Winton Capital Management, which spends about US$30 million per year on research, has re-engineered one of its quantitative hedge funds to increase risk and—hopefully—returns.
The US$24 billion firm has overhauled its smaller Evolution Fund, which manages US$40 million, Reuters reports. The fund focuses on Winton's best ideas, and will now do so with a far higher allocation to stocks. Evolution now invests 40% of its risk in equities, compared to 20% for Futures, and 60% in futures trading. Evolution also targets higher volatility than the larger fund, 12% as opposed to 10%.
"The allocation to cash equities is closer to what we believe the optimum is," Matthew Beddall, chief investment officer, told Reuters. "If it does better than the fund fund, then I image money will move" between the two.
Year-to-date, Evolution has returned 7.34%.