InRIS CFM Diversified
Cumulative Performance (%)
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance quoted. The investment return and the principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost.
Strategy & Manager
The objective of the InRIS CFM Diversified Fund (the “Fund”) is to achieve long-term capital appreciation through trading strategies that seek to have a return profile different from that of traditional asset classes, such as stocks and bonds.
Capital Fund Management (the Trading Advisor) is free to choose how the assets of the Fund are invested within the limits of its investment policy and will utilize (typically with equal allocation) a series of four systematic trading models (the Long- Term Trend Following, Universal Value, Risk Premia and Market Neutral Equity models), which are part of its CFM Institutional Systematic Diversified Program (the “Program”). The Fund will significantly invest in financial derivative instruments (“FDIs”) for investment, efficient portfolio management and hedging purposes at any one time.
The Trading Advisor will primarily trade to gain exposure to a diversified portfolio of global fixed income securities (including government bonds and notes), global interest rates, global currencies, global equities, global stock indices and global credit. For hedging purposes, the Fund may use FDIs to hedge against fluctuations in the relative values of its portfolio positions due to changes in currency exchange rates and market interest rates and to hedge against the currency exposure between the denominated currency of the Class and the Base Currency of the Fund.
Capital Fund Management, founded in 1991 is a leading systematic asset manager, both in terms of research & IT Engineering who are specialized in systematically implemented strategies based on a global and quantitative approach ($8.5bn in AuM).
Jean-Philippe Bouchaud – Chairman
Jean-Philippe is Chairman of CFM. He founded ‘Science and Finance’ in 1994, the research arm of CFM with Jean-Pierre Aguilar, which merged with CFM in 2000. He supervises the research team alongside Marc Potters. Jean-Philippe maintains strong links with the academic world and is a professor at École Normale Supérieure (ENS). Prior to CFM, Jean-Philippe was a researcher at the Centre National de la Recherche Scientifique until 1992. Following this he spent a year at the Cavendish Laboratory in Cambridge before joining the Service de Physique de l’État Condensé at the Commissariat à l’Energie Atomique in Saclay, France. He holds a PhD in theoretical physics from the ENS in Paris.
Marc Potters – Chief Investment Officer
Marc is the Chief Investment Officer of CFM, having joined the firm in 1995 originally as a researcher in quantitative finance. He oversees the investment process of all CFM funds. Marc also supervises the research team together with Jean-Philippe, with a particular focus on developing concrete applications in financial forecasting, portfolio construction, risk control and execution. Marc maintains strong links with academia and is an expert in Random Matrix Theory. He has taught at UCLA and Sorbonne University and he continues to publish papers in statistical finance and co-authored the ‘Theory of Financial Risk and Derivative Pricing’ with Jean-Philippe. Marc obtained his PhD in physics from Princeton University.
Statistics & Commentary
The performance data shown represents past performance. Past performance is not a guarantee of future results. Current performance may be lower or higher than the performance data quoted. The investment return and the principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost.
Sector Breakdown as a % of AUM
as a % of AUM
as a % of AUM
as a % of AUM
Trading Advisor's Commentaryas of
The performance of the InRIS CFM Diversified Class (I Euro Share Class) was 3.68% in April.
Systematic Global Macro
The program realised positive returns.
Equities contributed positively. Global stock markets, on the whole, saw only one-way traffic lower. In the US, worries about a slowdown in economic growth (affirmed by US GDP having shrunk 1.4% in Q1 2022); broad consensus that the US Federal Reserve is all but assured to raise interest rates by 50 basis points at its next meeting in May; along with the ongoing events in Ukraine all drained investors’ confidence. The S&P 500 TR Index closed 8.7% lower, while US small-caps, proxied by the Russell 2000 TR Index, booked a 10% loss. The strategy’s exposure to both indices delivered positive PnL. However, the tech-proxy Nasdaq Index fared worse, falling 13.3% and into bear territory (down 21% YTD by month-end). Only 12 of the 102 constituents managed to eke out positive returns over the month, and was dragged lower by a medley of major tech names such as Netflix (-50.1% after a reported decline in subscribers), Amazon (-25.3% as the company reported a Q1 loss and Q2 forecast fell short of expectations), and Nvidia (-33% as worries mount that abating consumer purchases of tech hardware could dampen the semiconductor industry going into year-end). The strategy’s position in the Nasdaq registered some of the best returns for the program.
European equity markets, however, fared only slightly better than in the US. The broad Stoxx 600 Index booked a 5.7% loss (in USD terms) as the Russia-Ukraine conflict shows no sign of letting up, and the EU is still mulling over if and what an energy embargo might look like. Exposure to key European bourses delivered mostly positive returns. Equities in the Asia- Pacific region tracked markets elsewhere lower, with the Morningstar Asia-Pacific Index ending down -5.8% (in USD terms). The strategy’s exposure to the majority of indices in this region showed flat or better performance.
Across the entire book, exposure to the S&P/Toronto Stock Exchange 60 Index was one of the worst performers for the strategy. The Canadian equity benchmark, despite being heavily skewed to energy producers – many of which showed positive returns this month, slumped 7.3% (in US dollar terms) as Financials and key tech names (such as Shopify, which lost 37%) dragged the Canadian benchmark lower.
Aggregate positioning in Credit Indices delivered negative PnL, with those in Europe dragging most.
