Winton Launches New Low-Volatility Futures Programme

Investors Offshore, London

10 September 2002

Winton Capital Management, a leading London futures and hedge fund manager, has announced that it will introduce a low volatility futures programme aimed at the more risk-averse end of the investment market. The new product will use Winton’s successful diversified futures trading system, geared down to a lower leverage. Initially, the low volatility programme will be available in the form of notionally funded managed accounts, while an offshore investment fund vehicle will open to investors at the end of 2002.

Winton says it has made the decision to launch the programme in the face of demand from the institutional market for a lower risk managed futures investment scheme. While the lower volatility profile is aimed to satisfy institutional appetite for low risk returns, the futures portfolio will continue to perform a diversifying function against the risks of exposure to the equity markets. Winton says it is strongly positioned to enter this market because of its solid statistical understanding and successful application of the principles of risk targeting.

In a recent article published in the newsletter of the Alternative Investment Managers' Association, Winton’s founding principal David Harding discussed at length the way in which margined investments lend themselves to risk targeting by adjustments in leverage. This principle is applied successfully by a substantial proportion of Winton’s present client list. Further discussion of this topic can be found at www.wintoncapital.com/leverage.htm.

The new programme will operate at a quarter the leverage of the Winton Futures Fund, making it approximately 5% margin/equity. Pro forma calculations based on the returns Winton Futures Fund estimate that a leverage adjustment on this scale can yield a more moderate risk profile, with an annual volatility of returns in the region of 6%, while still achieving compounded annual returns in the region of 10%. Winton’s funds showed gains just short of 22% in the six months ending August 2002.

Charges for the programme will consist of a Management Fee 0.5% monthly and a performance fee of 20% quarterly; the minimum investment will be US$5m.

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