From the Winton Capital commentary for May 2005:
“The Winton Futures Fund gained 6.4% in May to bring the year to date performance to 7.55% and the compound annual average rate of return in 92 months of trading to 20.86%. Solid gains were recorded in equities and bonds this month. Financial futures moved higher as solid US employment and retail sales data confirmed continued growth in the US while stable inflation data and lower oil prices soothed concerns about the pace of Fed rate hikes ahead. Commodity returns were modestly lower with energies posting the largest loss as oil prices slumped to three month lows on the back of rising inventory data. Currency returns were mixed as the dollar regained some of the ground it lost earlier in the year as strong US economic data and France’s rejection of the EU constitution supported the greenback.”
Of course while David offers the fundamental backdrop, his trading is rooted in non-fundamental trading models.