Winton Alma Diversified Macro Fund

The Alma Systematic Alpha (Winton Diversified Macro) strategy incorporates a blend of trend following (price based, 75%) and systematic macro (non-price based, 25%) signals. Winton identifies four principal factors that distinguish a trend-following strategy: trading speed, universe and weights, risk management, and the inclusion of diversifying strategies. Trading speed, in particular, is deemed crucial for performance, prompting ongoing research and the use of varied model speeds to enhance strategy responsiveness and diversification benefits, especially during sharp market reversals. Understanding that market trends don’t last forever, the strategy employs inverse volatility weighting and a non-linear response function to capture profits at trend peaks, adjusting position sizes inversely to market volatility for systematic profit-taking. While trend following is designed to be the primary driver of the fund’s positioning and performance, a number of diversifying signals are traded to improve the probability of the strategy generating returns in range-bound environments and mitigating reversals. Given this, there is a 25% allocation to systematic macro signals generated from a blend of technical and fundamental inputs, such as carry, seasonality, cross-sector, and fundamental models. This segment is designed to complement the trend-following core while maintaining diversification. Prior to, and including 2020, the fund ran with a 50/50 split between the two categories of signals, with non-trend detracting significantly through the year.