Bestinvest says
The Winton Strategy was one of the earliest CTAs to be made available to investors, it is also one of largest. Whilst the size of the fund has some disadvantages, the resources available to Winton enable it to research new markets. It is one of the less volatile CTA strategies available through UCIT platforms - its target volatility has generally fallen as AUM have risen.
Winton view their competitive edge as the depth of their research department and their risk management process. Winton obtain price data at various time points across the 100+ markets they currently track. The Winton Trading Strategy aims to identify the strength of short, medium and long term trends across each market. A ‘Trend Conviction Curve’ for each time horizon dictates the size of the position that the trend follower takes – aiming to be at maximum weighting throughout the belly of the trend, and reducing position size as indicators are pointing towards the trend nearing an end / pull back. The Trend conviction curve effectively budgets risk and systematically reduces all position sizes when volatility increases. The overall portfolio volatility is targeted at 10%.