Bonds’ contribution was positive. Fixed income markets traded lower as yields on all G7 sovereign 10-year benchmarks tracked higher. Concerns over global inflation (US CPI printed 8.5% YoY – above economists’ expectations of 8.4%, while inflation in Europe also accelerated), are reinforcing expectations of tighter monetary policy from most major G7 central banks. The US Fed is widely expected to raise interest rates at a clip of 50 basis points at its next meeting, and likely beyond, with Chairman Powell on several occasions having telegraphed that the Fed will move its benchmark policy rate closer to “neutral” and do so “expeditiously”. The Bloomberg Global Aggregate Total Return Index (Unhedged) returned – 5.5%, while the Bloomberg US Treasury, and European Aggregate Treasury TR Indices closed 3.1% and 3.8% lower respectively. Corporate credit also sold off, with Global IG and HY closing 5.8% and 4.4% lower respectively.
Much noise was made about the US yield curve (2-10) that inverted, as commentators pointed to the predictive quality of this to signal an imminent recession. The spread between the US 2 and 10-year yields slipped into negative territory during the opening week of the month, but closed out at ~20 basis points at month-end.
All-in-all, the entire US curve lifted, with the US 10-year climbing 60 basis points, reaching a shy over 2.9% by April 30. Exposure to the US curve delivered positive returns, especially from US 10-year positioning, but with positioning in the US 2-year detracting. The German curve steepened slightly, with the 2-year Schatz and 10-year Bund gaining 33 and 39 basis points respectively. Money markets are pricing up to two 25 basis point hikes from the ECB by October, with many key ECB members shifting their rhetoric much more hawkishly. All this as German inflation printed 7.8% for March (above the estimated 7.6%). Exposure to the very long of the German curve delivered some of the best returns for the strategy, with the Buxl closing 43 basis points higher. Meanwhile, exposure to the Schatz was responsible for some of the most notable losses for the strategy. In Australia, the RBA – facing inflation that is at a two decade high – also telegraphed that a rate hike was imminent, with the yields of the Australian 10-year picking up 28 basis points. It was, however, the shorter end of the Australian curve that moved the most, the 3-year ending 37 basis points higher, and the strategy registering notable losses on this contract.
Performance from Short Term Interest Rates (STIRS) ended in negative territory. The biggest negative contribution in STIRS came from exposure to the Australian 3-month Bank Bills.
Returns from positioning in the US dollar were positive. The DXY Index rose 4.7%, and the US dollar reached its highest level in two decades. Investors are betting that the interest rate differential between the US and other major economies will increase, as the Fed is likely to act more aggressively – and promptly – to raise interest rates. The dollar has also become more attractive owing to increasing geopolitical risk, as well as worries about the trajectory of the Chinese economy – and, as such, the global economy – with investors seeking out this traditionally safe-haven asset. Investors’ opportunity set for safe-haven FX has also narrowed, with the Japanese yen, another traditionally popular safe-haven play, having fallen precipitously as the Bank of Japan (BoJ) has hitherto underlined its commitment to keep bond yields close to zero, by unremitted buying of JGBs. The yen, consequently, lost 6.2% against the greenback, with some of the best returns for the strategy among the G10 currency pairs from exposure to the Japanese currency. Positioning in Sterling, however, detracted, as the pound fell 4.3% against the USD.
One of the best performing positions amongst the minor FX pairs was the strategy’s exposure to the South African rand. The rand lost 7.6% against the USD, falling in parallel with other EM FX as the Fed prepares for monetary tightening (the JP Morgan EM FX Index declined 2.7%), but the fall exacerbated by major flooding and severe recent power cuts denting the country’s near-term economic growth prospects. Conversely, positioning in the Mexican peso dragged on overall PnL, the peso losing 2.7% against the USD.
Short Term Trend
The Short Term Trend ended in positive territory. Positioning in highly liquid Sovereign Bonds registered positive gains, especially those in the longer end of the US curve. Positioning in Equity Indices also contributed positively, with exposure to US markets, especially the mini-Nasdaq delivering the best PnL.
The Long Volatility layer ended in the red.
Long VIX exposure contributed positively. Monetary tightening as the probability of a recession increase; the ongoing conflict in Ukraine; and the Chinese economy showing signs of a slowdown amidst strict Covid lockdowns all contributed to future uncertainty. Global stocks sold-off, and implied volatility accelerated throughout the month, the VIX Index closing at 33.4 points, a 13 point increase from the end of March.
Realised volatility, meanwhile, increased throughout the period. The S&P 500 featured 10 trading days (out of 20) where price changes were greater than ± 1%, of which 4 were greater than ±2%. Implied volatility in other major markets followed suit. Exposure to Equity Indices contributed negatively to overall PnL in the strategy.
Systematic Global Equities
The Systematic Global Equities program delivered positive returns. Performance from European equities contributed most, while aggregate positioning in the US dragged. Positioning in equities in the Asia Pacific region (excluding Japan) ended flat, while Japanese equities ended in the black. Across the entire book, the Basic Materials and Energy sectors fared best and worst respectively.
Facts & Documents
Fund Domicile: Ireland UCITS
Fund Type: UCITS SICAV
Base Currency: EUR
Depositary, Administrator, Transfert Agent: State Street Fund Services Ireland Limited, CACEIS Ireland Limited
Dealing: daily with two business days notice
Cut-off time: 11 A.M Irish Standard Time
Countries where the fund is registered:
Austria, Belgium, France, Germany, Italy, Luxembourg, Netherlands, Spain, Singapore, Switzerland, United Kingdom
The information related to the integration of sustainability risks and to the potential adverse sustainability impacts at the sub-fund level can be found in the prospectus of the Fund.
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