in assets under management
Assets under management
Assets under management is a financial term used denote the market value of funds being managed by a financial instutition on behalf of its clients, investors, depositors, etc. This metric is a sign of size and success against competition...
.
Founding
In 1996, physicist and investment manager David HardingDavid Harding
David Harding may refer to:*Dave Harding, English footballer for Wrexham and Australian teams*David Harding , English mathematician...
left Man AHL
Man Group
Man Group plc is a British alternative investment management business. It provides a range of funds for institutional and private investors globally. The company manages about US$68 billion and employs around 1,700 people in 15 locations worldwide.Man’s headquarters are at Riverbank House...
(formerly Adam, Harding and Lueck), a systematic managed futures
Managed Futures Account
A managed futures account or managed futures fund is a type of alternative investment. Managed futures accounts include, but are not limited to, commodity pools and commodity funds...
fund and created Winton Capital Management. Using Harding's middle name, the firm began trading in October 1997 with the company's flagship fund, Winton Futures Fund. When conceptualizing the firm, Harding drew inspiration from Renaissance Technologies
Renaissance Technologies
Renaissance Technologies is a hedge fund management company of about 275 employees and more than $ billion in assets under management in three funds...
, a Long Island, New York hedge fund
Hedge fund
A hedge fund is a private pool of capital actively managed by an investment adviser. Hedge funds are only open for investment to a limited number of accredited or qualified investors who meet criteria set by regulators. These investors can be institutions, such as pension funds, university...
management company. WCM employs statisticians, engineers and physicists, to pursue investment strategies based on scientific research and analysis.
According to Harding, WCM had difficulty attracting clients as a commodity trading advisor
Commodity trading advisor
A commodity trading advisor is an asset manager who follows a set of systematic investment strategies in futures contracts and options on futures contracts. The advisors originally operated predominantly in commodities markets, but today they invest in any liquid futures market. They are...
(CTA), because investors preferred hedge fund strategies that focused on the equity market
Stock market
A stock market or equity market is a public entity for the trading of company stock and derivatives at an agreed price; these are securities listed on a stock exchange as well as those only traded privately.The size of the world stock market was estimated at about $36.6 trillion...
rather than futures contracts. However, using fees that were lower than industry standards, the fund was able to secure investors.
Early years
In October 1997, the fund was launched with approximately $1.6 million in assets. The fund lost nearly 13% of its value in the first month but ended the year up 3.49%. In the following three years WMC returned gains of: 52.18% in 1998, 15.07% in 1999 and 10.44% in 2000. By November 1999, the firm had raised $100 million in capital from investors. That same year, WMC sought investors in the Japanese markets. The positive returns continued until late 2001, when there was a four-month period of drawdownDrawdown (economics)
The Drawdown is the measure of the decline from a historical peak in some variable ....
s following the September 11 attacks.
From the company's inception through the mid-2000s, its annual rate of return was approximately 19%. The number of employees and the firm's assets under management
Assets under management
Assets under management is a financial term used denote the market value of funds being managed by a financial instutition on behalf of its clients, investors, depositors, etc. This metric is a sign of size and success against competition...
grew significantly in 2004, reaching $1 billion.
Expansion
In September 2005, the firm launched the Winton Evolution Fund, which was designed as a mixed arbitrageArbitrage
In economics and finance, arbitrage is the practice of taking advantage of a price difference between two or more markets: striking a combination of matching deals that capitalize upon the imbalance, the profit being the difference between the market prices...
and multi-strategy fund investing in a variety of financial instruments
Financial instruments
A financial instrument is a tradable asset of any kind, either cash; evidence of an ownership interest in an entity; or a contractual right to receive, or deliver, cash or another financial instrument....
and securities
Security (finance)
A security is generally a fungible, negotiable financial instrument representing financial value. Securities are broadly categorized into:* debt securities ,* equity securities, e.g., common stocks; and,...
. The launch of this fund was part of the firm's transition, away from the futures market
Futures exchange
A futures exchange or futures market is a central financial exchange where people can trade standardized futures contracts; that is, a contract to buy specific quantities of a commodity or financial instrument at a specified price with delivery set at a specified time in the future. These types of...
, and towards a more diversified strategy. In July 2007, Petershill Fund, a private equity fund set up by Goldman Sachs Asset Management International, acquired a 9.99% stake in WMC. According to the firm, it believed the acquisition would further increase market confidence in its operations.
By 2007, WMC was managing $10 billion in total assets, and was ranked as the third largest CTA by the industry journal Absolute Return. The following year, Winton Capital Management was named Real Business
The firm continued to expand and "become more of a general investment firm". In late 2008, the company opened a Hong Kong
Hong Kong
Hong Kong is one of two Special Administrative Regions of the People's Republic of China , the other being Macau. A city-state situated on China's south coast and enclosed by the Pearl River Delta and South China Sea, it is renowned for its expansive skyline and deep natural harbour...
office, its first office outside of the UK. The economic downturn in 2008 and 2009
Late-2000s financial crisis
The late-2000s financial crisis is considered by many economists to be the worst financial crisis since the Great Depression of the 1930s...
the firm's investments held up relatively well with a loss of -5.39% in 2009 after a 20.25% return the previous year. The company launched the Winton Global Equity Fund in 2010 and it received UCITS approval in Europe. The fund was designed to be a long-only, portfolio using quantitative analysis.
Through 2011, Winton Capital Management had a positive return on its investments every year, except 2009. The Winton Futures Fund has returned an approximate annualised rate of 17% net from its inception in 1997 through 2010.
Operations
David Harding is the company's chairman, principle owner and director of research Anthony Daniell is Winton's chief executive officer, and Matthew Beddall is the chief investment officerChief investment officer
The chief investment officer is a job title for the board level head of investments within an organization. The CIO's purpose is to understand, manage, and monitor their organization's portfolio of assets, devise strategies for growth, act as the liaison with investors, and recognize and avoid...
(CIO). Approximately 70% of the firm's employees own shares or share options in the company. WCM employs more than 200 staff members
More than 100 of the firms employees are academics doing mathematical research and studying statistical relationships and trading patterns. These highly trained, specialists are organized into research teams, which peer review
Peer review
Peer review is a process of self-regulation by a profession or a process of evaluation involving qualified individuals within the relevant field. Peer review methods are employed to maintain standards, improve performance and provide credibility...
s and test new strategies, gather data and identify trends.
WCM's offices are based in the UK with offices in Oxford and West London. The majority of the firm's clients reside outside the UK and many are from the United States.
Investment strategy
Since its inception, Winton Capital Management has traded as a commodity trading advisorCommodity trading advisor
A commodity trading advisor is an asset manager who follows a set of systematic investment strategies in futures contracts and options on futures contracts. The advisors originally operated predominantly in commodities markets, but today they invest in any liquid futures market. They are...
(CTA). It is regulated by the Commodity Futures Trading Commission
Commodity Futures Trading Commission
The U.S. Commodity Futures Trading Commission is an independent agency of the United States government that regulates futures and option markets....
and the Financial Services Authority
Financial Services Authority
The Financial Services Authority is a quasi-judicial body responsible for the regulation of the financial services industry in the United Kingdom. Its board is appointed by the Treasury and the organisation is structured as a company limited by guarantee and owned by the UK government. Its main...
of the United Kingdom.
The firm refers to itself as a "modern investment management company" and employs managed futures
Managed Futures Account
A managed futures account or managed futures fund is a type of alternative investment. Managed futures accounts include, but are not limited to, commodity pools and commodity funds...
strategies using data analysis and modelling to follow trends in global futures markets
Futures exchange
A futures exchange or futures market is a central financial exchange where people can trade standardized futures contracts; that is, a contract to buy specific quantities of a commodity or financial instrument at a specified price with delivery set at a specified time in the future. These types of...
such as commodities and bonds. After establishing the Winton Evolution Fund and Winton Global Equity Strategy, the firm began offering multi-strategy and equity
Equity (finance)
In accounting and finance, equity is the residual claim or interest of the most junior class of investors in assets, after all liabilities are paid. If liability exceeds assets, negative equity exists...
investment programs.
WCM uses research and quantitative data analysis to identify favourable trends in the market and its focus on research differentiates it from its industry companions. The firm uses scientific research to collect data and identify patterns and develop statistical tools, which are applied to its investments. WCM relies on continuous research to ensure its trading models have the highest potential for positive returns Its trading models are informed by relationships identified through applied research of market data; such as volatility estimations derived from a study of the 1988 corn bull market.
Winton's futures trading is highly automated and systematic and uses computer algorithms
Algorithmic trading
In electronic financial markets, algorithmic trading or automated trading, also known as algo trading, black-box trading or robo trading, is the use of electronic platforms for entering trading orders with an algorithm deciding on aspects of the order such as the timing, price, or quantity of the...
to trade futures in financial assets including equities, currencies, bonds, commodities, livestock and energy in over 100 futures markets worldwide. Winton uses a mix of long-term and short-term trading as part of its strategy and combines uncorrelated
Uncorrelated
In probability theory and statistics, two real-valued random variables are said to be uncorrelated if their covariance is zero. Uncorrelatedness is by definition pairwise; i.e...
strategies to maximize their risk-return ratio
Risk-return spectrum
The risk-return spectrum is the relationship between the amount of return gained on an investment and the amount of risk undertaken in that investment. The more return sought, the more risk that must be undertaken.-The progression:...
. According to the firm, it uses the same mathematical tools, for research, statistical data analysis, stock selection, and futures
Futures
-Finance:*Futures contract, a tradable financial contract*Futures exchange, a financial market where futures contracts are traded*Futures , an American finance magazine-Music:*Futures , a 2004 release by Jimmy Eat World...
investments.
Funds
Winton's Diversified Program, comprising its managed accounts and Winton Futures Fund, uses different models to trade in more than 100 futures markets. Winton Futures Fund is Winton's flagship and its longest running fund; a managed futuresManaged Futures Account
A managed futures account or managed futures fund is a type of alternative investment. Managed futures accounts include, but are not limited to, commodity pools and commodity funds...
fund traded on the Irish Stock Exchange
Irish Stock Exchange
-History:The Irish Stock Exchange is Ireland's only stock exchange and has been in existence since 1793. It is an Irish private company limited by guarantee. It was first recognised by legislation in 1799 when the Irish Parliament passed the Stock Exchange Act...
. The fund is trend following
Trend following
Trend following is an investment strategy that tries to take advantage of long-term moves that seem to play out in various markets. The strategy aims to work on the market trend mechanism and take benefit from both sides of the market, enjoying the profits from the ups and downs of the stock or...
, focusing on longer-term trends, and , has returned an annualised rate of almost 17%. The second fund launched by Winton was its Winton Evolution Fund, which began trading in September 2005. It is a multi-strategy fund with no restrictions on its investment mandate. The Winton Global Equity Fund, designed to employ Winton's mathematical analytical methods to invest in one class of asset
Asset
In financial accounting, assets are economic resources. Anything tangible or intangible that is capable of being owned or controlled to produce value and that is held to have positive economic value is considered an asset...
, was given UCITS regulatory approval in Europe in 2010.